Thibaut Duprey - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T21:46:25+00:00Forecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model
https://www.bankofcanada.ca/2022/10/technical-report-122/
We present a new corporate default model, one of the building blocks of the Bank of Canada’s bank stress-testing infrastructure. The model is used to forecast corporate loan losses of the Canadian banking sector under stress.2022-10-03T16:29:10+00:00enForecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model2022-10-03Economic modelsFinancial institutionsFinancial stabilityFinancial system regulation and policiesTechnical Report 2022-122https://www.bankofcanada.ca/wp-content/uploads/2022/10/tr122.pdfTechnical Report 2022-122Gabriel BruneauThibaut DupreyRuben HippOctober 2022CC2C22C5C52C53GG1G17G2G21G28Business Closures and (Re)Openings in Real Time Using Google Places
https://www.bankofcanada.ca/2022/01/staff-working-paper-2022-1/
The COVID-19 pandemic highlighted the need for policy-makers to closely monitor disruptions to the retail and food business sectors. We present a new method to measure business opening and closing rates using real-time data from Google Places, the dataset behind the Google Maps service.2022-01-04T13:42:26+00:00enBusiness Closures and (Re)Openings in Real Time Using Google Places2022-01-04Firm dynamicsRecent economic and financial developmentsStaff Working Paper 2022-1https://www.bankofcanada.ca/wp-content/uploads/2022/01/swp2022-1.pdfBusiness Closures and (Re)Openings in Real Time Using Google PlacesThibaut DupreyDaniel E. RigobonPhilip SchnattingerArtur KotlickiSoheil BaharianT. R. HurdJanuary 2022CC5C55C8C81DD2D22EE3E32Household financial vulnerabilities and physical climate risks
https://www.bankofcanada.ca/2021/08/staff-analytical-note-2021-19/
Natural disasters occur more often than before, potentially exposing households to financial distress. We study the intersection between household financial vulnerabilities and severe weather events.2021-08-23T13:00:51+00:00enHousehold financial vulnerabilities and physical climate risks2021-08-23Shaping the future: Policy shocks and the GDP growth distribution
https://www.bankofcanada.ca/2021/05/staff-working-paper-2021-24/
Can central bank and government policies impact the risks around the outlook for GDP growth? We find that fiscal stimulus makes strong GDP growth more likely—even more so when monetary policy is constrained—rather than weak GDP growth less likely. Thus, fiscal stimulus should accelerate the recovery phase of the COVID-19 pandemic.2021-05-25T16:34:53+00:00enShaping the future: Policy shocks and the GDP growth distribution2021-05-25Central bank researchEconometric and statistical methodsFinancial stabilityFiscal policyMonetary policyStaff Working Paper 2021-24https://www.bankofcanada.ca/wp-content/uploads/2021/05/swp2021-24.pdfStaff Working Paper 2021-24Francois-Michel BoireThibaut DupreyAlexander UeberfeldtMay 2021CC3C32C5C53EE5E52E6E62Canadian Financial Stress and Macroeconomic Conditions
https://www.bankofcanada.ca/2020/06/staff-discussion-paper-2020-4/
Severe disruptions in the financial markets, as observed during the 2008 global financial crisis or the COVID-19 pandemic, can impair the stability of the entire financial system and worsen macroeconomic downturns.2020-06-05T07:43:58+00:00enCanadian Financial Stress and Macroeconomic Conditions2020-06-05Central bank researchCoronavirus disease (COVID-19)Financial marketsFinancial stabilityMonetary and financial indicatorsStaff Discussion Paper 2020-4https://www.bankofcanada.ca/wp-content/uploads/2020/06/sdp2020-4.pdfCanadian Financial Stress and Macroeconomic ConditionsThibaut DupreyJune 2020CC3C32EE4E44GG0G01Managing GDP Tail Risk
https://www.bankofcanada.ca/2020/01/staff-working-paper-2020-3/
Models for macroeconomic forecasts do not usually take into account the risk of a crisis—that is, a sudden large decline in gross domestic product (GDP). However, policy-makers worry about such GDP tail risk because of its large social and economic costs.2020-01-28T13:48:10+00:00enManaging GDP Tail Risk2020-01-28Central bank researchEconomic modelsFinancial stabilityFinancial system regulation and policiesInterest ratesMonetary policyMonetary policy frameworkStaff Working Paper 2020-3https://www.bankofcanada.ca/wp-content/uploads/2020/01/swp2020-3.pdfManaging GDP Tail RiskThibaut DupreyAlexander UeberfeldtJanuary 2020DD8EE4E44E5E52E58GG0G01Modelling the Macrofinancial Effects of a House Price Correction in Canada
https://www.bankofcanada.ca/2018/11/staff-analytical-note-2018-36/
We use a suite of risk-assessment models to examine the possible impact of a hypothetical house price correction, centred in the Toronto and Vancouver areas. We also assume financial stress significantly amplifies the macroeconomic impact of the house price decline.2018-11-14T09:00:37+00:00enModelling the Macrofinancial Effects of a House Price Correction in Canada2018-11-14Financial System Resilience and House Price Corrections
https://www.bankofcanada.ca/2018/11/financial-system-resilience-and-house-price-corrections/
We use models to better understand and assess how risks could affect the financial system. In our hypothetical scenario, a house price correction and elevated financial stress weigh on the economy. An increased number of households and businesses have difficulty repaying loans. Nonetheless, the large banks remain resilient.2018-11-14T08:00:49+00:00enFinancial System Resilience and House Price Corrections2018-11-14How to Manage Macroeconomic and Financial Stability Risks: A New Framework
https://www.bankofcanada.ca/2018/04/staff-analytical-note-2018-11/
Financial system vulnerabilities increase the downside risk to future GDP growth. Macroprudential tightening significantly reduces financial stability risks associated with vulnerabilities. Monetary policy faces a trade-off between financial stability and macroeconomic risks.2018-04-30T13:46:39+00:00enHow to Manage Macroeconomic and Financial Stability Risks: A New Framework2018-04-30Asymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities
https://www.bankofcanada.ca/2018/03/staff-analytical-note-2018-6/
When financial system vulnerabilities are elevated, they can give rise to asymmetric risks to the economic outlook. To illustrate this, I consider the economic outlook presented in the Bank of Canada’s October 2017 Monetary Policy Report in the context of two key financial system vulnerabilities: high levels of household indebtedness and housing market imbalances.2018-03-14T10:15:59+00:00enAsymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities2018-03-14