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La persistance des chocs au Canada, 1870-1996

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  • Hamdad, Malika

    (Statistique Canada)

  • Harchaoui, Tarek M.

    (Statistique Canada)

Abstract

The persistence of shocks to aggregate output in Canada is investigated under a multisectoral framework. This approach allows for a decomposition of the persistent effect of output into macro and “other” possibly sector-specific shocks. The framework makes the distinction between the pre-war and post-war eras and their corresponding macro shocks, namely the 1896 wheat boom and the 1973 oil shock. The results obtained by our investigation are threefold: a) they reveal that the point estimate of the aggregate persistence measure based on this disaggregated framework is lower and considerably more precisely estimated than the estimate based on the aggregate univariate models; b) they indicate that shocks tend to be slightly more persistent in the post-war period in comparison with the pre-war era, and c) they indicate that the wheat boom has indeed created a major and permanent deviation to the aggregate output, thereby supporting the traditional view of the Canadian economic history. Ce travail examine la persistance des chocs de la production agrégée dans une perspective multisectorielle. Cette approche permet de décomposer la persistance des chocs de la production en deux composantes : la première due à des chocs d’origine macroéconomique explicitement identifiés et la seconde à des chocs « autres », probablement d’origine sectorielle. Ce cadre d’analyse a été appliqué à des séries historiques sur la production sectorielle de l’économie canadienne pour les périodes d’avant-guerre et d’après-guerre, pour lesquelles les chocs macroéconomiques explicitement identifiés ont été, respectivement, le choc du blé de 1890 et le choc pétrolier de 1973. Les résultats présentés dans ce papier ont a) confirmé dans le contexte canadien que l’approche désagrégée fournit des estimations plus faibles et résolument plus fiables de la mesure de la persistance que ceux obtenus au moyen d’une approche agrégée univariée ; b) permis de montrer que les effets des chocs ont eu tendance à devenir légèrement plus persistants à travers le temps ; et c) mesuré le degré auquel le choc du blé a contribué à provoquer une déviation permanente sur la production de l’économie canadienne et ainsi corroborer la thèse traditionaliste de l’histoire économique du Canada.

Suggested Citation

  • Hamdad, Malika & Harchaoui, Tarek M., 2004. "La persistance des chocs au Canada, 1870-1996," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 421-437, Juin-Sept.
    • Handle: RePEc:ris:actuec:v:80:y:2004:i:2:p:421-437
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