Koeppl, Thorsten V.; Kronick, Jeremy M.; McNeil, James - 2023
We develop a new series of Canadian monetary policy shocks and analyze their impact on inflation and real GDP from 1996 …-2020. Our shocks are constructed as the daily change in the Nelson-Siegel yield curve factors after a monetary policy … Canadian monetary policy relative to the existing literature, which focuses on shocks to the short-run interest rate. We docu …