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Joaquim Pina
''Do international spillovers matter for long run neutrality?''
( 2009, Vol. 29 No.3 )
This paper examines whether international spillovers matter for long run neutrality. Using as small open economy Canada, and U.S. for relevant foreign economy, we run three separate VAR systems, with none, some and all cross-border effects. We compare impulse responses and variance decompositions across the systems. We conclude that, for Canada, unless international spillovers are considered, one can mistakenly find that long run neutrality does not hold.
Keywords: VAR Identification
JEL: E4 - Money and Interest Rates: General
Manuscript Received : Jun 11 2008 Manuscript Accepted : Jul 01 2009

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