Thibaut Duprey is a Principal Economist 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.
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.
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.
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.
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.
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)).