A Barometer of Canadian Financial System Vulnerabilities

Thibaut Duprey and Tom Roberts

Staff Analytical Notes from Bank of Canada

Abstract: This note presents a composite indicator of Canadian financial system vulnerabilities—the Vulnerabilities Barometer. It aims to complement the Bank of Canada’s vulnerabilities assessment by adding a quantitative and synthesized perspective to the more granular (distributional) analysis presented in the Financial System Review. •The Vulnerabilities Barometer for Canada is above the level reached in 2007. The current state is driven by housing market vulnerabilities and elevated household indebtedness. The oil price shock contributed to the recent increase in vulnerabilities, though this risk factor has eased since the end of 2016. •When assessed across countries, the Vulnerabilities Barometer sends earlier and better signals of future stress episodes than its components taken individually, or than the credit-to-GDP gap. It is also consistent with the narrative of stressful episodes for peer countries.

Keywords: Econometric and statistical methods; Financial stability; Monetary and financial indicators (search for similar items in EconPapers)
JEL-codes: C14 C40 D14 E32 E66 F01 G01 G15 G21 H63 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2017
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocsan:17-24

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