Title The impact of the global crisis on Canada : what do macro-financial linkages tell us? / prepared by Rupa Duttagupta and Natalia Barrera

Published [Washington, D.C.] : International Monetary Fund, ©2010

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Description 1 online resource (19 pages) : color illustrations Series IMF working paper ; WP/10/5 IMF working paper ; WP/10/5. 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 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 Bibliography Includes bibliographical references (page 19) Notes English Print version record Subject Global Financial Crisis, 2008-2009. Financial crises -- Canada -- Econometric models Economic forecasting -- Canada -- Econometric models Autoregression (Statistics) Autoregression (Statistics) Economic forecasting -- Econometric models Economic history Financial crises -- Econometric models SUBJECT Canada -- Economic conditions -- 1991- -- Econometric models Subject Canada Form Electronic book Author Barrera, N. (Natalia Andrea), author. International Monetary Fund. Western Hemisphere Department, issuing body. ISBN 1283561662 9781283561662 9781451918540 1451918542 1451961758 9781451961751 1462367860 9781462367863 1452749043 9781452749044 9786613874115 6613874116

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