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

  • Fillion, J.F.
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    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).

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    File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-14.pdf
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    Paper provided by Bank of Canada in its series Staff Working Papers with number 96-14.

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    Length: 34 pages
    Date of creation: 1996
    Date of revision:
    Handle: RePEc:bca:bocawp:96-14
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    Web page: http://www.bank-banque-canada.ca/

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    1. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
    2. Steven A. Zimmer, 1990. "Event risk premia and bond market incentives for corporate leverage," Monograph, Federal Reserve Bank of New York, number 1990erpabmifc.
    3. Bayoumi, Tamim & Goldstein, Morris & Woglom, Geoffrey, 1995. "Do Credit Markets Discipline Sovereign Borrowers? Evidence from US States," CEPR Discussion Papers 1088, C.E.P.R. Discussion Papers.
    4. Garcia, R. & Perron, P., 1990. "An Anlysis Of The Real Interest Rate Under Regime Shifts," Papers 353, Princeton, Department of Economics - Econometric Research Program.
    5. Alain Paquet, 1994. "A Guide to Applied Modern Macroeconometrics," Documents techniques CREFE / CREFE Technical Papers 1, CREFE, Université du Québec à Montréal.
    6. 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 461-72, August.
    7. Steven A. Zimmer, 1990. "Event risk premia and bond market incentives for corporate leverage," Research Paper 9028, Federal Reserve Bank of New York.
    8. Buiter, Willem H., 1984. "Fiscal Policy in Open, Interdependent Economies," CEPR Discussion Papers 28, C.E.P.R. Discussion Papers.
    9. 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.
    10. Steven A. Zimmer, 1990. "Event risk premia and bond market incentives for corporate leverage," Quarterly Review, Federal Reserve Bank of New York, issue Spr, pages 15-30.
    11. 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.
    12. 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 425-49, November.
    13. Tiff Macklem & David Rose & Robert Tetlow, . "GOVERNMENT DEBT AND DEFICITS IN CANADA: A Macro Simulation Analysis," Staff Working Papers 95-4, Bank of Canada.
    14. Robert A. Amano & Simon van Norden, 1995. "Unit Root Tests and the Burden of Proof," Econometrics 9502005, EconWPA.
    15. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    16. Joseph Atta-Mensah, 1996. "The Empirical Performance of Alternative Monetary and Liquidity Aggregates," Macroeconomics 9601001, EconWPA.
    17. 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.
    18. Paquet, A., 1994. "A Guide to Applied Modern Macroeconometrics," Working Papers-Department of Finance Canada 1994-5, Department of Finance Canada.
    19. 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.
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