Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions
Preprint
- 1 January 1996
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
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 BankKeywords
All Related Versions
This publication has 17 references indexed in Scilit:
- In Memoriam: Ron Van OersChange Over Time, 2015
- Interest rates and the channels of monetary transmission: Some sectoral estimatesEuropean Economic Review, 1995
- The identification of monetary policy disturbances explaining the liquidity puzzleJournal of Monetary Economics, 1995
- Chapter 47 Vector autoregressions and cointegrationPublished by Elsevier ,1994
- Income Velocity and Institutional Change: Some New Time Series Evidence, 1870-1986Journal of Money, Credit and Banking, 1993
- In search of the liquidity effectJournal of Monetary Economics, 1992
- ‘Interpreting the macroeconomic time series facts: The effects of monetary policy’European Economic Review, 1992
- Testing for a Random Walk: A Simulation Experiment of Power When the Sampling Interval is VariedPublished by Springer Nature ,1989
- ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEWOxford Bulletin of Economics and Statistics, 1986
- MechanoreceptionPublished by Springer Nature ,1981