Thibaut Duprey - Latest

• Recent Evolution of Canada’s Credit-to-GDP Gap: Measurement and Interpretation

  Staff Analytical Note 2017-25 Timothy Grieder, Dylan Hogg, Thibaut Duprey

  Over the past several years, the Bank for International Settlements has noted that Canada’s credit-to-GDP gap has widened and is above thresholds indicating future banking stress.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Financial stability, Monetary and financial indicators, Recent economic and financial developments, Sectoral balance sheet JEL Code(s): D, D1, E, E3, E32, G, G0, G01, G1, G2, G21, G3, G30

• 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.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Econometric and statistical methods, Financial stability, Monetary and financial indicators JEL Code(s): C, C1, C14, C4, C40, D, D1, D14, E, E3, E32, E6, E66, F, F0, F01, G, G0, G01, G1, G15, G2, G21, H, H6, H63

• How to Predict Financial Stress? An Assessment of Markov Switching Models

  Staff Working Paper 2017-32 Benjamin Klaus, Thibaut Duprey

  This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Financial markets, Financial stability, Financial system regulation and policies, Monetary and financial indicators JEL Code(s): C, C5, C54, G, G0, G01, G1, G15