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Overnight Rate Innovations as a measure of monetary Policy Shocks in Vector Autoregressions

Author

Listed:
  • Jamie Armour
  • Walter Engert
  • Ben Fung

Abstract

The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models.

Suggested Citation

  • Jamie Armour & Walter Engert & Ben Fung, 1996. "Overnight Rate Innovations as a measure of monetary Policy Shocks in Vector Autoregressions," Staff Working Papers 96-4, Bank of Canada.
    • Handle: RePEc:bca:bocawp:96-4
    as

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    File URL: https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-4.pdf
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    References listed on IDEAS

    as
    1. Nathan S. Balke & Kenneth M. Emery, 1994. "Understanding the price puzzle," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q IV, pages 15-26.
    2. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, vol. 82(4), pages 901-921, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    REGRESSION ANALYSIS; TIME SERIES; ECONOMIC MODELS;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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