The Impact of the Global Crisis on Canada—What Do Macro-Financial Linkages Tell Us?

Author/Editor:

N. Barrera ; Rupa Duttagupta

Publication Date:

January 1, 2010

Electronic Access:

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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:

English

Publication Date:

January 1, 2010

ISBN/ISSN:

9781451961751/1018-5941

Stock No:

WPIEA2010005

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

19

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