IDEAS home Printed from https://ideas.repec.org/p/wpa/wuwpma/9502006.html
   My bibliography  Save this paper

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

Author

Listed:
  • Jean-Francois Fillion

    (Banque du Canada)

Abstract

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, 1995. "L'endettement du secteur prive au Canada: un examen macroeconomique," Macroeconomics 9502006, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpma:9502006
    Note: 48 printed pages, compressed PostScript file. Other recent Bank of Canada working papers are listed on the last page of this report. Bank of Canada 94-7
    as

    Download full text from publisher

    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/mac/papers/9502/9502006.pdf
    Download Restriction: no
    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/mac/papers/9502/9502006.ps.gz
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. 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.
    4. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    5. 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.
    6. Engle, Robert & Granger, Clive, 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.
    7. 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.
    8. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    9. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    10. Barry Cozier & Greg Tkacz, "undated". "The Term Structure and Real Activity in Canada," Staff Working Papers 94-3, Bank of Canada.
    11. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Paper 1227, Economics Department, Queen's University.
    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)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jean-François Fillion, "undated". "L'endettement du secteur prive au Canada: un examen macroeconomique," Staff Working Papers 94-7, Bank of Canada.
    2. Amano, R. A. & van Norden, S., 1998. "Oil prices and the rise and fall of the US real exchange rate," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 299-316, April.
    3. Vicente Esteve, 2004. "Política fiscal y productividad del trabajo en la economía española: un análisis de series temporales," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 19(1), pages 3-29, June.
    4. Denise Côté & Doug Hostland, 1996. "An Econometric Examination of the Trend Unemployment Rate in Canada," Staff Working Papers 96-7, Bank of Canada.
    5. 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.
    6. Masih, Rumi & Masih, Abul M. M., 1996. "Stock-Watson dynamic OLS (DOLS) and error-correction modelling approaches to estimating long- and short-run elasticities in a demand function: new evidence and methodological implications from an appl," Energy Economics, Elsevier, vol. 18(4), pages 315-334, October.
    7. Tony Wirjanto, 2004. "Exploring consumption-based asset pricing model with stochastic-trend forcing processes," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1591-1597.
    8. Iris Claus, 1997. "A Measure of Underlying Inflation in the United States," Staff Working Papers 97-20, Bank of Canada.
    9. Stern, David I., 2000. "A multivariate cointegration analysis of the role of energy in the US macroeconomy," Energy Economics, Elsevier, vol. 22(2), pages 267-283, April.
    10. Lin, Yingqian & Tu, Yundong, 2020. "Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root," Journal of Econometrics, Elsevier, vol. 219(1), pages 52-65.
    11. Masih, A. Mansur M. & Masih, Rumi, 2002. "Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period," Global Finance Journal, Elsevier, vol. 13(1), pages 63-91.
    12. Oscar Bajo-Rubio & M. Dolores Montávez-Garcés, 2002. "Was There Monetary Autonomy in Europe on the Eve of Emu? the German Dominance Hypothesis Re-Examined," Journal of Applied Economics, Taylor & Francis Journals, vol. 5(2), pages 185-207, November.
    13. Robert Amano & Tony S. Wirjanto, "undated". "A Further Analysis of Exchange Rate Targeting in Canada," Staff Working Papers 94-2, Bank of Canada.
    14. Robert Amano, "undated". "Empirical Evidence on the Cost of Adjustment and Dynamic Labour Demand," Staff Working Papers 95-3, Bank of Canada.
    15. Athanasios Vazakidis & Antonios Adamopoulos, 2011. "Credit Market Development and Economic Growth an Empirical Analysis for United Kingdom," American Journal of Economics and Business Administration, Science Publications, vol. 3(3), pages 576-585, November.
    16. Chien-Chiang Lee & Chun-Ping Chang, 2006. "The Long-Run Relationship Between Defence Expenditures And Gdp In Taiwan," Defence and Peace Economics, Taylor & Francis Journals, vol. 17(4), pages 361-385.
    17. Tsangyao Chang & WenRong Liu & Steven Caudill, 2004. "A re-examination of Wagner's law for ten countries based on cointegration and error-correction modelling techniques," Applied Financial Economics, Taylor & Francis Journals, vol. 14(8), pages 577-589.
    18. Vicente Esteve & Juan Sanchis, "undated". "Estimating the substitutability between private and public consumption: the case of Spain, 1960- 2001," Studies on the Spanish Economy 161, FEDEA.
    19. Robert Amano & Tony S. Wirjanto, "undated". "The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation," Staff Working Papers 94-6, Bank of Canada.
    20. Efthymios Tsionas, 2001. "Regional Convergence and Common, Stochastic Long-run Trends: A Re-examination of the US Regional Data," Regional Studies, Taylor & Francis Journals, vol. 35(8), pages 689-696.

    More about this item

    JEL classification:

    • E - Macroeconomics and Monetary Economics

    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:wpa:wuwpma:9502006. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: EconWPA (email available below). General contact details of provider: https://econwpa.ub.uni-muenchen.de .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.