"Global Risk Shocks in a Small Open Economy and Their Impact on Monetary Policy Surprises"

This paper studies the macroeconomic effects of global risk shocks in a small open economy and their implications for monetary policy identification. Using a VIX-based proxy for global risk as an external instrument in a proxy-SVAR for Canada, I show that global risk shocks tighten financial conditions and distort high-frequency monetary policy shock identification, leading to an overestimation of monetary policy effects.

"Sign-dependent proxy-SVAR: Shock Asymmetry"

Proxy-SVARs are widely used to identify dynamic causal effects under the assumption of sign symmetry. This paper relaxes that assumption and demonstrates how asymmetric shock transmission can be identified.