A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico

Andres–Escayola, Erik, Juan Carlos Berganza, Rodolfo Campos and Luis Molina

Latin American Journal of Central Banking (previously Monetaria), 2023, vol. 4, issue 1

Abstract: This paper describes the set of Bayesian vector autoregression (BVAR) models that Banco de España uses to project GDP growth rates and to simulate macrofinancial risk scenarios for Brazil and Mexico. The toolkit consists of large benchmark models to produce baseline projections and various smaller satellite models to conduct risk scenarios. We showcase the use of this modeling framework with tailored empirical applications. Given the material importance of Brazil and Mexico to the Spanish economy and banking system, this toolkit contributes to the monitoring of Spain’s international risk exposure.

Keywords: Macroeconomic projections; Risk scenarios; Bayesian vector autoregressions (search for similar items in EconPapers)
JEL-codes: C32 C53 F44 F47 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Working Paper: A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:lajcba:v:4:y:2023:i:1:s2666143822000333

DOI: 10.1016/j.latcb.2022.100079

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