Unconventional Monetary Policy In A Small Open Economy

Margaux MacDonald () and Michal Popiel

No 1367, Working Paper from Economics Department, Queen's University

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.

Keywords: international monetary policy transmission; small open economy; unconventional monetary policy; Bayesian structural VAR; zero lower bound (search for similar items in EconPapers)
JEL-codes: E52 E58 F42 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2016-09
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon and nep-sog
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1367.pdf First version 2016 (application/pdf)

Related works:
Journal Article: Unconventional Monetary Policy in a Small Open Economy (2020)
Working Paper: Unconventional Monetary Policy in a Small Open Economy (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1367

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