E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit

• Interpreting Money-Supply and Interest-Rate Shocks as Monetary-Policy Shocks

  Staff Working Paper 1996-8 Marcel Kasumovich

  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-run propositions of monetary theory. Thus, an M-shock is represented by an orthogonalized innovation in the trend shared by money and prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary and financial indicators, Monetary policy transmission JEL Code(s): E, E4, E43, E5, E51
• May 17, 1996

  The Transmission of Monetary Policy

  Gordon Thiessen, Bruce Montador, Kevin Clinton, Kevin Fettig, Donna Howard, Charles Freedman, Pierre Duguay, Stephen S. Poloz, Tim Noël

  Text of major 1995 lecture by Bank Governor Gordon Thiessen, plus articles from Bank of Canada Review and other sources

  Content Type(s): Publications, Books and monographs Topic(s): Monetary policy transmission JEL Code(s): E, E5

• A Distant-Early-Warning Model of Inflation Based on M1 Disequilibria

  Staff Working Paper 1996-5 Joseph Atta-Mensah, Walter Engert, Scott Hendry, Jamie Armour

  A vector error-correction model (VECM) that forecasts inflation between the current quarter and eight quarters ahead is found to provide significant leading information about inflation. The model focusses on the effects of deviations of M1 from its long-run demand but also includes, among other things, the influence of the exchange rate, a simple measure of the output gap and past prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Monetary aggregates, Monetary policy transmission JEL Code(s): E, E3, E37, E5, E52

• Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions

  Staff Working Paper 1996-4 Walter Engert, Ben Fung, Jamie Armour

  The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models. Since the time series of the Bank's current measure of the overnight rate begins only in 1971, the authors splice it to day loan rate observations to obtain a sufficiently long period of data.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Monetary and financial indicators JEL Code(s): E, E5, E52