Ben Fung - Latest - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T07:09:39+00:00Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions
https://www.bankofcanada.ca/1996/03/working-paper-1996-4/
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.1996-03-01T14:59:13+00:00enOvernight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions1996-03-01Economic modelsMonetary and financial indicatorsWorking Paper 1996-4 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-4.pdfOvernight Rate Innovations as a Measure of Monetary Policy Shocks in Vector AutoregressionsWalter EngertBen FungJamie ArmourMarch 1996EE5E52