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Relationship between the real economy and the banking sector: U.S. and Canada evidence

Ouedraogo, Evrard (2016). Relationship between the real economy and the banking sector: U.S. and Canada evidence. Mémoire. Gatineau, Université du Québec en Outaouais, Département des sciences administratives, 55 p.

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Résumé

The goal of this research project is to examine the relationship which governs the macroeconomic system and the baking sector. A special attention is given to a significant potential feedback effect of bank fee-based activities on economy and stock market activities. Based on three decades of U.S. and Canada data, I analyze both the cyclicality and procyclicality between the macroeconomic system and the baking system. A vector autoregressive (VAR) model is employed and the results suggest that the banking system shocks indeed affect the real economy side (feedback effect). The main finding relies on the use of the local projection approach proposed by Jorda (2005) to compute the impulse response function (IRF).

Type de document: Thèse (Mémoire)
Directeur de mémoire/thèse: Calmès, Christian
Co-directeurs de mémoire/thèse: Tessier, David
Mots-clés libres: Universal banking; Banking cycle; VAR; Feedback effects; Procyclicality; Local projection
Départements et école, unités de recherche et services: Sciences administratives
Date de dépôt: 24 avr. 2017 17:06
Dernière modification: 30 mai 2017 19:25
URI: http://di.uqo.ca/id/eprint/897

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