The Impact of the Global Crisis on Canada—What Do Macro-Financial Linkages Tell Us? / Rupa Duttagupta, N. Barrera.

Format:

Book

Government document

Author/Creator:

Duttagupta, Rupa.

Contributor:

Barrera, N.

Series:

IMF Working Papers; Working Paper ; No. 2010/005

IMF Working Papers

Language:

English

Subjects (All):

Economic forecasting--Canada--Econometric models.

Economic forecasting.

Global Financial Crisis, 2008-2009.

Canada--Economic conditions--1991---Econometric models.

Canada.

Physical Description:

1 online resource (21 p.)

Edition:

First edition.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2010.

Language Note:

English

Summary:

This paper builds a Bayesian VAR estimation model of growth for Canada, by focusing specifically on the role of external and domestic financial indicators, including credit conditions. A variance decomposition shows that financial conditions explain one-third of the total variability in Canada's real GDP growth, although changes in U.S. real GDP growth still account for a larger share of volatility in Canadian growth. A macro-financial conditions index built from the VAR's impulse responses shows that U.S. real GDP growth and lending standards will increasingly bear on Canada's growth, implying that a normalization of the U.S. economic and financial conditions is key for a sustained recovery in Canada.

Contents:

Contents; I. Introduction; II. Empirical Analysis; A. Data and Stylized Facts; Figures; 1. Canada: Banks' Lending Standards for Corporations and Real GDP Growth; Tables; 1. Correlations Between U.S. and Canadian Financial Variables and Canadian Real; B. The Bayesian VAR model; 2. Steady State Priors; 2. Impulse Response Functions of Shocks to Canada's Real GDP Growth; 3. Impulse Response Function of U.S. SLOS Shocks to Canada's SLOS; 4. Variance Decomposition of Canadian Real GDP Growth; C. Out of Sample Forecasts; 5. Actual Versus Projected Real GDP Growth

6. Out of Sample Projections of BayesVAR Versus VAR7. Canadian Real GDP Forecast for 2009 Under Alternative Paths for US Real GDP Growth; 8. Canadian Real GDP Forecast Under Alternative Conditions for Canadian SLOS; D. Macro-Financial Conditions Index; 9. Contribution to the Macro-Financial Conditions Index; III. Conclusion; References

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on print version record.

ISBN:

9786613874115

9781462367863

1462367860

9781452749044

1452749043

9781283561662

1283561662

9781451918540

1451918542

OCLC:

870244819