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.
Type
Publication
Latin American Journal of Central Banking (short communication)
Rodolfo G. Campos
Economist
My research interests include macroeconomics, social insurance, and international economics.