Thibaut Duprey

Principal Economist

Thibaut Duprey is a Principal Economist in the Financial Stability Department. His main interests include macro-financial linkages, banking theory, systemic risks, financial crises, and the associated prudential policies. Before joining the bank, he was an economist at the Financial Stability Directorate of the Banque de France. He received his Ph.D. in Economics from the Paris School of Economics.

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Thibaut Duprey

Principal Economist
Financial Stability
Real Sector Stability

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Latest

How to Manage Macroeconomic and Financial Stability Risks: A New Framework

Staff Analytical Note 2018-11 Thibaut Duprey, Alexander Ueberfeldt
Monetary policy decisions need to consider all potential outcomes, not just the most likely path for the economy. This is especially true in the presence of elevated financial system vulnerabilities, which lead to increased downside risks for future growth.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Central bank research, Economic models, Financial stability, Financial system regulation and policies, Interest rates, Monetary Policy, Monetary policy framework JEL Code(s): E, E4, E44, E5, E52, E58, G, G0, G01

Asymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities

Staff Analytical Note 2018-6 Thibaut Duprey
When financial system vulnerabilities are elevated, they can give rise to asymmetric risks to the economic outlook. To illustrate this, I consider the economic outlook presented in the Bank of Canada’s October 2017 Monetary Policy Report in the context of two key financial system vulnerabilities: high levels of household indebtedness and housing market imbalances.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Financial system regulation and policies, Monetary and financial indicators, Recent economic and financial developments, Uncertainty and monetary policy JEL Code(s): C, C0, C01, C1, C11, C15, E, E1, E17, E3, E32, E37, E4, E44, E47, E5, E58, E6, E66, G, G0, G01, G1, G18

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

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

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Other

Refereed Journals

  • Do publicly-owned banks lend against the wind? (2015). International Journal of Central Banking, 11(2).

Other Publications

  • Macroprudential framework: key questions applied to the French case (2014). Banque de France Occasional papers, n° 9.
    (with Taryk Bennani, Morgan Després, Marine Dujardin and Anna Kelber (Banque de France)).

Other Working Papers

  • "Does the heterogeneity in bank efficiency matter ?"
  • "Procyclical leverage and endogeneous Value-at-Risk constraint."
  • "Dating Systemic Financial Stress Episodes in the EU Countries."
    (with Benjamin Klaus (ECB) and Tuomas Peltonen (ECB)).
  • "Bank Capital Adjustment Process and Aggregate Lending."
    (with Mathias Lé (French Prudential Authority)).
  • "A DSGE model for a Macroprudential policy assessment in France."
    (with David Gauthier (Banque de France and University Paris 1), Julien Idier (Banque de France) and Pierlauro Lopez (Banque de France)).
  • "Bankscope dataset : getting started."
    (with Mathias Lé (French Prudential Authority)).

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Education

  • Ph.D. Economics, Paris School of
  • Economics, France
  • M.Sc. Economics, Paris School of Economics, France
  • B.Sc. Economics and LL.B. Law, Lorraine University, France

Research Interests

  • Macro-finance
  • Macroprudential policy
  • Financial economics
  • Banking theory
  • Early warning
  • Systemic risk
  • Financial crises

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Thibaut Duprey

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