Arbeitspapier
Canadian financial stress and macroeconomic conditions
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, it reached a peak during the COVID-19 pandemic second only to the 2008 global financial crisis. The index can also be used to introduce non-linear macrofinancial dynamics in empirical macroeconomic models of the Canadian economy. Macroeconomic conditions are shown to deteriorate significantly when the Canadian financial stress index is above its 90th percentile.
- Sprache
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Englisch
- Erschienen in
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Series: Bank of Canada Staff Discussion Paper ; No. 2020-4
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Crises
Financial Markets and the Macroeconomy
- Thema
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Central bank research
Financial markets
Financial stability
Monetary and financial indicators
- Ereignis
-
Geistige Schöpfung
- (wer)
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Duprey, Thibaut
- Ereignis
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Veröffentlichung
- (wer)
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Bank of Canada
- (wo)
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Ottawa
- (wann)
-
2020
- DOI
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doi:10.34989/sdp-2020-4
- Handle
- Letzte Aktualisierung
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20.09.2024, 08:20 MESZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Duprey, Thibaut
- Bank of Canada
Entstanden
- 2020