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Le prix de l’énergie et l’activité économique au Canada

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Author Info
Carl Gaudreault

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Abstract

This paper reproduces the works of Hamilton (1983) and the subsequent authors for the Canadian case to assess the empirical relationship between energy prices variations and economic activity in Canada. We use crude oil and natural gas prices (separately and together) as energy prices, and also some asymmetric and non-linear transformations based on the American literature. We first use bivariate and multivariate Granger causality tests. The bivariate tests results show a significant negative relationship between oil price increases and economic activity in Canada for the period going from the first quarter 1962 and the fourth quarter 2001. The relationship is asymmetric since the coefficients associated with oil price decreases are not jointly statistically significant. The multivariate tests confirm this result for some oil price specifications only. Natural gas price has no predictive information for economic activity. Next, we go deeper into our analysis in assessing the dynamic behaviour of the variables in a structural vector auto regression (SVAR) model. The results of the structural analysis show that a positive shock in real crude oil price produces a slight cumulative decline in Canadian economic activity, which is significant at a 95% confidence level. More specifically, following a 1$-rise in real oil prices, real GDP decline by 0.05% after four quarters and by 0.10% after eight quarters.

Dans cette étude, nous reproduisons les travaux de Hamilton (1983) et des auteurs subséquents au cas du Canada dans le but d’évaluer la relation empirique entre les variations de prix de l’énergie et l’activité économique canadienne. Nous utilisons le prix du pétrole et du gaz naturel (séparément et ensemble) comme prix de l’énergie, ainsi que plusieurs transformations asymétriques et non-linéaires basées sur la littérature américaine. Nous utilisons premièrement des tests bivariés et multivariés de causalité à la Granger. Les résultats des tests bivariés montrent la présence d’une relation négative significative entre les hausses de prix du pétrole et l’activité économique au Canada pour la période allant du premier trimestre 1962 au quatrième trimestre 2001. Cette relation est asymétrique puisque les coefficients associés aux variables de baisses de prix du pétrole ne sont pas conjointement significatifs. Les tests multivariés corroborent ce résultat pour certaines spécifications de prix du pétrole seulement. Le prix du gaz naturel ne contient aucune information prédictive pour l’activité économique. Nous approfondissons ensuite notre analyse en étudiant le comportement dynamique des variables d’un système vectoriel auto-régressif structurel (SVAR). Les résultats de l’analyse structurelle montrent qu’un choc positif de prix réel du pétrole engendre une légère baisse cumulative de l’activité économique au Canada, laquelle est significative à un niveau de confiance de 95%. Plus précisément, on observe une diminution du PIB réel de 0,05% après quatre trimestres et de 0,10% après huit trimestres suivant une hausse de 1$ du prix réel du pétrole.

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Paper provided by Department of Finance Canada in its series Working Papers-Department of Finance Canada with number 2003-14.

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