Evidence on the cross-country transmission of monetary shocks

Jill Ann Holman and Rebecca Neumann

Applied Economics, 2002, vol. 34, issue 15, 1837-1857

Abstract: The international transmission of monetary shocks between the US and Canada is explored. Focusing on real variables such as consumption, investment, employment, and the bilateral trade balance, along with measures of US and Canadian money, the empirical analysis examines the impact of a monetary shock in one country on real activity in both countries. The long-run analysis provides evidence of cointegration among the variables and suggests that money plays an important role in the equilibrium relationships between the two countries. Variance decompositions and impulse response functions reveal interesting avenues of real transmission in the short run. The short-run analysis provides strong evidence that US monetary shocks affect real activity in both the USA and Canada. The analysis also indicates that Canadian monetary disturbances affect Canadian and US real activity, and that many of these effects are similar in magnitude to the effects of US monetary shocks. The importance of the nominal exchange-rate regime is also discussed.

Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/00036840210135827 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:34:y:2002:i:15:p:1837-1857

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036840210135827

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().