Gabriel Bruneau - Latest

• Forecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model

  Technical Report No. 122 Gabriel Bruneau, Thibaut Duprey, Ruben Hipp

  We present a new corporate default model, one of the building blocks of the Bank of Canada’s bank stress-testing infrastructure. The model is used to forecast corporate loan losses of the Canadian banking sector under stress.

  Content Type(s): Staff research, Technical reports Topic(s): Economic models, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): C, C2, C22, C5, C52, C53, G, G1, G17, G2, G21, G28
• June 8, 2017

  Canada’s International Investment Position: Benefits and Potential Vulnerabilities

  Financial System Review - June 2017 Gabriel Bruneau, Maxime Leboeuf, Guillaume Nolin

  While greater global financial integration is beneficial, the authors discuss how foreign capital inflows can also facilitate the buildup of domestic vulnerabilities and potentially lead to destabilizing reversals. Canada’s current international investment position is typical of advanced economies and will likely continue to act as an economic stabilizer. However, the growth and composition of Canada’s international investment position warrant continued monitoring.

  Content Type(s): Publications, Financial System Review articles Topic(s): Balance of payments and components, Financial stability, International financial markets JEL Code(s): F, F2, F21, F3, F32, F34, F36, F4, F6

• Housing Market Dynamics and Macroprudential Policy

  Staff Working Paper 2016-31 Gabriel Bruneau, Ian Christensen, Césaire Meh

  We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Financial stability, Housing, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E3, E31, E4, E42, H, H2, H23

• Exchange Rate Fluctuations and Labour Market Adjustments in Canadian Manufacturing Industries

  Staff Working Paper 2015-45 Gabriel Bruneau, Kevin Moran

  We estimate the link between exchange rate fluctuations and the labour input of Canadian manufacturing industries. The analysis is based on a dynamic model of labour demand, and the econometric strategy employs a panel two-step approach for cointegrating regressions.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rate regimes, Exchange rates, Labour markets, Recent economic and financial developments JEL Code(s): E, E2, E24, F, F1, F14, F16, F3, F31, F4, F41, J, J2, J23