Monetary Shocks in the G-6 Countries: Is There a Puzzle?

Ben Fung and Marcel Kasumovich

Staff Working Papers from Bank of Canada

Abstract: This paper attempts to reduce the uncertainty about the dynamics of the monetary transmission mechanism. Central to this attempt is the identification of monetary policy shocks. Recently, VAR approaches that use over-identifying restrictions have shown success in isolating such shocks. This paper examines monetary shocks identified by long-run cointegration restrictions and the assumption of long-run money neutrality in exactly identified VAR models across six industrialized countries. The short-run dynamics corresponding to a monetary shock can be interpreted as a monetary policy shock. The results suggest that the stock of money has an active role in the transmission mechanism.

Keywords: Economic models; International topics; Transmission of monetary policy (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Pages: 29 pages
Date: 1997
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Citations: View citations in EconPapers (21)

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Journal Article: Monetary shocks in the G-6 countries: Is there a puzzle? (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:97-7

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