Testing for a Structural Break in the Volatility of Real GDP Growth in Canada

Alexandre Debs

Staff Working Papers from Bank of Canada

Abstract: This study tests for a structural break in the volatility of real GDP growth in Canada following the methodology of McConnell and Quiros (1998). A break is found in the first quarter of 1991. Based on disaggregated data, the tests indicate a break in the volatility of the rate of change of investment in residential structures and a break in the volatility of the rate of growth of personal expenditures on goods. Three possible explanations are given for the break in the data: a more service-oriented economy, improved inventory management, and a change in monetary policy.

Keywords: Business fluctuations and cycles; Econometric and statistical methods (search for similar items in EconPapers)
JEL-codes: C12 E32 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2001
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (15)

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