Common trends and common cycles in Canada: who knew so much has been going on?

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract: It is generally accepted that convergence is well established for regional Canadian per capita outputs. The authors present evidence that long-run movements are driven by two stochastic common trends in this time series. This evidence casts doubt on the convergence hypothesis for Canada. Another prevalent belief is that Canada forms an optimal currency area (OCA). The authors uncover three serially correlated common cycles whose asymmetries suggest Canada is not an OCA. Their common trendcommon cycle decomposition of regional outputs also reveals that trend shocks dominate fluctuations in Ontario, Quebec, and the Maritimes in the short run and long run but not in British Columbia and the Prairie region. Thus, regional Canadian economic fluctuations are driven by a rich, diverse, and economically important set of propagation and growth mechanisms. Terms of use: Documents inJEL classification: C32, E32, O47

The Beveridge–Nelson decomposition in retrospect and prospect

“…Predictability of the cycle implies a metric then for measuring the effectiveness of alternative decompositions: how well do they predict future growth or future turning points in the economy? This idea is not new, and it is central to several articles in the references including Cogley (2002), Hodrick and Zhang (2003), Orphanides and van Norden (2005), Rotenberg and Woodford (1996) and Wakerly et al (2006).…”

Ciclos econômicos na atividade industrial brasileira: uma análise no domínio do tempo e da frequência

“…Entre os estudos que se enquadram nas duas linhas de pesquisa abordadas, destacam-se os artigos de Carlino e Sill (2001), Mejia-Reyes, Gómez e Balboa (2004), Wakerly, Scott e Nason (2006), Gutierrez e Gomes (2009) e Wang (2013).…”

“…Ao investigarem a natureza dos ciclos econômicos nos setores industriais da economia mexicana a partir da concepção clássica de ciclos de negócios, Mejia-Reyes, Gómez e Balboa (2004) encontraram padrões assimétricos no comportamento dos ciclos de negócios da atividade industrial do México, observando que as taxas de crescimento das atividades produtivas industriais durante os períodos de expansão apresentaram-se superiores às taxas de queda na atividade em períodos de recessão. Wakerly, Scott e Nason (2006) utilizam a especifi cação de Vetores Autorregressivos (VAR), com restrições de curto e longo prazos, proposta por Vahid e Engle (1993,) na análise das fl utuações temporais do Produto Interno Bruto (PIB) per capita do Canadá, em nível regional. 3 Os resultados apontam a presença de duas tendências comuns divergentes, refutando a hipótese de convergência entre as regiões.…”

Is Canada an optimal currency area? An inflation targeting perspective

“…In his seminal contribution, Mundell () argues that given the asymmetric nature of shocks it may be better to divide Canada and the United States into west and east monetary unions rather than along political borders. Wakerly et al () apply common trend–common cycles decomposition to Canadian regions and find that regional trends and cycles are quite different. Georgopoulos () finds that provincial employment levels react heterogeneously to common monetary shocks.…”