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Mécanismes de transmission monétaire dans une petite économie ouverte: une approche structurelle VAR bayesienne .
Author(s) -
Bhuiyan Rokon
Publication year - 2012
Publication title -
canadian journal of economics/revue canadienne d'économique
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.773
H-Index - 69
eISSN - 1540-5982
pISSN - 0008-4085
DOI - 10.1111/j.1540-5982.2012.01726.x
Subject(s) - monetary policy , economics , exchange rate , bayesian vector autoregression , monetary economics , inflation (cosmology) , interest rate , order (exchange) , variable (mathematics) , small open economy , inflation targeting , open economy , bayesian probability , vector autoregression , macroeconomics , econometrics , finance , computer science , physics , mathematics , theoretical physics , mathematical analysis , artificial intelligence
This paper develops a Bayesian structural VAR model for Canada in order to estimate the effects of monetary policy shocks, using the overnight rate target as the policy instrument. I allow the policy variable and other home and foreign variables to interact with each other contemporaneously. The key finding is that monetary policy affects the real economy through both the market interest rate and the exchange rate. I also find that the Bank of Canada responds to any home and foreign variables that embodies information about future inflation and that external shocks are an important source of output fluctuations.