Thibaut Duprey - Latest

• Understanding Systemic Risks in the Canadian Financial System

  Staff analytical paper 2026-28 Gabriel Bruneau, Sascha Clazie-Thomson, Thibaut Duprey, Ruben Hipp, Javier Ojea Ferreiro, Kerem Tuzcuoglu

  This paper reviews recent efforts to monitor and assess systemic risk in the Canadian financial system and outlines a framework for future system-wide stress testing.

  Content Type(s): Staff research, Staff analytical paper JEL Code(s): G, G0, G01, G1, G17, G18, G2, G21, G23, G28 Research Theme(s): Financial system, Financial stability and systemic risk

• Financial Shocks and the Output Growth Distribution

  Staff working paper 2025-25 Francois-Michel Boire, Thibaut Duprey, Alexander Ueberfeldt

  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.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C32, C5, C53, E, E3, E32, E4, E44, G, G0, G01 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting

• Natural disasters and inflation in Canada

  Staff analytical note 2025-8 Thibaut Duprey, Victoria Fernandes

  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.

  Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E3, E31, Q, Q5, Q54 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Structural challenges, Climate change

• Estimating the impacts on GDP of natural disasters in Canada

  Staff analytical note 2025-5 Tatjana Dahlhaus, Thibaut Duprey, Craig Johnston

  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).

  Content Type(s): Staff research, Staff analytical notes JEL Code(s): B, B2, B23, C, C1, C13, C2, C23, E, E1, E17, E3, E37, E6, E62, H, H6 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Climate change

• Effects of macroprudential policy announcements on perceptions of systemic risks

  Staff analytical note 2025-4 Thibaut Duprey, Victoria Fernandes, Kerem Tuzcuoglu, Ruhani Walia

  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.

  Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E5, E58, G, G2, G21, G28, G3, G32 Research Theme(s): Financial system, Financial stability and systemic risk, Financial system regulation and oversight

• Interaction of Macroprudential and Monetary Policies: Practice Ahead of Theory

  Staff discussion paper 2024-18 Thibaut Duprey, Yaz Terajima, Jing Yang

  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.

  Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E3, E37, E5, E52, E58, E6, E61, G, G0, G01, G2, G21, G28 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Monetary policy, Monetary policy framework and transmission

• Bouncing Back: How Mothballing Curbs Prices

  Staff working paper 2024-51 Thibaut Duprey, Artur Kotlicki, Daniel E. Rigobon, Philip Schnattinger

  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.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C55, C8, C81, D, D2, D22, E, E3, E32 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting

• Let’s Get Physical: Impacts of Climate Change Physical Risks on Provincial Employment

  Staff working paper 2024-32 Thibaut Duprey, Soojin Jo, Geneviève Vallée

  We analyze 40 years’ worth of natural disasters using a local projection framework to assess their impact on provincial labour markets in Canada. We find that disasters decrease hours worked within a week and lower wage growth in the medium run. Our study highlights that disasters affect vulnerable workers through the income channel.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C33, E, E2, E24, J, J3, Q, Q5, Q54 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Climate change, Demographics and labour supply

• 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 JEL Code(s): C, C2, C22, C5, C52, C53, G, G1, G17, G2, G21, G28 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Models and tools, Economic models

• Business Closures and (Re)Openings in Real Time Using Google Places

  Staff working paper 2022-1 Thibaut Duprey, Daniel E. Rigobon, Philip Schnattinger, Artur Kotlicki, Soheil Baharian, T. R. Hurd

  The COVID-19 pandemic highlighted the need for policy-makers to closely monitor disruptions to the retail and food business sectors. We present a new method to measure business opening and closing rates using real-time data from Google Places, the dataset behind the Google Maps service.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C55, C8, C81, D, D2, D22, E, E3, E32 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting