Bio

Gabriel Bruneau is a Principal Economist in the Financial Stability Department at the Bank of Canada. He is a macroeconomist and an applied econometrician whose primary research interests center on the monetary economics and financial stability, and the development of nonlinear estimation methods in econometrics. He received his Ph.D. in economics from the University of Montreal.

Research Field(s): Applied Econometrics Monetary Economics Quantitative Macroeconomics

Staff discussion papers

Understanding the Systemic Implications of Climate Transition Risk: Applying a Framework Using Canadian Financial System Data

Staff Discussion Paper 2023-32 Gabriel Bruneau, Javier Ojea Ferreiro, Andrew Plummer, Marie-Christine Tremblay, Aidan Witts
Our study aims to gain insight on financial stability and climate transition risk. We develop a methodological framework that captures the direct effects of a stressful climate transition shock as well as the indirect—or systemic—implications of these direct effects. We apply this framework using data from the Canadian financial system.
Content Type(s): Staff research, Staff discussion papers Topic(s): Climate change, Economic models, Financial institutions, Financial markets, Financial stability JEL Code(s): C, C6, C63, G, G0, G01, G1, G10, G2, G20, Q, Q5, Q54

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Staff working papers

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

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Technical reports

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

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Bank publications

Financial System Hub articles

January 15, 2024

Mapping out the implications of climate transition risk for the financial system

Gabriel Bruneau, Javier Ojea Ferreiro, Andrew Plummer, Marie-Christine Tremblay, Aidan Witts
We develop a new analytical framework to understand the system-wide implications of climate transition risk. When applying this framework to Canadian data, we find that interconnections within the financial sector could amplify the direct effects of climate transition risk on financial entities.
Content Type(s): Publications, Financial System Hub articles Topic(s): Climate change, Economic models, Financial institutions, Financial markets, Financial stability JEL Code(s): C, C6, C63, G, G0, G01, G1, G10, G2, G20, Q, Q5, Q54

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Financial System Review articles

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

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Journal publications

Refereed journals

  • “Housing market dynamics and macroprudential policies"
    (with Ian Christensen and Césaire A. Meh), Canadian Journal of Economics, August 2018, Volume 51, No. 3, Pages 864-900
  • “Exchange rate fluctuations and labour market adjustments in Canadian manufacturing industries"
    (with Kevin Moran), Canadian Journal of Economics, February 2017, Volume 50, No. 1, Pages 72-93