The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models. Since the time series of the Bank's current measure of the overnight rate begins only in 1971, the authors splice it to day loan rate observations to obtain a...

Note: The following is a description of the paper and not the abstract as published in the print journal. In this paper new evidence on the transmission of monetary policy shocks across the G-6 countries is presented. Monetary shocks are identified as those that have a proportionate effect on...