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| 001 | 9.902916 |
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| 003 | CaOODSP |
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| 005 | 20230928105204 |
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| 006 | m o d f |
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| 007 | cr |n||||||||| |
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| 008 | 210827t20212021oncd ob f|0| 0 eng d |
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| 040 | |aCaOODSP|beng|erda|cCaOODSP |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2021-29E-PDF |
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| 100 | 1 |aZhang, Xu, |eauthor. |
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| 245 | 12|aA new measure of monetary policy shocks / |cby Xu Zhang. |
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| 264 | 1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2021. |
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| 264 | 4|c©2021 |
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| 300 | |a1 online resource (ii, 39 pages) : |bcharts. |
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| 336 | |atext|btxt|2rdacontent |
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| 337 | |acomputer|bc|2rdamedia |
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| 338 | |aonline resource|bcr|2rdacarrier |
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| 490 | 1 |aStaff working paper = |aDocument de travail du personnel, |x1701-9397 ; |v2021-29 |
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| 500 | |a"Last updated: June 21, 2021." |
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| 504 | |aIncludes bibliographical references (pages 23-26). |
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| 520 | |a"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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| 650 | 0|aBusiness cycles|xEconometric models. |
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| 650 | 0|aMonetary policy|xEconometric models. |
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| 650 | 6|aCycles économiques|xModèles économétriques. |
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| 650 | 6|aPolitique monétaire|xModèles économétriques. |
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| 710 | 2 |aBank of Canada, |eissuing body. |
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| 830 | #0|aStaff working paper (Bank of Canada)|v2021-29.|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s3.61 MB|uhttps://publications.gc.ca/collections/collection_2021/banque-bank-canada/FB3-5-2021-29-eng.pdf |
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