Thibaut Duprey

Bank of Canada

Director, Model Development and Research

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

SCHOLARLY PAPERS

6

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SSRN CITATIONS
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Top 15,991

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7

CROSSREF CITATIONS

62

Scholarly Papers (6)

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1.

Bankscope Dataset: Getting Started

Number of pages: 47 Posted: 20 Dec 2012 Last Revised: 22 Sep 2016
Thibaut Duprey and Mathias LÉ
Bank of Canada and Banque de France
Downloads 3,255 (5,136)
Citation 10

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Bankscope dataset, joint work with Stata, duplicates, consolidation, mergers, unbalanced, comparability

2.

Bank Ownership and Credit Cycle: The Lower Sensitivity of Public Bank Lending to the Business Cycle

Banque de France Working Paper No. 411
Number of pages: 49 Posted: 07 Dec 2012 Last Revised: 29 May 2013
Thibaut Duprey
Bank of Canada
Downloads 180 (231,778)
Citation 19

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lending cycle, procyclicality, public banking, privatisations, nationalisations, forbearance

3.

How to Predict Financial Stress? An Assessment of Markov Switching Models

ECB Working Paper No. 2057
Number of pages: 47 Posted: 16 May 2017
Thibaut Duprey and Benjamin Klaus
Bank of Canada and European Central Bank (ECB)
Downloads 171 (242,129)
Citation 2

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time-varying transition probability Markov switching model, early warning model, continuous coincident financial stress measure

4.

A Financial Stress Index for the United Kingdom

Bank of England Working Paper No. 697
Number of pages: 49 Posted: 12 Dec 2017
Somnath Chatterjee, Ching-Wai (Jeremy) Chiu, Sinem Hacioglu Hoke and Thibaut Duprey
Bank of England, Bank of England, Bank of England and Bank of Canada
Downloads 135 (293,091)
Citation 4

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Financial stress index, AUROC, GARCH, threshold VAR

5.

Bank Capital Adjustment Process and Aggregate Lending

Banque de France Working Paper No. 499
Number of pages: 79 Posted: 22 Jul 2014 Last Revised: 05 Aug 2014
Thibaut Duprey and Mathias LÉ
Bank of Canada and Banque de France
Downloads 58 (490,676)
Citation 10

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implicit bank capital target, dynamic panel model, bank lending survey, aggregate lending, early-warning indicator

6.

Heterogeneous Banking Efficiency: Allocative Distortions and Lending Fluctuations

Downloads 40 (572,091)
Citation 15

Heterogeneous Banking Efficiency: Allocative Distortions and Lending Fluctuations

Banque de France Working Paper No. 464
Number of pages: 66 Posted: 27 Nov 2013
Thibaut Duprey
Bank of Canada
Downloads 27 (667,261)
Citation 16

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banking heterogeneity, moral hazard, adverse selection, endogenous market segmentation, allocation efficiency, lending cycle

Heterogeneous Banking Efficiency: Allocative Distortions and Lending Fluctuations

Banque de France Working Paper No. 464
Number of pages: 66 Posted: 03 Jan 2014
Thibaut Duprey
Bank of Canada
Downloads 13 (788,398)

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banking heterogeneity, moral hazard, adverse selection, endogenous market segmentation, allocation efficiency, lending cycle