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A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico

Erik Andres-Escayola (), Juan Carlos Berganza (), Rodolfo Campos and Luis Molina Sánchez ()
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Erik Andres-Escayola: Banco de España
Juan Carlos Berganza: Banco de España

No 2114, Occasional Papers from Banco de España

Abstract: This paper describes the set of Bayesian vector autoregression (BVAR) models that are being used at Banco de España 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 modelling 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)
Pages: 45 pages
Date: 2021-06
New Economics Papers: this item is included in nep-fdg, nep-mac and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:bde:opaper:2114

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