A new measure of monetary policy shocks / by Xu Zhang.: FB3-5/2021-29E-PDF
"Combining the high-frequency multidimensional approach of Gürkaynak et al. (2005) with Greenbook measures of the Federal Reserve’s information set as in Romer and Romer (2004), I propose a new method of constructing a monetary policy shock that occurs on Federal Reserve announcement days. I provide substantial evidence that the new monetary policy shock is consistent with the predictions of workhorse macroeconomic models for structural monetary policy shocks. The new shock has large and highly statistically significant instantaneous effects on the Treasury yield curve. Using the shock as an external instrument in a VAR analysis, I find that contractionary monetary policy has modest downward effects on both output and inflation over business-cycle frequencies"--Abstract, page ii.
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| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | A new measure of monetary policy shocks / by Xu Zhang. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2021-29 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "Last updated: June 21, 2021." Includes bibliographical references (pages 23-26). |
| Publishing information | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2021. ©2021 |
| Author / Contributor | Zhang, Xu, author. |
| Description | 1 online resource (ii, 39 pages) : charts. |
| Catalogue number |
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| Subject terms | Business cycles -- Econometric models. Monetary policy -- Econometric models. Cycles économiques -- Modèles économétriques. Politique monétaire -- Modèles économétriques. |
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