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Testing for a Structural Break in the Volatility of Real GDP Growth in Canada

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  • Alexandre Debs
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    Abstract

    This study tests for a structural break in the volatility of real GDP growth in Canada following the methodology of McConnell and Quiros (1998). A break is found in the first quarter of 1991. Based on disaggregated data, the tests indicate a break in the volatility of the rate of change of investment in residential structures and a break in the volatility of the rate of growth of personal expenditures on goods. Three possible explanations are given for the break in the data: a more service-oriented economy, improved inventory management, and a change in monetary policy.

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    File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-9.pdf
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    Bibliographic Info

    Paper provided by Bank of Canada in its series Working Papers with number 01-9.

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    Length: 41 pages
    Date of creation: 2001
    Date of revision:
    Handle: RePEc:bca:bocawp:01-9

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    Postal: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada
    Phone: 613 782-8845
    Fax: 613 782-8874
    Web page: http://www.bank-banque-canada.ca/

    Related research

    Keywords: Business fluctuations and cycles; Econometric and statistical methods;

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    Cited by:
    1. Marwan Chacra & Maral Kichian, 2004. "A Forecasting Model for Inventory Investments in Canada," Working Papers 04-39, Bank of Canada.
    2. Claudia M. Buch & Joerg Doepke & Christian Pierdzioch, 2004. "Business Cycle Volatility in Germany," German Economic Review, Verein für Socialpolitik, vol. 5(4), pages 451-479, November.
    3. William Martin & Robert Rowthorn, 2004. "Will Stability Last?," CESifo Working Paper Series 1324, CESifo Group Munich.
    4. M. Ayhan Kose & Roberto Cardarelli, 2004. "Economic Integration, Business Cycle, and Productivity in North America," IMF Working Papers 04/138, International Monetary Fund.
    5. Paul Jenkins & Brian O'Reilly, 2001. "Monetary Policy and the Economic Well-being of Canadians," The Review of Economic Performance and Social Progress, in: Andrew Sharpe, Executive Director & France St-Hilaire, Vice-President , Research & Keith Banting, Di (ed.), The Review of Economic Performance and Social Progress 2001: The Longest Decade: Canada in the 1990s, volume 1 Centre for the Study of Living Standards & The Institutute for Research on Public Policy.

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