00000nam 2200000zi 4500 9.888280 CaOODSP 20221107171938 m o d f cr |n||||||||| 200615t20202020oncd ob f000 0 eng d CaOODSP eng rda CaOODSP n-cn--- FB3-6/2020-4E-PDF Duprey, Thibaut, author. Canadian financial stress and macroeconomic conditions / by Thibaut Duprey. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 1 online resource (iii, 27 pages) : graphs (mostly colour). text txt rdacontent computer c rdamedia online resource cr rdacarrier Bank of Canada staff discussion paper, 1914-0568 ; 2020-4 Cover title. "Last updated: May 27, 2020." Includes bibliographical references (pages 26-27). "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"--Abstract, page iii. Financial crises Econometric models Canada. Capital market Canada. Crises financières Modèles économétriques Canada. Marché financier Canada. Bank of Canada, issuing body. Staff discussion paper (Bank of Canada) 1914-0568 ; 2020-4. (CaOODSP)9.806273 PDF 1.17 MB https://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-6-2020-4-eng.pdf