Testing for a Structural Break in the Volatility of Real GDP Growth in Canada

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This study tests for a structural break in the volatility of real GDP growth in Canada following the methodology of McConnell and Quiros (1998). A break is found in the first quarter of 1991. Based on disaggregated data, the tests indicate a break in the volatility of the rate of change of investment in residential structures and a break in the volatility of the rate of growth of personal expenditures on goods. Three possible explanations are given for the break in the data: a more service-oriented economy, improved inventory management, and a change in monetary policy.

DOI: https://doi.org/10.34989/swp-2001-9