Economics at your fingertips  

Prévision et analyse de la production manufacturière au Canada: comparaison de modèles linéaires et non linéaires

Frederick Demers

Staff Working Papers from Bank of Canada

Abstract: In this paper, the author describes reduced-form linear and non-linear econometric models developed to forecast and analyze quarterly data on output growth in the Canadian manufacturing sector from 1981 to 2003. Empirical evidence reported in the paper suggests that economic activity in the United States and the real exchange rate are the main factors that influence output in the manufacturing sector in Canada. Although the real exchange rate has a significant impact, the response of output to exchange rate shocks is highly asymmetric. In addition, non-linear Markov switching models appear to better explain the growth of output and provide more accurate out-of-sample forecasts. Because of the asymmetry, empirical evidence shows the need to take into account conditional rather than unconditional elasticities to the state of production in the manufacturing sector, especially when analyzing the response of output to real exchange rate shocks.

Keywords: Econometric and statistical methods; Business fluctuations and cycles (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2004
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)

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:

Access Statistics for this paper

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

Page updated 2023-03-04
Handle: RePEc:bca:bocawp:04-40