Changes in monetary regimes and the identification of monetary policy shocks: Narrative evidence from Canada

• 成果类型: Article
• 署名作者: Champagne, Julien; Sekkel, Rodrigo
• 署名单位: Bank of Canada
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.06.002
• 发表日期: 2018
• 页码: 72-87
• 关键词: Monetary policy; Narrative Identification; Real-time data; forecasts; business cycles

摘要

Using narrative evidence with a novel database of real-time data and forecasts from the Bank of Canada's staff projections (1974-2015), we construct a new measure of monetary policy shocks and estimate the effects of monetary policy in Canada. We show it is crucial to account for the break in the conduct of monetary policy caused by the announcement of inflation targeting in 1991. A 100-basis-point increase in our new shock series leads to a 1.0 percent peak decrease in real GDP and a 0.5 percent fall in the price level, while not accounting for the break leads to a persistent decrease in GDP and a price puzzle. Albeit the change in monetary regime, the effects of monetary policy have not changed much before and after IT. Crown Copyright (C) 2018 Published by Elsevier B.V. All rights reserved.