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Impact des variations de taux de change réel sur l’activité économique régionale au Canada

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Author Info
José Bourque
Carl Gaudreault

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Abstract

This paper investigates the empirical effects of real exchange rate changes on regional economies in Canada. We use two approaches. First, we estimate panel models with annual data for the period 1981 to 2002. The estimation results suggest that Ontario is the most sensitive region to real exchange rate movements. The Atlantic Provinces and British Columbia show weaker and statistically insignificant coefficients. The impact in Québec and the Prairies are significant and in between. Second, we evaluate the dynamic behaviour of regional economic activity following a real exchange rate shock using the structural vector autoregression (SVAR) methodology with quarterly data over the same period. The estimation results show that the regional dynamics are relatively similar to those found with panel models. Furthermore, the sensitivity analysis for both approaches suggests that the results are robust.

La présente étude vise à estimer l’impact des variations de taux de change réel sur les économies des régions canadiennes. Deux approches sont utilisées. Premièrement, nous estimons des modèles en panel avec des données annuelles pour la période allant de 1981 à 2002. Les résultats de ces estimations suggèrent que l’économie ontarienne est la plus sensible aux variations de taux de change réel. Les provinces de l’Atlantique et la Colombie-Britannique démontrent quant à elles une sensibilité beaucoup plus faible et non significative. L’impact au Québec et dans les Prairies est significatif et se situe généralement entre les deux. Deuxièmement, nous évaluons le comportement dynamique de l’activité économique régionale suite à un choc de taux de change réel en utilisant la méthodologie des vecteurs autorégressifs structurels (SVAR) avec des données trimestrielles sur la même période. Les résultats de l’estimation de ces modèles montrent une dynamique régionale similaire à celle trouvée avec les modèles en panel. De plus, l’analyse de sensibilité effectuée sur les estimations des deux approches suggère que les résultats sont robustes.

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Paper provided by Department of Finance Canada in its series Working Papers-Department of Finance Canada with number 2004-03.

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Handle: RePEc:fca:wpfnca:2004-03

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