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

Unknown author

21 citations0/0 files storedRePEc: Research Papers in Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 21 citations exist upstream.

References

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

Cited by

2004Will Stability Last?

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.