Systemic analysis framework for the impact of economic and financial risks

Carlos Pérez Montes, Jorge Galan, María Bru, Julio Gálvez, Alberto García, Carlos González, Samuel Hurtado, Nadia Lavín, Eduardo Pérez Asenjo and Irene Roibás
Additional contact information
Carlos Pérez Montes: Banco de España
María Bru: Banco de España
Julio Gálvez: Banco de España
Alberto García: Banco de España
Carlos González: Banco de España
Nadia Lavín: Banco de España
Eduardo Pérez Asenjo: Banco de España
Irene Roibás: Banco de España

No 2311, Occasional Papers from Banco de España

Abstract: This paper presents the Banco de España’s reference framework for the analysis of macroeconomic and financial risk, and the impact of the materialisation of this risk on financial stability and the real economy. The framework encompasses a broad set of empirical and theoretical models and methods, with the aim of capturing heterogeneity in the characteristics of different sources of risk. In particular, the paper describes how these models are used to identify the impact of endogenous sources of risk, such as the build-up of macro-financial imbalances over the cycle, and of exogenous shocks. Regarding the latter, the paper presents an application of the models to the main exogenous events that have occurred recently: the COVID-19 pandemic, including the fiscal, monetary and prudential measures adopted as a response to this shock; the Russian invasion of Ukraine; and the subsequent high inflation and economic uncertainty environment.

Keywords: financial markets; financial stability; macroeconomic forecasting models; macro-financial models; macro-financial risk; stress testing (search for similar items in EconPapers)
JEL-codes: E17 E58 G10 G21 G28 G32 G50 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2023-09
New Economics Papers: this item is included in nep-ger
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https://www.bde.es/f/webbe/SES/Secciones/Publicaci ... 23/Files/do2311e.pdf First version, September 2023 (application/pdf)
https://www.bde.es/f/webbde/SES/Secciones/Publicac ... s/23/Fich/do2311.pdf Spanish version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:bde:opaper:2311e

DOI: 10.53479/33568

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