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Unconventional Monetary Policy in a Small Open Economy.

Author: Margaux MacDonald; Michał Ksawery Popiel
Publisher: Washington, D.C. : International Monetary Fund, 2017.
Series: IMF Working Papers; Working Paper, no. 17/268.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This paper investigates the effects of unconventional monetary policy in a small open economy. Using recently proposed shadow interest rates to capture unconventional monetary policy at the zero lower bound (ZLB) we estimate a Bayesian structural vector autoregressive model for Canada - a useful case where foreign shocks can be proxied by U.S. variables alone. We find that, during the ZLB period, Canadian  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
MacDonald, Margaux.
Unconventional Monetary Policy in a Small Open Economy.
Washington, D.C. : International Monetary Fund, ©2017
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Margaux MacDonald; Michał Ksawery Popiel
ISBN: 9781484331828 1484331826 1484330943 9781484330944
OCLC Number: 1020026506
Notes: 26. Counterfactual Paths: US ZLB Imposed, Alternative Exclusion Restrictions 1.
Description: 1 online resource (62 pages).
Contents: Cover; Contents; I. Introduction; II. Measuring unconventional monetary policy; A. Shadow rates; B. Event study; III. Small open economy B-SVAR model; IV. Results; A. Monetary Policy Shocks; B. Effects of unconventional monetary policy; 1. Restricted monetary policy in Canada; 2. Restricted monetary policy in the US; V. Robustness; A. Government expenditure; B. Using a Taylor Rule; C. Current Account; D. Alternative Exclusion Restrictions; VI. Conclusion; References; Appendices; A. Data; B. Alternative Confidence Bands; C. Robustness --
Government Expenditure Model, 68 % Confidence Bands. D. Robustness --
Bank of Canada Reaction FunctionTables; 1. Bank of Canadaannouncements and shadow short rate changes; 2. Effect of Bank of Canada Announcements on Shadow Short Rate; 3. Average Counterfactual Path for ZLB; 4. Average Counterfactual Path for ZLB, Government Expenditure Model; 5. Average Counterfactual Path for ZLB, Taylor Rule; 6. Average Counterfactual Path for ZLB, Current Account Model; 7. Data Sources and Definitions; 8. Average Counterfactual Path for ZLB (90 % confidence band); Figures; 1. Canadian and US Policy Rates 1994â#x80;#x93;2016. 2. Impulse Response Functions: Canadian Monetary Policy Shock3. Impulse Response Functions: US Monetary Policy Shock; 4. Counterfactual Paths: Canadian ZLB Imposed; 5. Counterfactual Paths: US ZLB Imposed; 6. Impulse Response Functions: Canadian Monetary Policy Shock, Government Expenditure Model; 7. Impulse Response Functions: US Monetary Policy Shock, Government Expenditure Model; 8. Counterfactual Paths: Canadian ZLB Imposed, Government Expenditure Model; 9. Counterfactual Paths: US ZLB Imposed, Government Expenditure Model; 10. Canadianand US Policy Rates and Taylor Rule Rates 1994â#x80;#x93;2016. 11. Impulse Response Functions: Canadian Monetary Policy Shock, Taylor Rule12. Impulse Response Functions: US Monetary Policy Shock, Taylor Rule; 13. Counterfactual Paths: Canadian ZLB Imposed, Taylor Rule; 14. Counterfactual Paths: US ZLB Imposed, Taylor Rule; 15. Impulse Response Functions: Canadian Monetary Policy Shock, Current Account Model; 16. Impulse Response Functions: US Monetary Policy Shock, Current Account Model; 17. Counterfactual Paths: Canadian ZLB Imposed, Current Account Model; 18. Counterfactual Paths: US ZLB Imposed, Current Account Model. 19. Counterfactual Paths: Canadian ZLB Imposed (90 % confidence band)20. Counterfactual Paths: US ZLB Imposed (90 % confidence band); 21. Impulse Response Functions: Canadian Monetary Policy Shock, Government Expenditure Model; 22. Impulse Response Functions: US Monetary Policy Shock, Government Expendi ture Model; 23. Impulse Response Functions: Canadian Monetary Policy Shock, Alternative Exclusion Restrictions 1; 24. Impulse Response Functions: US Monetary Policy Shock, Alternative Exclusion Restrictions 1; 25. Counterfactual Paths: Canadian ZLB Imposed, Alternative Exclusion Restrictions 1.
Series Title: IMF Working Papers; Working Paper, no. 17/268.

Abstract:

This paper investigates the effects of unconventional monetary policy in a small open economy. Using recently proposed shadow interest rates to capture unconventional monetary policy at the zero lower bound (ZLB) we estimate a Bayesian structural vector autoregressive model for Canada - a useful case where foreign shocks can be proxied by U.S. variables alone. We find that, during the ZLB period, Canadian unconventional monetary policy increased output (measured by industrial production) by 0.013 percent per month on average while US unconventional monetary policy raised Canadian output by 0.127 percent per month on average. Our results demonstrate the effectiveness of domestic unconventional monetary policy and the strong positive spillover effects that foreign unconventional monetary policies can have in a small open economy.

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