The Impact Of The Global Crisis on Canada: What Do Macro-Financial Linkages Tell Us?

Author/Editor: Rupa Duttagupta, N Barrera
Release Date: © January, 2010
ISBN
: 978-1-45196-175-1
Stock #: WPIEA2010005
English
Stock Status: On back-order
Languages and formats available
English | French | Spanish | Arabic | Russian | Chinese | Portuguese | |
Paperback | Yes | ||||||
Yes |
Description
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.
More publications in this series: Working Papers
More publications by: Rupa Duttagupta ; N Barrera