Monetary and financial indicators

• Interpreting Money-Supply and Interest-Rate Shocks as Monetary-Policy Shocks

  Staff Working Paper 1996-8 Marcel Kasumovich

  In this paper two shocks are analysed using Canadian data: a money-supply shock ("M-shock") and an interest-rate shock ("R-shock"). Money-supply shocks are derived using long-run restrictions based on long-run propositions of monetary theory. Thus, an M-shock is represented by an orthogonalized innovation in the trend shared by money and prices.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Monetary and financial indicators, Transmission of monetary policy JEL Code(s): E, E4, E43, E5, E51

• Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions

  Staff Working Paper 1996-4 Walter Engert, Ben Fung, Jamie Armour

  The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models. Since the time series of the Bank's current measure of the overnight rate begins only in 1971, the authors splice it to day loan rate observations to obtain a sufficiently long period of data.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Economic models, Monetary and financial indicators JEL Code(s): E, E5, E52