Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/123734
Authors: 
Dahlhaus, Tatjana
Hess, Kristina
Reza, Abeer
Year of Publication: 
2014
Series/Report no.: 
Bank of Canada Working Paper 2014-43
Abstract: 
The U.S. Federal Reserve responded to the great recession by reducing policy rates to the effective lower bound. In order to provide further monetary stimulus, they subsequently conducted large-scale asset purchases, quadrupling their balance sheet in the process. We assess the international spillover effects of this quantitative easing program on the Canadian economy in a factor-augmented vector autoregression (FAVAR) framework, by considering a counterfactual scenario in which the Federal Reserve's long-term asset holdings do not rise in response to the recession. We find that U.S. quantitative easing boosted Canadian output, mainly through the financial channel.
Subjects: 
Transmission of monetary policy
International topics
Monetary policy framework
JEL: 
C32
E52
E58
F42
F44
Document Type: 
Working Paper

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