Bank of Canada: contractionary monetary shocks outweigh expansionary ones
A paper by the Bank of Canada published in May examines the impact of financial stress on the transmission of monetary policy shocks in Canada.
The paper uses a threshold vector autoregression to measure when a regime change occurs by monitoring when financial stress conditions cross a critical threshold.
Using the financial stress index as a measure of the Canadian financial stress conditions, the authors examine:
if contractionary and expansionary monetary policy shocks have symmetric effects
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