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dc.contributor.authorLi, Fuchunen
dc.contributor.authorSt-Amant, Pierreen
dc.date.accessioned2010-07-07-
dc.date.accessioned2011-12-15T12:56:32Z-
dc.date.available2011-12-15T12:56:32Z-
dc.date.issued2010-
dc.identifier.pidoi:10.34989/swp-2010-12en
dc.identifier.urihttp://hdl.handle.net/10419/53834-
dc.description.abstractThis paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold. Using the financial stress index developed by Illing and Liu (2006) as a measure of the Canadian financial stress conditions, the authors examine questions such as: Do contractionary and expansionary monetary policy shocks have symmetric effects? Do financial stress conditions play a role as a nonlinear propagator of monetary policy shocks? Does monetary policy have the same effect on the real economy in the low financial stress regime and in the high financial stress regime? Suppose that the economy is currently in a given financial stress regime, do monetary policy shocks have a substantial effect on the transition probability of moving from the given regime to the other? The empirical findings reveal that (i) contractionary monetary shocks typically have a larger effect on output than expansionary monetary shocks; (ii) the effects of large and small shocks are approximately proportional; (iii) expansionary monetary shocks have larger effects on output in the high financial stress regime than in the low financial stress regime; (iv) large expansionary monetary shocks increase the likelihood of moving to, or remaining in, the low financial stress regime; (v) typically, high financial stress regime has been characterized by weaker output growth, higher inflation, and higher interest rates.en
dc.language.isoengen
dc.publisher|aBank of Canada |cOttawaen
dc.relation.ispartofseries|aBank of Canada Working Paper |x2010-12en
dc.subject.jelG01en
dc.subject.jelE50en
dc.subject.jelC01en
dc.subject.ddc330en
dc.subject.keywordFinancial stabilityen
dc.subject.keywordmonetary policy and uncertaintyen
dc.subject.stwGeldpolitiken
dc.subject.stwSchocken
dc.subject.stwTransmissionsmechanismusen
dc.subject.stwInflationsrateen
dc.subject.stwZinsstrukturen
dc.subject.stwKanadaen
dc.titleFinancial stress, monetary policy, and economic activity-
dc.typeWorking Paperen
dc.identifier.ppn630740127en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:bca:bocawp:10-12en

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