Overnight Rate Innovations as a measure of monetary Policy Shocks in Vector Autoregressions

Jamie Armour, Walter Engert and Ben Fung

Staff Working Papers from Bank of Canada

Abstract: The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models.

Keywords: REGRESSION ANALYSIS; TIME SERIES; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C10 C22 E58 (search for similar items in EconPapers)
Pages: 55 pages
Date: 1996
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:96-4

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