{"id":"https://openalex.org/W1482018097","doi":"https://doi.org/10.2139/ssrn.56181","title":"Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions","display_name":"Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions","publication_year":1996,"publication_date":"1996-01-01","ids":{"openalex":"https://openalex.org/W1482018097","doi":"https://doi.org/10.2139/ssrn.56181","mag":"1482018097"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.56181","doi":"https://doi.org/10.2139/ssrn.56181","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.56181","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","indexed_in":["crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.56181","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5084900889","display_name":"Jamie Armour","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I2802286613","display_name":"Government of Canada","ror":"https://ror.org/010q4q527","country_code":"CA","type":"government","lineage":["https://openalex.org/I2802286613"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Jamie Armour","raw_affiliation_strings":["Government of Canada - Department of Monetary and Financial Analysis, Ottawa, Ontario K1A 0G9, Canada","Government of Canada - Department of Monetary and Financial Analysis"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Government of Canada - Department of Monetary and Financial Analysis, Ottawa, Ontario K1A 0G9, Canada","institution_ids":["https://openalex.org/I2802286613"]},{"raw_affiliation_string":"Government of Canada - Department of Monetary and Financial Analysis","institution_ids":["https://openalex.org/I2802286613"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5084859054","display_name":"Walter Engert","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I2802286613","display_name":"Government of Canada","ror":"https://ror.org/010q4q527","country_code":"CA","type":"government","lineage":["https://openalex.org/I2802286613"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Walter Engert","raw_affiliation_strings":["Government of Canada - Department of Monetary and Financial Analysis, Ottawa, Ontario K1A 0G9, Canada","Government of Canada - Department of Monetary and Financial Analysis"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Government of Canada - Department of Monetary and Financial Analysis, Ottawa, Ontario K1A 0G9, Canada","institution_ids":["https://openalex.org/I2802286613"]},{"raw_affiliation_string":"Government of Canada - Department of Monetary and Financial Analysis","institution_ids":["https://openalex.org/I2802286613"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5110741044","display_name":"Ben Siu Cheong Fung","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I898769471","display_name":"Bank of Canada","ror":"https://ror.org/05cc98565","country_code":"CA","type":"other","lineage":["https://openalex.org/I898769471"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"Ben Siu Cheong Fung","raw_affiliation_strings":["Bank of Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Bank of Canada","institution_ids":["https://openalex.org/I898769471"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5110741044"],"corresponding_institution_ids":["https://openalex.org/I898769471"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":34,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/overnight-rates","display_name":"overnight rates","score":0.8080000281333923},{"id":"https://openalex.org/keywords/monetary-policy-shocks","display_name":"monetary policy shocks","score":0.9750000238418579},{"id":"https://openalex.org/keywords/bank-of-canada","display_name":"Bank of Canada","score":0.9290000200271606},{"id":"https://openalex.org/keywords/term-spread","display_name":"term spread","score":0.6880000233650208},{"id":"https://openalex.org/keywords/output-and-prices","display_name":"output and prices","score":0.6039999723434448},{"id":"https://openalex.org/keywords/exchange-rates","display_name":"exchange rates","score":0.9300000071525574},{"id":"https://openalex.org/keywords/canadian-monetary-policy","display_name":"Canadian monetary policy","score":0.6159999966621399}],"concepts":[{"id":"https://openalex.org/C126285488","wikidata":"https://www.wikidata.org/wiki/Q178476","display_name":"Monetary policy","level":2,"score":0.760817289352417},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.7152286171913147},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6605502963066101},{"id":"https://openalex.org/C133029050","wikidata":"https://www.wikidata.org/wiki/Q385593","display_name":"Vector autoregression","level":2,"score":0.6398138403892517},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.6012803316116333},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5579967498779297},{"id":"https://openalex.org/C92087593","wikidata":"https://www.wikidata.org/wiki/Q427389","display_name":"Vector (molecular biology)","level":4,"score":0.42415085434913635},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.37294137477874756},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.19429033994674683},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.06935137510299683},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.057355284690856934},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C40767141","wikidata":"https://www.wikidata.org/wiki/Q285697","display_name":"Recombinant DNA","level":3,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.2139/ssrn.56181","doi":"https://doi.org/10.2139/ssrn.56181","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.56181","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"mag:3123717502","doi":null,"is_oa":false,"landing_page_url":"https://EconPapers.repec.org/RePEc:bca:bocawp:96-4","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:bca:bocawp:96-4","doi":null,"is_oa":false,"landing_page_url":"https://doi.org/10.34989/swp-1996-4","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"doi:10.34989/swp-1996-4","doi":"https://doi.org/10.34989/swp-1996-4","is_oa":true,"landing_page_url":"https://doi.org/10.34989/swp-1996-4","pdf_url":null,"source":{"id":"https://openalex.org/S7407050688","display_name":"Bank of Canada Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I898769471","host_organization_name":"Bank of Canada","host_organization_lineage":["https://openalex.org/I898769471"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"doi:10.2139/ssrn.56181","doi":"https://doi.org/10.2139/ssrn.56181","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.56181","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.550000011920929,"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":26,"referenced_works":["https://openalex.org/W361283586","https://openalex.org/W1482241473","https://openalex.org/W1484183559","https://openalex.org/W1497853506","https://openalex.org/W1501423114","https://openalex.org/W1533077373","https://openalex.org/W1538103241","https://openalex.org/W1540369740","https://openalex.org/W1569851657","https://openalex.org/W1597839139","https://openalex.org/W1960127097","https://openalex.org/W2067288546","https://openalex.org/W2070132822","https://openalex.org/W2076446986","https://openalex.org/W2110456040","https://openalex.org/W2117631730","https://openalex.org/W2184879689","https://openalex.org/W2740271358","https://openalex.org/W2996121507","https://openalex.org/W3122109774","https://openalex.org/W3122253332","https://openalex.org/W3124082850","https://openalex.org/W3124955107","https://openalex.org/W4230500819","https://openalex.org/W4243534484","https://openalex.org/W4256116634"],"related_works":["https://openalex.org/W7100449672","https://openalex.org/W7100164030","https://openalex.org/W2890717445","https://openalex.org/W7098462442","https://openalex.org/W1517696840","https://openalex.org/W3125486410","https://openalex.org/W1592909527","https://openalex.org/W2120957664","https://openalex.org/W3122889966","https://openalex.org/W1671381071"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2021,"cited_by_count":6},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":2},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}