James Chapman is Senior Research Director in the Funds Management and Banking Department at the Bank of Canada. James received a PhD in economics and a MSc in statistics from the University of Iowa in 2006. James’s primary research focus has been on interbank market and financial market infrastructure issues such as liquidity risk and credit risk in large-value payment systems as well as the efficiency of interbank markets.
Economic prediction during a crisis is challenging because of the unprecedented economic impact of such an event, which increases the unreliability of traditionally used linear models that employ lagged data. The authors help to address this challenge by…