Les déterminants macroéconomiques de l'épargne québécoise et canadienne – une étude économétrique

This study uses the CCR, FM-MCO, MCOD, and Johansen's VECM cointegration techniques to find the macroeconomic determinants of Canadian and Quebec savings between 1981 and 2010. Three savings specifications are used: savings in millions of dollars, natural log savings and the personal savings rate. The explanatory variables from consumer theory used in the estimates are: net wealth, disposable income, consumer credit, mortgage credit, employee contributions to RRSPs and RPPs, real interest rates, inflation, women's labour force participation, and proportions by age of the population.

According to Phillips-Perron unit root tests, the majority of the variables are either I(0) or I(1), but the order of integration of private pension contributions and age-specific proportions of the population ranges from stationary around a trend I(1) to I(2). The three savings specifications are cointegrated according to the Engle-Granger cointegration test. The Johansen test even detects several cointegration relationships, which makes it very difficult to estimate an error-correction model.

According to the elasticities of long-term relationships estimated by the different cointegration techniques, the best specification for studying Canadian and Quebec savings is the savings rate. A Johansen error correction model is then implemented for this savings specification for Canada and Quebec.

The results of the impulse analysis from the Canadian model indicate that a shock to net wealth or mortgage credit or to the real interest rate would have a positive impact on the Canadian savings rate, while a shock to RRSP contributions or to women's labour force participation would have a negative and permanent impact. Consumer credit would have a negative impact for four quarters; then the impact is positive but it does not converge. The impact of inflation is very small.

In the case of the Quebec impulse analysis, a shock on net wealth or on consumer credit or on mortgage credit or on the interest rate would have a positive and permanent impact on the savings rate. The RRSP contribution rate is initially positive but decreases and becomes negative from the 4th quarter onwards without converging on a value. A shock on women's labour force participation has a negative impact first; then the impact converges to a positive value. Inflation would largely have a positive impact on the savings rate.

It should be noted that the impulse analyses may be biased and not robust because of the difficulty in properly identifying cointegrating relationships in the error-correction model of Canada and Quebec in particular.

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