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

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21 citations0/0 files storedRePEc: Research Papers in Economics

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Market Dynamics and Volatility

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.

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1999Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle 1998Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory 1997Approximate Asymptotic P Values for StructuraS-Change Tests 2021Steps in Applying Extreme Value Theory to Finance: A Review 2021The Zero Bound on Nominal Interest Rates: How Important Is It?2004Business Cycle Volatility in Germany 2021On Commodity-Sensitive Currencies and Inflation Targeting

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