Thibaut Duprey
Biographic Data
| ID | 6472093 |
|---|---|
| NAME | Thibaut Duprey |
| GIVEN NAMES | Thibaut |
| FAMILY NAME | Duprey |
| SIGNATURE | DUPREY T |
| AFFILIATIONS | Bank of Canada |
| ORCID | 0000-0002-0864-8149 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 1 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2020 |
| LATEST PUBLICATION YEAR | 2022 |
| H-INDEX | 1 |
Systemic Financial Stress and Macroeconomic Amplifications in the United Kingdom
We develop a daily composite index of financial stress for the United Kingdom over 50 years, the UKFSI. The index includes market stress indicators based on their incremental information to capture financial crises. During the COVID‐19 crisis, financial stress peaks but remains less severe than during the Global Financial Crisis. The UKFSI is used in a threshold vector autoregression to differentiate the economic dynamics between tranquil and str…
Canadian Financial Stress and Macroeconomic Condition
I construct a new composite measure of systemic financial market stress for Canada. Compared with existing measures, it better captures the 1990 housing market correction and more accurately reflects the absence of diversification opportunities during systemic events. The index can be used for monitoring. For instance, during the coronavirus disease 2019 pandemic, it reached a peak second only to the 2008 global financial crisis. The index can al…
Canadian Financial Stress and Macroeconomic Condition
I construct a new composite measure of systemic financial market stress for Canada. Compared with existing measures, it better captures the 1990 housing market correction and more accurately reflects the absence of diversification opportunities during systemic events. The index can be used for monitoring. For instance, during the coronavirus disease 2019 pandemic, it reached a peak second only to the 2008 global financial crisis. The index can al…
Canadian Financial Stress and Macroeconomic Condition
I construct a new composite measure of systemic financial market stress for Canada. Compared with existing measures, it better captures the 1990 housing market correction and more accurately reflects the absence of diversification opportunities during systemic events. The index can be used for monitoring. For instance, during the coronavirus disease 2019 pandemic, it reached a peak second only to the 2008 global financial crisis. The index can al…
Systemic Financial Stress and Macroeconomic Amplifications in the United Kingdom
We develop a daily composite index of financial stress for the United Kingdom over 50 years, the UKFSI. The index includes market stress indicators based on their incremental information to capture financial crises. During the COVID‐19 crisis, financial stress peaks but remains less severe than during the Global Financial Crisis. The UKFSI is used in a threshold vector autoregression to differentiate the economic dynamics between tranquil and str…
Composite index (2 works) · Composite indicator (2 works) · Economics (2 works) · Finance (2 works) · Financial crisis (2 works) · Financial market (2 works) · Global Financial Crisis and Policies (2 works) · Macroeconomics (2 works) · Monetary Policy and Economic Impact (2 works) · Banking stability, regulation, efficiency (1 work)