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Symetrie des chocs touchant les regions canadiennes et choix d'un regime de change

Alain DeSerres and René Lalonde
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Alain DeSerres: Bank of Canada
René Lalonde: Bank of Canada

Authors registered in the RePEc Author Service: Alain de Serres ()

Staff Working Papers from Bank of Canada

Abstract: The authors attempt to determine whether the primary advantage of the flexible exchange rate between Canada and the United States -- the rapid adjustment of the real exchange rate following an asymmetrical shock -- is as evident at the regional as at the national level. They try to determine whether the shocks experienced in different regions of Canada have a significant common component and, above all, whether that component is more important than the component common to a shock to the U.S. economy. First, the author identify real and monetary demand and supply shocks which affect the various Canadian regions and the shocks which affect the United States. They impose certain restrictions on the long-term effects that these shocks can have on production levels, prices and real balances. Next, for each region, and for the real supply and demand shocks individually, the authors use estimates from a state-space model to identify a common component to the shocks for the Canadian regions as a whole, a component specific to each individual region, and a component common to the American shocks. In general, the results show that the specific types of shock experienced in each of the Canadian regions are statistically linked to the common component of all the Canadian shocks and that, in many cases, the common Canadian component is more significant than the specific regional component. In addition, the common Canadian component is always much more important than the component common to the American shocks. Dans la presente etude, les auteurs tentent de verifier si le principal avantage du taux de change flexible entre le Canada et les Etats-Unis, qui est de permettre un ajustement rapide du taux de change reel apres un choc asymetrique, se manifeste autant sur le plan regional que sur le plan national. Pour ce faire, ils essaient de determiner si les chocs subis par les differentes regions canadiennes ont une composante commune significative et surtout si celle-ci est plus importante que la composante commune aux chocs subis par les Etats-Unis. Dans une premiere etape, ils identifient dans les diverses regions canadiennes et aux Etats-Unis les chocs de demande reels et monetaires ainsi que les chocs d'offre, en imposant certaines restrictions aux effets que ces chocs peuvent avoir a long terme sur le niveau de la production, des prix et des encaisses reelles. Dans une deuxieme etape, a partir de l'estimation d'un modele d'espace d'etat, les auteurs identifient, pour chacune des regions ainsi que pour les chocs reels d'offre et de demande examines separement, une composante commune a l'ensemble des regions canadiennes, une composante commune aux chocs americains et une composante specifique a chaque region. De facon generale, les resultats montrent que tous les types de chocs touchant les regions canadiennes sont statistiquement relies a la composante commune canadienne des chocs et que, dans plusieurs cas, celle-ci depasse en importance la composante specifique. De plus, la composante commune canadienne est toujours beaucoup plus importante que la composante commune aux chocs americains.

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Working Paper: Symetrie des chocs touchant les regions canadiennes et choix d'un regime de change (1995) Downloads
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