Interpreting money-supply and interest-rate shocks as monetary-policy shocks / by Marcel Kasumovich. : FB3-2/96-8E-PDF

In this paper two shocks are analysed using Canadian data: a money-supply shock (M-shock) and an interest-rate shock (R-shock). Money-supply shocks are derived using long-run restrictions based on long-term propositions of monetary theory. Thus, an M-shock is represented by an orthogonalized innovation in the trend shared by money and prices. An R-shock is represented by the orthogonalized innovation in the overnight interest rate.--Abstract

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Publication information
Department/Agency Bank of Canada.
Title Interpreting money-supply and interest-rate shocks as monetary-policy shocks / by Marcel Kasumovich.
Series title Bank of Canada working paper1701-939796-8
Publication type Series - View Master Record
Language [English]
Format Electronic
Electronic document
Other formats Paper-[English]
Note(s) "In this paper two shocks are analysed using Canadian data: a money-supply shock (M-shock) and an interest-rate shock (R-shock). Money-supply shocks are derived using long-run restrictions based on long-term propositions of monetary theory. Thus, an M-shock is represented by an orthogonalized innovation in the trend shared by money and prices. An R-shock is represented by the orthogonalized innovation in the overnight interest rate."--Abstract.
The ISBN (0-662-249408-9) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication.
Résumé en français.
Publishing information Ottawa - Ontario : Bank of Canada July 1996.
Description 44p.references, tables
ISSN 1701-9397
Catalogue number
  • FB3-2/96-8E-PDF
Subject terms Fiscal policy
Interest rates
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