Impacto del Stress Sistémico en el Crecimiento Económico: Caso Guatemala

Systemic Stress Impact on Economic Growth: The case of Guatemala

Joab Valdivia Coria and Daney David Valdivia Coria

MPRA Paper from University Library of Munich, Germany

Abstract: Since financial crisis in 2008 and global health crisis COVID-19, systemic risk monitoring has become a relevant variable to anticipate possible credit crunch episodes. In this paper a Composite Indicator of Systemic Stress (CISS) was constructed for Guatemala, throughout recursive Panel Vector Autoregressive Regression (PVAR) adverse effects on the performance of the economy were estimated. Results shows that shocks in systemic risk generate a fall between 0.04pp and 0.05pp on economic growth with different persistence, when the CISS is at low or high stress levels, respectively.

Keywords: Systemic Risk; Financial Stability; Panel VAR; recursive estimation. (search for similar items in EconPapers)
JEL-codes: C51 E44 G29 (search for similar items in EconPapers)
Date: 2021-02
New Economics Papers: this item is included in nep-fdg, nep-mac, nep-ore and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:110669

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