Raghavan, Mala; Athanasopoulos, George; Silvapulle, Param - 2016
English Abstract: This paper builds a structural VARMA (SVARMA) model for investigating Canadian monetary policy. Using … construct a SVARMA for Canadian monetary policy. Relative to the responses by a structural VAR, the responses generated by the … empirical literature on monetary policy. The superior out‐of‐sample forecasting performance of the reduced form VARMA compared …