Financial Spillovers Across Countries: The Case of Canada and the United States

Kimberly Beaton and Brigitte Desroches

Discussion Papers from Bank of Canada

Abstract: The authors investigate financial spillovers across countries with an emphasis on the effect of shocks to financial conditions in the United States on financial conditions and economic activity in Canada. These questions are addressed within a global vector autoregression model. The framework links individual country vector autoregression models in which the domestic variables are related to the country-specific foreign variables. The authors' results highlight the importance of financial variables in the transmission of shocks to real activity and financial conditions in the United States to Canada. First, they show that shocks to U.S. output are transmitted quickly to Canada, with important implications for financial conditions. Second, they show that the most important source of financial transmission between the United States and Canada is through shocks to U.S. equity prices. Financial transmission through movements in the quantity of U.S. credit is also important for Canada.

Keywords: Business fluctuations and cycles; Economic models; Financial stability; International topics (search for similar items in EconPapers)
JEL-codes: E27 E32 F36 F40 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2011
New Economics Papers: this item is included in nep-bec, nep-cba, nep-ifn and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://www.bankofcanada.ca/wp-content/uploads/2011/01/dp11-1.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bca:bocadp:11-1

Access Statistics for this paper

More papers in Discussion Papers from Bank of Canada 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada. Contact information at EDIRC.
Bibliographic data for series maintained by ().