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Staff Analytical Notes

A Barometer of Canadian Financial System Vulnerabilities

Staff Analytical Note 2017-24 Thibaut Duprey, Tom Roberts
This note presents a composite indicator of Canadian financial system vulnerabilities—the Vulnerabilities Barometer. It aims to complement the Bank of Canada’s vulnerabilities assessment by adding a quantitative and synthesized perspective to the more granular (distributional) analysis presented in the Financial System Review.

Staff Discussion Papers

The Impact of Operational Events on the Network Structure of the LVTS

Staff Discussion Paper 2011-7 Tom Roberts

The author uses a quantitative network analysis approach to assess how participants in the Large Value Transfer System (LVTS) respond to partial outages at other banks.

Network Analysis and Canada's Large Value Transfer System

Staff Discussion Paper 2009-13 Lana Embree, Tom Roberts
Analysis of the characteristics and structure of a network of financial institutions can provide insight into the complex relationships and interdependencies that exist in a payment, clearing, and settlement system (PCSS), and allow an intuitive understanding of the PCSS's efficiency, stability, and resiliency.

Staff Working Papers

A Counterfactual Valuation of the Stock Index as a Predictor of Crashes

Staff Working Paper 2017-38 Tom Roberts
Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon—instead, I shift focus to severe downside risk (i.e., crashes).
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Financial stability JEL Code(s): G, G0, G01, G1, G12, G17, G19

The Impact of Macroprudential Housing Finance Tools in Canada: 2005–10

Staff Working Paper 2016-41 Jason Allen, Timothy Grieder, Brian Peterson, Tom Roberts
This paper combines loan-level administrative data with household-level survey data to analyze the impact of recent macroprudential policy changes in Canada using a microsimulation model of mortgage demand of first-time homebuyers.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial system regulation and policies JEL Code(s): C, C6, C63, D, D1, D14, G, G2, G28

Journal Publications

Refereed journals

  • "The Impact of Macroprudential Housing Finance Tools in Canada"
    (with Jason Allen, and Brian Peterson), Journal of Financial Intermediation (forthcoming).