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Canadian monetary policy using a structural VARMA model
journal contribution
posted on 2023-05-18, 19:24 authored by Mala RaghavanMala Raghavan, Athanasopoulos, G, Silvapulle, PThis paper builds a structural VARMA (SVARMA) model for investigating Canadian monetary policy. Using the scalar component methodology proposed by Athanasopoulos and Vahid (2008a), we first identify a VARMA model and then construct a SVARMA for Canadian monetary policy. Relative to the responses by a structural VAR, the responses generated by the SVARMA are consistent with those supported by various theoretical models and solve economic puzzles commonly found in the empirical literature on monetary policy. The superior out-of-sample forecasting performance of the reduced form VARMA compared to VAR alternatives further advocates the suitability of this framework for small open economies
History
Publication title
Canadian Journal of EconomicsVolume
49Pagination
347-373ISSN
0008-4085Department/School
TSBEPublisher
Wiley-Blackwell Publishing, Inc.Place of publication
United StatesRights statement
Copyright 2016 Canadian Economics AssociationRepository Status
- Restricted