Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/336362 
Year of Publication: 
2023
Citation: 
[Journal:] Latin American Journal of Central Banking (LAJCB) [ISSN:] 2666-1438 [Volume:] 4 [Issue:] 1 [Article No.:] 100079 [Year:] 2023 [Pages:] 1-23
Publisher: 
Elsevier, Amsterdam
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.
Subjects: 
Bayesian vector autoregressions
Macroeconomic projections
Risk scenarios
JEL: 
C32
C53
F44
F47
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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