Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/127999
Authors: 
Cuche, Nicolas A.
Year of Publication: 
2000
Series/Report no.: 
Working Paper, Study Center Gerzensee 00.12
Abstract: 
We analyze several identification frameworks based on operating procedures to measure monetary policy in a small open economy. We use a two-stage non-recursive VAR model to identify monetary shocks. We construct then various overall monetary policy indicators based on different residuals treatments and report them as weighted sums of monetary policy variables. Finally, our model is applied to the Swiss National Bank. Our main indicator reveals that the exchange rate was the dominant variable at the end of the seventies. During the eighties, aggregates had their golden age, while in the nineties, the call rate showed up as operating variable.
Subjects: 
Identification
Indicator
Monetary policy
Operating procedures
Shocks
Switzerland
VAR
JEL: 
E50
E52
Document Type: 
Working Paper

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