Using functional shocks to assess conventional and unconventional monetary policy in Canada
本文构建了1986至2023年加拿大货币政策冲击的新序列，基于货币政策事件日收益率曲线因子的日变化，同时涵盖常规与非常规政策，发现紧缩政策降低通胀和GDP，但冲击常扭曲收益率曲线，且官员讲话对通胀和GDP的影响与正式政策公告类似。
Abstract We develop a new series of Canadian monetary policy shocks for the time period 1986 to 2023. Our shocks are constructed as the daily change in the Nelson–Siegel yield curve factors on days of monetary policy events such as announcements of the short‐run policy rate and speeches by Bank of Canada officials. This allows us to look at both conventional and unconventional monetary policy. We find that tighter monetary policy lowers inflation and GDP. Monetary policy shocks, however, often twist the yield curve, potentially offsetting changes in the short‐run policy rate. Finally, speeches also tend to move the yield curve with similar effects on inflation and GDP as formal policy announcements.