C5 - Econometric Modeling

• Artificial Intelligence and Financial Tail Risks

  Staff working paper 2026-40 Javier Cortes Orihuela, Andrea Ugolini, Juan C. Reboredo

  This paper examines how market-perceived AI exposure is associated with extreme financial-sector gains and losses across five markets, using Expected Shortfall and skewness decompositions to distinguish AI-sector, macroeconomic, systemic and financial scenarios.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C58, G, G0, G01, G2, G21, G3, G32 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Structural challenges, Digitalization and productivity

• Stress in the Press or Stress in the Market: A New Measure of Perceived Financial Stress

  Staff analytical paper 2026-50 Brett Barnes, Thibaut Duprey, Fred Liu

  We develop a news-based measure of perceived financial stress for Canada using Globe and Mail articles since 1977. We show that news shocks primarily impact unsecured households credit, consistent with household precautionary behavior.

  Content Type(s): Staff research, Staff analytical paper JEL Code(s): C, C5, C55, C8, C82, E, E4, E44, G, G0, G01 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Models and tools, Econometric, statistical and computational methods