vector autoregression model (SVAR) to examine the transmission of the effects of a positive monetary policy shock to the real …

the price level to a temporary risk shock are permanent. Our theoretical discussion shows that adopting a credible long …

vector autoregression model (SVAR) to examine the transmission of the effects of a positive monetary policy shock to the real …

This paper develops an open-economy Bayesian structural VAR model for Canada in order to estimate the effects of … estimate this over-identified VAR model, I find that the policy shock transmits to real output through both the interest rate … and exchange rate channels, and the shock does not induce a departure from uncovered interest rate parity. I also find …

We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock … component and a central bank information shock component. We identify both components using changes in interest rate futures and … that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline …

We study the fluctuations of exchange rates and consumer prices in two small open economies, Sweden and Canada, using a … economies, we find that the main driver of consumer price inflation is the global demand shock. A negative global demand shock … pass-through following this shock is of opposite sign to what is usually expected. Finally, exogenous shocks to the …