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Canadian monetary policy using a structural VARMA model

Citation

Raghavan, M and Athanasopoulos, G and Silvapulle, P, Canadian monetary policy using a structural VARMA model, Canadian Journal of Economics, 49, (1) pp. 347-373. ISSN 0008-4085 (2016) [Refereed Article]

Copyright Statement

Copyright 2016 Canadian Economics Association

DOI: doi:10.1111/caje.12200

Abstract

This 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

Item Details

Item Type:Refereed Article
Research Division:Economics
Research Group:Applied Economics
Research Field:Macroeconomics (incl. Monetary and Fiscal Theory)
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary Policy
Author:Raghavan, M (Dr Mala Raghavan)
ID Code:108919
Year Published:2016
Web of Science® Times Cited:1
Deposited By:Tasmanian School of Business and Economics
Deposited On:2016-05-11
Last Modified:2017-11-27
Downloads:0

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