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

  • Jean-Francois Fillion

    (Banque du Canada)

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    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.

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    Paper provided by EconWPA in its series Macroeconomics with number 9502006.

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    Length: 48 pages
    Date of creation: 13 Feb 1995
    Date of revision:
    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
    Contact details of provider: Web page: http://128.118.178.162

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    1. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
    2. Barry Cozier & Greg Tkacz, . "The Term Structure and Real Activity in Canada," Working Papers 94-3, Bank of Canada.
    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. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, 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 555-76, June.
    6. 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.
    7. 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.
    8. 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.
    9. Robert A. Amano & Simon van Norden, 1995. "Unit Root Tests and the Burden of Proof," Econometrics 9502005, EconWPA.
    10. 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.
    11. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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