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L'endettement du Canada et ses effets sur les taux d'interet reels de long term

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  • Jean-François Fillion

Abstract

Cette etude examine les effets de l'endettement du Canada sur les taux d'interet reels de long terme au Canada a l'aide de la methode des VECM (Vector Error Correction Model).

Suggested Citation

  • Jean-François Fillion, 1996. "L'endettement du Canada et ses effets sur les taux d'interet reels de long term," Staff Working Papers 96-14, Bank of Canada.
    • Handle: RePEc:bca:bocawp:96-14
    DOI: 10.34989/swp-1996-14
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    References listed on IDEAS

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    2. Correia-Nunes, Jose & Stemitsiotis, Loukas, 1995. "Budget Deficit and Interest Rates: Is There a Link? International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(4), pages 425-449, November.
    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. Garcia, Rene & Perron, Pierre, 1996. "An Analysis of the Real Interest Rate under Regime Shifts," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 111-125, February.
    6. Willem Buiter, 1987. "Fiscal Policy in Open, Interdependent Economies," Palgrave Macmillan Books, in: Assaf Razin & Efraim Sadka (ed.), Economic Policy in Theory and Practice, chapter 3, pages 101-144, Palgrave Macmillan.
    7. Steven A. Zimmer, 1990. "Event risk premia and bond market incentives for corporate leverage," Monograph, Federal Reserve Bank of New York, number 1990erpabmifc.
    8. Tiff Macklem & David Rose & Robert Tetlow, "undated". "Government Debt and Deficits In Canada: A Macro Simulation Analysis," Staff Working Papers 95-4, Bank of Canada.
    9. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
    10. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    11. MacKinnon, James G., 2010. "Critical Values for Cointegration Tests," Queen's Economics Department Working Papers 273723, Queen's University - Department of Economics.
    12. Steven A. Zimmer, 1990. "Event risk premia and bond market incentives for corporate leverage," Quarterly Review, Federal Reserve Bank of New York, vol. 15(Spr), pages 15-30.
    13. Steven A. Zimmer, 1990. "Event risk premia and bond market incentives for corporate leverage," Research Paper 9028, Federal Reserve Bank of New York.
    14. Robert Engle & Clive Granger, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    15. Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche 9423, Universite de Montreal, Departement de sciences economiques.
    16. Bayoumi, Tamim & Goldstein, Morris & Woglom, Geoffrey, 1995. "Do Credit Markets Discipline Sovereign Borrowers? Evidence from the U.S. States," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(4), pages 1046-1059, November.
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    Cited by:

    1. Peter S. Spiro, 1997. "The Effect of the Current Account Balance on Interest Rates," Macroeconomics 9707001, University Library of Munich, Germany.

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    Keywords

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    JEL classification:

    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General

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