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Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
Bank of Canada Staff Working Paper No. 2021-24
Verlag: 
Bank of Canada, Ottawa
Zusammenfassung: 
We incorporate quantile regressions into a structural vector autoregression model to empirically assess how monetary and fiscal policy influence risks around future GDP growth. Using a panel of six developed countries, we find that both policy instruments affect the location of the distribution of future GDP growth, whereas fiscal shocks also impact the shape of the distribution. Fiscal stimulus generates upside risk, paving the path to a faster recovery, especially when the policy rate is constrained by the zero lower bound (ZLB). Unconventional monetary policy during ZLB episodes has a comparable effect on future GDP growth as conventional monetary policy.
Schlagwörter: 
Central bank research
Econometric and statistical methods
Financial stability
Fiscalpolicy
Monetary policy
JEL: 
C32
C53
E52
E62
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