Bio

Sofia Priazhkina is a Senior Economist in the Financial Stability Department at the Bank of Canada. Her research interests include financial networks, systemic risk, game theory, and shadow banking. She received her Ph.D. in Economics from Indiana University.

Research Field(s): Banking Economic and Financial Networks Microeconomic Theory
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Staff analytical notes

Modelling the Macrofinancial Effects of a House Price Correction in Canada

Staff Analytical Note 2018-36 Thibaut Duprey, Xuezhi Liu, Cameron MacDonald, Maarten van Oordt, Sofia Priazhkina, Xiangjin Shen, Joshua Slive
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.
Content Type(s): Staff research, Staff analytical notes Topic(s): Financial institutions, Financial stability, Housing JEL Code(s): E, E2, E27, E3, E37, E4, E44, G, G2, G21

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Staff working papers

Quantum Monte Carlo for Economics: Stress Testing and Macroeconomic Deep Learning

Staff Working Paper 2022-29 Vladimir Skavysh, Sofia Priazhkina, Diego Guala, Thomas Bromley
Using the quantum Monte Carlo algorithm, we study whether quantum computing can improve the run time of economic applications and challenges in doing so. We apply the algorithm to two models: a stress testing bank model and a DSGE model solved with deep learning. We also present innovations in the algorithm and benchmark it to classical Monte Carlo.
Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Economic models, Financial stability JEL Code(s): C, C1, C15, C6, C61, C63, C68, C7, E, E1, E13, G, G1, G17, G2, G21

Stressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions

Staff Working Paper 2021-35 Grzegorz Halaj, Sofia Priazhkina
Our stress-testing tool considers banks under stress that can strategically manage their balance sheets. Using confidential Canadian supervisory data, we assess whether bank behaviour to maximize shareholder value can amplify a hypothetical stress scenario.
Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Economic models, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): C, C6, C63, C7, C72, G, G2, G21

Information Sharing and Bargaining in Buyer-Seller Networks

Staff Working Paper 2016-63 Sofia Priazhkina, Frank H. Page
This paper presents a model of strategic buyer-seller networks with information exchange between sellers. Prior to engaging in bargaining with buyers, sellers can share access to buyers for a negotiated transfer. We study how this information exchange affects overall market prices, volumes and welfare, given different initial market conditions and information sharing rules.
Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Firm dynamics, Market structure and pricing JEL Code(s): C, C7, C71, C78, D, D2, D21, D4, D43, D8, D85, L, L1, L13

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Bank publications

Financial System Hub articles

November 14, 2018

Financial System Resilience and House Price Corrections

Thibaut Duprey, Xuezhi Liu, Cameron MacDonald, Maarten van Oordt, Sofia Priazhkina, Xiangjin Shen, Joshua Slive, Virginie Traclet
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.
Content Type(s): Publications, Financial System Hub articles

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