Description
Résumé: Dans la présente étude, les auteurs tentent de vérifier si le principal avantage du taux de change flexible entre le Canada et les États-Unis, qui est de permettre un ajustement rapide du taux de change réel après un choc asymétrique, se manifeste autant sur le plan régional que sur le plan national. Pour ce faire, ils essaient de déterminer si les chocs subis par les différentes régions canadiennes ont une composante commune significative et surtout si celle-ci est plus importante que la composante commune aux chocs subis par les États-Unis. Dans une première étape, ils identifient dans les diverses régions canadiennes et aux États-Unis les chocs de demande réels et monétaires ainsi que les chocs d'offre, en imposant certaines restrictions aux effets que ces chocs peuvent avoir à long terme sur le niveau de la production, des prix et des encaisses réelles. Dans une deuxième étape, à partir de l'estimation d'un modèle d'espace d'état, les auteurs identifient, pour chacune des régions ainsi que pour les chocs réels d'offre et de demande examinés séparément, une composante commune à l'ensemble des régions canadiennes, une composante commune aux chocs américains et une composante spécifique à chaque région. De façon générale, les résultats montrent que tous les types de chocs touchant les régions canadiennes sont statistiquement reliés à la composante commune canadienne des chocs et que, dans plusieurs cas, celle-ci dépasse en importance la composante spécifique. De plus, la composante commune canadienne est toujours beaucoup plus importante que la composante commune aux chocs américains.
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 authors 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.
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 authors 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.