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The Impact of the Global Crisison Canada

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  • Rupa Duttagupta
  • N. Barrera
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    Abstract

    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.

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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=23483
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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 10/5.

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    Length: 19
    Date of creation: 01 Jan 2010
    Date of revision:
    Handle: RePEc:imf:imfwpa:10/5

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    Related research

    Keywords: Bank credit; Credit controls; Economic forecasting; Economic growth; Economic models; External sector; Global Financial Crisis 2008-2009; Gross domestic product; Spillovers; real gdp; gdp growth; growth rate; growth rates; growth accounting; business cycles;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. P&aauml;r �sterholm & Jeromin Zettelmeyer, 2008. "The Effect of External Conditions on Growth in Latin America," IMF Staff Papers, Palgrave Macmillan, vol. 55(4), pages 595-623, December.
    2. Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 24(4), pages 630-650.
    3. Pär Österholm, 2008. "Can forecasting performance be improved by considering the steady state? An application to Swedish inflation and interest rate," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 27(1), pages 41-51.
    4. Vladimir Klyuev, 2008. "Real Implications of Financial Linkages Between Canada and the United States," IMF Working Papers 08/23, International Monetary Fund.
    5. Pär Österholm & Lisandro Abrego, 2008. "External Linkages and Economic Growth in Colombia," IMF Working Papers 08/46, International Monetary Fund.
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    Cited by:
    1. Al-Shboul, Mohammad & Anwar, Sajid, 2014. "Pricing of the currency risk in the Canadian equity market," Research in International Business and Finance, Elsevier, Elsevier, vol. 30(C), pages 173-194.

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