Canadian Financial Stress and Macroeconomic Condition

Thibaut Duprey

Canadian Public Policy, 2020, vol. 46, issue S3, S236-S260

Abstract: 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 also be used to introduce non-linear macro-financial 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.

Keywords: financial crisis; financial markets; financial stress index; threshold vector autoregressive model (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://dx.doi.org/10.3138/cpp.2020-047 (text/html)
access restricted to subscribers

Related works:
Working Paper: Canadian Financial Stress and Macroeconomic Conditions (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpp:issued:v:46:y:2020:i:s3:p:s236-s260

Ordering information: This journal article can be ordered from
https://www.utpjournals.com/loi/cpp/

Access Statistics for this article

Canadian Public Policy is currently edited by Prof. Mike Veall

More articles in Canadian Public Policy from University of Toronto Press University of Toronto Press Journals Division 5201 Dufferin Street Toronto, Ontario, Canada M3H 5T8.
Bibliographic data for series maintained by Iver Chong ( this e-mail address is bad, please contact ).