IDEAS home Printed from https://ideas.repec.org/p/bca/bocawp/94-7.html
   My bibliography  Save this paper

L'endettement du secteur prive au Canada: un examen macroeconomique

Author

Listed:
  • Jean-Francois Fillion

    (Bank of Canada)

Abstract

In this study, the author examines the hypothesis of private- sector debt overhang, which suggests that households and businesses may on occasion find themselves holding too much debt and so decide to reduce it by cutting back expenditures. His aim is to determine whether this hypothesis can help explain the weakness of credit growth and the sluggishness of the recent economic recovery in Canada. The author examines the debt overhang hypothesis using three approaches. The first attempts to establish whether there is a cointegration relationship between the effective debt ratios of households and businesses and the macroeconomic (and demographic) variables that determine long-term debt ratios. The two other approaches examine whether the differences between the effective debt and the long-run debt ratios of households and businesses significantly affect their credit demands and their expenditures. Overall, while the cointegration tests based on estimation errors of long-term equations are inconclusive, the results of the other two approaches generally support the debt overhang hypothesis. Coefficients estimated with indicator models suggest that the household and business debt overhang may have significantly constrained the growth of consumer spending and investment in 1991 and 1992. Thus the private-sector debt overhang hypothesis may offer a partial explanation for the sluggish economic recovery. Cette etude examine l'hypothese du surendettement du secteur prive, selon laquelle les menages et les entreprises se trouvent en certaines circonstances surendettes et decident, pour cette raison, de reduire leurs dettes en diminuant leurs depenses. Nous tentons de determiner si cette hypothese peut contribuer a expliquer la faiblesse de la croissance du credit et l'atonie de la recente reprise economique au Canada. Nous examinons l'hypothese du surendettement a l'aide de trois approches. La premiere approche vise a verifier l'existence de relations de cointegration entre les ratios d'endettement effectifs des menages et des entreprises et les variables macroeconomiques (et demographiques) qui determinent les ratios d'endettement de long terme. Les deux autres approches consistent a verifier si les ecarts entre l'endettement effectif et l'endettement de long terme des menages et des entreprises ont des effets significatifs sur leur demande de credit, d'une part, et sur leurs depenses, d'autre part. De facon generale, les resultats des tests de cointegration bases sur les erreurs d'estimation des equations de long terme ne sont pas tres concluants, alors que les resultats obtenus a l'aide des deux autres approches sont plutot favorables a l'hypothese du surendettement. Selon les coefficients estimes a l'aide des modeles indicateurs, le surendettement des menages et des entreprises aurait pu contribuer a limiter de facon significative le taux de croissance des depenses de consommation et celui des depenses d'investissement en 1991 et 1992. Le surendettement du secteur prive pourrait donc expliquer en partie le peu de vigueur de la reprise economique.

Suggested Citation

  • Jean-Francois Fillion, "undated". "L'endettement du secteur prive au Canada: un examen macroeconomique," Staff Working Papers 94-7, Bank of Canada.
  • Handle: RePEc:bca:bocawp:94-7
    as

    Download full text from publisher

    File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/04/wp94-7.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    3. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    4. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    5. Estrella, Arturo & Hardouvelis, Gikas A, 1991. " The Term Structure as a Predictor of Real Economic Activity," Journal of Finance, American Finance Association, vol. 46(2), pages 555-576, June.
    6. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
    7. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    8. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
    9. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
    10. Barry Cozier & Greg Tkacz, "undated". "The Term Structure and Real Activity in Canada," Staff Working Papers 94-3, Bank of Canada.
    11. Ben S. Bernanke & John Y. Campbell, 1988. "Is There a Corporate Debt Crisis?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 19(1), pages 83-140.
    12. Freedman, Charles & Longworth, David, 1990. "Debt and credit: Recent Canadian developments," North American Review of Economics and Finance, Elsevier, vol. 1(1), pages 33-51.
    13. Robert A. Amano & Simon van Norden, 1995. "Unit Root Tests and the Burden of Proof," Econometrics 9502005, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bca:bocawp:94-7. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://www.bank-banque-canada.ca/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.