Measuring Non-Financial Corporate Sector Vulnerabilities in Canada

Timothy Grieder and Claire Schaffter

No 2019-15, Staff Analytical Notes from Bank of Canada

Abstract: In this note, we use firm-level data from Statistics Canada’s Quarterly Survey of Financial Statements to construct two sets of aggregate vulnerability indicators for the non-financial corporate sector in Canada. First, we measure debt at risk by tracking the share of outstanding debt associated with firms that are not generating enough income or have limited assets to make debt and interest payments. Second, we construct time-series measures of borrower quality by comparing the average credit quality of firms that have the largest increases in debt normalized by lagged total assets with those that have the smallest increases. Our results show that debt-at-risk has been above historical averages in recent years due to developments in some sectors that are related to commodities. We do not find evidence of a broad-based deterioration in borrower quality in recent years.

Keywords: Business fluctuations and cycles; Credit and credit aggregates; Financial stability; Monetary and financial indicators; Recent economic and financial developments; Sectoral balance sheet (search for similar items in EconPapers)
JEL-codes: G01 G32 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2019-05
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocsan:19-15

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