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Identification des points de retournement du cycle économique au Canada

Author

Listed:
  • Dalibor Stevanovic
  • Stéphane Surprenant
  • Rachidi Kotchoni

Abstract

Ce rapport propose d’établir un historique des cycles économiques au Canada et de comparer les cycles estimés à travers les di˙érentes régions et di˙érents secteur d’activité économique. Dans un premier temps, les cycles sont estimés sur des données d’emplois provinciales et sectorielles par des modèles à changements de régime marko-viens (Markov-switching models). Ils sont comparés à l’aide de mesures basées sur les corrélations des séries de probabilités de récession. Une certaine dispersion des cycles économiques semble exister au Canada, surtout entre l’est et l’ouest du pays, mais les cycles apparaissent relativement synchronisés. L’exercice est e˙ectué selon deux désai-sonnalisations des données d’emplois et il apparaît qu’un lissage plus important lors de la désaisonnalisation a˙ecte la saillance des points de retournement. Dans un deuxième temps, l’approche multivariée est proposée en tablant sur une base de données de plus de 150 variables macroéconomiques canadiennes et l’analyse en composantes princi-pales. Les résultats suggèrent encore des di˙érences cycliques entre l’est et l’ouest du pays et des cycles relativement synchronisés. Par contre, l’approche multivarié identi-fie les cycles plus uniformément à travers le pays que l’approche univariée basée sur l’emploi.

Suggested Citation

  • Dalibor Stevanovic & Stéphane Surprenant & Rachidi Kotchoni, 2019. "Identification des points de retournement du cycle économique au Canada," CIRANO Project Reports 2019rp-05, CIRANO.
    • Handle: RePEc:cir:cirpro:2019rp-05
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    File URL: https://cirano.qc.ca/files/publications/2019RP-05.pdf
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    References listed on IDEAS

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