Thibaut Duprey is a Senior Analyst in the Financial Stability Department. His main interests include macro-financial linkages, banking theory, systemic risks, financial crises, and the associated prudential policies. Before joining the bank, he was an economist at the Financial Stability Directorate of the Banque de France. He received his Ph.D. in Economics from the Paris School of Economics.
This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state.
Production efficiency and financial stability do not necessarily go hand in hand. With heterogeneity in banks’ abilities to screen borrowers, the market for loans becomes segmented and a self-competition mechanism arises. When heterogeneity increases, the intensive and extensive margins have opposite effects.
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index.
Do publicly-owned banks lend against the wind? (2015). International Journal of Central Banking, 11(2).
Macroprudential framework: key questions applied to the French case (2014). Banque de France Occasional papers, n° 9. (with Taryk Bennani, Morgan Després, Marine Dujardin and Anna Kelber (Banque de France)).
Other Working Papers
"Does the heterogeneity in bank efficiency matter ?"
"Procyclical leverage and endogeneous Value-at-Risk constraint."
"Dating Systemic Financial Stress Episodes in the EU Countries." (with Benjamin Klaus (ECB) and Tuomas Peltonen (ECB)).
"Bank Capital Adjustment Process and Aggregate Lending." (with Mathias Lé (French Prudential Authority)).
"A DSGE model for a Macroprudential policy assessment in France." (with David Gauthier (Banque de France and University Paris 1), Julien Idier (Banque de France) and Pierlauro Lopez (Banque de France)).