Alternative Indicator of Moneary Policy for a Small Open Economy

Nicolas Cuche-Curti

No 00.12, Working Papers from Swiss National Bank, Study Center Gerzensee

Abstract: We analyze several identification frameworks based on operating procedures to measure monetary policy in a small open economy. We use a two-stage non-recursive VAR model to identify monetary shocks. We construct then various overall monetary policy indicators based on different residuals treatments and report them as weighted sums of monetary policy variables. Finally, our model is applied to the Swiss National Bank. Our main indicator reveals that the exchange rate was the dominant variable at the end of the seventies. Duringthe eighties, aggregates had their golden age, while in the nineties, the call rate showed up as operating variable.

Keywords: Identification; Indicator; Monetary policy; Operating procedures; Shocks; Switzerland; VAR. (search for similar items in EconPapers)
JEL-codes: E50 E52 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2000-11
New Economics Papers: this item is included in nep-mon
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