The Impact of the Global Crisis on Canadaâ€”What Do Macro-Financial Linkages Tell Us?
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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- Vladimir Klyuev, 2008. "Real Implications of Financial Linkages Between Canada and the United States," IMF Working Papers 08/23, International Monetary Fund.
- Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 630-650.
- 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., vol. 27(1), pages 41-51.
- P&aauml;r Österholm & 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.
- Jeronimo Zettelmeyer & PÃ¤r Ã–sterholm, 2007. "The Effect of External Conditions on Growth in Latin America," IMF Working Papers 07/176, International Monetary Fund.
- PÃ¤r Ã–sterholm & Lisandro Abrego, 2008.
"External Linkages and Economic Growth in Colombia; Insights from A Bayesian VAR Model,"
IMF Working Papers
08/46, International Monetary Fund.
- Lisandro Abrego & Pär Österholm, 2010. "External Linkages and Economic Growth in Colombia: Insights from a Bayesian VAR Model," The World Economy, Wiley Blackwell, vol. 33(12), pages 1788-1810, December.
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