Changes in monetary regimes and the identification of monetary policy shocks : narrative evidence from Canada / by Julien Champagne and Rodrigo Sekkel.: FB3-5/2017-39E-PDF

“We use narrative evidence along with a novel database of real-time data and forecasts from the Bank of Canada's staff economic projections from 1974 to 2015 to construct a new measure of monetary policy shocks and estimate the effects of monetary policy in Canada. We show that it is crucial to take into account the break in the conduct of monetary policy caused by the announcement of inflation targeting in 1991 when estimating the effects of monetary policy. For instance, we find that a 100-basis-point increase in our new shock series leads to a 1.0 per cent decrease in real GDP and a 0.4 percent fall in the price level, while not accounting for the break leads to a permanent decrease in real GDP and a price puzzle. Finally, we compare our results with updated narrative evidence for the U.S. and the U.K. and argue that taking into account changes in the conduct of monetary policy in these countries also yields significantly different effects of monetary policy"--Abstract, p. ii.

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Publication information
Department/Agency Bank of Canada.
Title Changes in monetary regimes and the identification of monetary policy shocks : narrative evidence from Canada / by Julien Champagne and Rodrigo Sekkel.
Series title Bank of Canada staff working paper, 1701-9397 ; 2017-39
Publication type Series - View Master Record
Language [English]
Format Electronic
Electronic document
Note(s) "September 2017."
Includes bibliographical references (38-42).
Includes abstract in French.
Publishing information [Ottawa] : Bank of Canada, 2017.
Author / Contributor Champagne, Julien.
Sekkel, Rodrigo M.
Description ii, 72 p. : charts (some col.)
Catalogue number
  • FB3-5/2017-39E-PDF
Subject terms Monetary policy
Economic impact
Statistical analysis
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