Thibaut Duprey
Director
- 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
Bio
Thibaut Duprey is the Director of Model Development and Research in the Financial Stability Department. His main interests include macro-financial linkages, banking theory, systemic risks, financial crises, and the associated prudential policies. In addition, he has contributed to the integration of financial stability considerations in the monetary policy framework. 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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Staff analytical notes
How to Manage Macroeconomic and Financial Stability Risks: A New Framework
Financial system vulnerabilities increase the downside risk to future GDP growth. Macroprudential tightening significantly reduces financial stability risks associated with vulnerabilities. Monetary policy faces a trade-off between financial stability and macroeconomic risks.Asymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities
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.Recent Evolution of Canada’s Credit-to-GDP Gap: Measurement and Interpretation
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.A Barometer of Canadian Financial System Vulnerabilities
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.Staff discussion papers
Canadian Financial Stress and Macroeconomic Conditions
Severe disruptions in the financial markets, as observed during the 2008 global financial crisis or the COVID-19 pandemic, can impair the stability of the entire financial system and worsen macroeconomic downturns.Staff working papers
Managing GDP Tail Risk
Models for macroeconomic forecasts do not usually take into account the risk of a crisis—that is, a sudden large decline in gross domestic product (GDP). However, policy-makers worry about such GDP tail risk because of its large social and economic costs.How to Predict Financial Stress? An Assessment of Markov Switching Models
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.Bank Screening Heterogeneity
Production efficiency and financial stability do not necessarily go hand in hand. With heterogeneity in banks’ abilities to screen borrowers, the market for loans becomes segmented and a self-competition mechanism arises. When heterogeneity increases, the intensive and extensive margins have opposite effects.Dating Systemic Financial Stress Episodes in the EU Countries
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index.Bank publications
Financial System Hub
November 14, 2018
Financial System Resilience and House Price Corrections
We use models to better understand and assess how risks could affect the financial system. In our hypothetical scenario, a house price correction and elevated financial stress weigh on the economy. An increased number of households and businesses have difficulty repaying loans. Nonetheless, the large banks remain resilient.Journal publications
Refereed journals
- "Do publicly-owned banks lend against the wind?" (2015). International Journal of Central Banking, 11(2), pages 65-112.
- “Dating Systemic Financial Stress Episodes in the EU Countries” (2017). Journal of Financial Stability, 32, pages 30-56. Joint with Benjamin Klaus and Tuomas Peltonen.