Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149093
Authors: 
MacDonald, Margaux
Popiel, Michal
Year of Publication: 
2016
Series/Report no.: 
Queen's Economics Department Working Paper 1367
Abstract: 
This paper investigates the effects of unconventional monetary policy in Canada. We use recently proposed methods to construct a shadow interest rate that captures monetary policy at the zero lower bound (ZLB) and estimate a small open economy Bayesian structural vector autoregressive (B-SVAR) model. Controlling for the US macroeconomic and monetary policy variables, we find that Canadian unconventional monetary policy increased Canadian output by 0.23% per month on average between April 2009 and June 2010. Our empirical framework also allows us to quantify the effects of US unconventional monetary policy, which raised US and Canadian output by 1.21% and 1.94% per month, respectively, on average over the 2008-2015 period.
Subjects: 
Small open economy
unconventional monetary policy
Bayesian structural VAR
zero lower bound
international monetary policy transmission
JEL: 
E52
E58
F42
Document Type: 
Working Paper

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