Thibaut Duprey is a Senior Director in the Financial Stability Department. As a member of the senior leadership team, he oversees the Bank's analysis on financial stability risks related to Canadian households and firms, as well as the financial stability implications for monetary policy. He also oversees efforts to develop macro-financial risk models and provides guidance on the integration of policy, modelling and research across the department.
Most recently, Thibaut led the creation of the Systemic Risk Analytics Division and was previously a Senior Research Advisor and Director for Model Development and Research in the same department. Over time, he contributed to policy, modelling and research work for both the monetary policy and financial system cycles. His broad topics of interest include the financial stability-monetary policy framework, the interactions with macroprudential policies, the early warnings of financial crises, stress-testing the financial system, the implications of natural disasters for households and firms, the use of new analytical methods… Before joining the Bank, he was an economist at the Financial Stability Directorate of the Banque de France and visited the European Central Bank. He received his Ph.D. in Economics from the Paris School of Economics and a double undergraduate degree in law and economics from the Université de Lorraine.
This paper studies how financial shocks shape the distribution of output growth by introducing a quantile-augmented vector autoregression (QAVAR), which integrates quantile regressions into a structural VAR framework. The QAVAR preserves standard shock identification while delivering flexible, nonparametric forecasts of conditional moments and tail risk measures for gross domestic product.
How do storms, floods and wildfires affect consumer prices? In the short term, natural disasters can significantly increase volatility in Canada-wide inflation. Over the long term, natural disasters influence inflation in shelter prices, especially when provincial output is already weak relative to trend.
Extreme weather events contribute to increased volatility in both economic activity and prices, interfering with the assessment of the true underlying trends of the economy. With this in mind, we conduct a timely assessment of the impact of natural disasters on Canadian gross domestic product (GDP).
We introduce a history of macroprudential policy (MPP) events in Canada since the 1980s. We document the short-run effects of MPP announcements on market-based measures of systemic risk and find that MPPs can influence the market’s perception of large banks’ resilience.
We draw on the Canadian experience to examine how monetary and macroprudential policies interact and possibly complement each other in achieving their respective price and financial stability objectives.
We investigate the macroeconomic impacts of mothballed businesses—those that closed temporarily—on sectoral equilibrium prices after a negative demand shock. Our results suggest that pandemic fiscal support for temporary closures may have eased inflationary pressures.
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.
