Transmission of US monetary policy into the Canadian economy: A structural cointegration analysis

Barakchian, Seyed Mahdi

doi:10.1016/j.econmod.2014.10.036

Cited by 9 publications

(10 citation statements)

References 66 publications

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“…There are also many studies challenging the LC empirically; see Ericsson and Irons (1995). We really doubt that the LC matters for the case of the Canada-US CU formation since the macroeconomic series of these two countries have shown a very high comovement over the past decades and the BoC has followed the Fed's monetary policy very closely; see Barakchian (2010) for more details on that. Our belief is supported by the evidence provided by Dubois et al (2009) andSmith (2009), who show that the LC is not validated in the case of the euro formation.…”

Section: Results Under Parameter Uncertaintymentioning

confidence: 99%

“…The baseline model employed in this paper is the VECX* model developed in Barakchian (2010). The VECX* model is constructed following the structural cointegrating VAR approach proposed by Pesaran and Shin (2002).…”

Section: Outline Of the Baseline Two-country Modelmentioning

confidence: 99%

“…Hence estimation of the cointegration rank of the Canadian model is not straightforward. See Barakchian () for more details on how the cointegration rank of the Canadian model is determined under such conditions.…”

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confidence: 99%

“…Barakchian () shows that, apart from the changes in volatility due to the ‘great moderation’, some other changes in volatility of the residuals in the VECX* model can also be identified. For example, the volatility of the residuals of the oil price equation markedly increases from the early 1970s (first oil price shock); and the volatility of the residuals of the US short‐ and long‐term interest rates rises over the period 1978–1982 (the Volcker shock period).…”

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confidence: 99%

“…Hence estimation of the cointegration rank of the Canadian model is not straightforward. SeeBarakchian (2010) for more details on how the cointegration rank of the Canadian model is determined under such conditions. 12 When the coefficient of inflation in the Canadian Fisher equation is freely estimated over the period 1958:Q1-2004:Q2, it is not significantly different from 1.…”

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confidence: 99%

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Forecasting the Effects of a Canada–US Currency Union on Output and Prices: A Counterfactual Analysis

Barakchian

2013

Journal of Forecasting

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This paper is a counterfactual analysis investigating the consequences of the formation of a currency union for Canada and the USA: whether outputs increase and prices decrease if these countries form a currency union. We use a twocountry cointegrated model to conduct the counterfactual analysis, where the conditional forecasts are generated based on the Gaussian assumption. To deal with structural breaks and model uncertainty, conditional forecasts are generated from different models/estimation windows and the model-averaging technique is used to combine the forecasts. We also examine the robustness of our results to parameter uncertainty using the wild bootstrap method. The results show that forming the currency union would probably boost the Canadian economy, whereas it would not have significant effects on US output or Canadian and US price levels.

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Section: Results Under Parameter Uncertaintymentioning

confidence: 99%

Section: Outline Of the Baseline Two-country Modelmentioning

confidence: 99%

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confidence: 99%

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confidence: 99%

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confidence: 99%

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