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

Jean-François Fillion
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Jean-François Fillion: Bank of Canada

Staff Working Papers from Bank of Canada

Abstract: In this study, the author examines the hypothesis of private- sector debt overhang, which suggests that households and businesses may on occasion find themselves holding too much debt and so decide to reduce it by cutting back expenditures. His aim is to determine whether this hypothesis can help explain the weakness of credit growth and the sluggishness of the recent economic recovery in Canada. The author examines the debt overhang hypothesis using three approaches. The first attempts to establish whether there is a cointegration relationship between the effective debt ratios of households and businesses and the macroeconomic (and demographic) variables that determine long-term debt ratios. The two other approaches examine whether the differences between the effective debt and the long-run debt ratios of households and businesses significantly affect their credit demands and their expenditures. Overall, while the cointegration tests based on estimation errors of long-term equations are inconclusive, the results of the other two approaches generally support the debt overhang hypothesis. Coefficients estimated with indicator models suggest that the household and business debt overhang may have significantly constrained the growth of consumer spending and investment in 1991 and 1992. Thus the private-sector debt overhang hypothesis may offer a partial explanation for the sluggish economic recovery. 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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