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

 
Author/Editor: Rupa Duttagupta ; N. Barrera
 
Publication Date: January 01, 2010
 
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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.
 
Series: Working Paper No. 10/5
Subject(s): Bank credit | Credit controls | Economic forecasting | Economic growth | Economic models | External sector | Global Financial Crisis 2008-2009 | Gross domestic product | Spillovers

Author's Keyword(s): Macro-financial linkages | Bayesian VAR estimation | lending standards
 
English
Publication Date: January 01, 2010
ISBN/ISSN: 9781451961751 Format: Paper
Stock No: WPIEA2010005 Pages: 32
Price:
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