Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/227815 
Authors: 
Year of Publication: 
2020
Series/Report no.: 
Bank of Canada Staff Discussion Paper No. 2020-4
Publisher: 
Bank of Canada, Ottawa
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, 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.
Subjects: 
Central bank research
Financial markets
Financial stability
Monetary and financial indicators
JEL: 
C32
G01
E44
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.