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Systemic analysis framework for the impact of economic and financial risks

Author

Listed:
  • Carlos Pérez Montes

    (Banco de España)

  • Jorge E. Galán

    (Banco de España)

  • María Bru

    (Banco de España)

  • Julio Gálvez

    (Banco de España)

  • Alberto García

    (Banco de España)

  • Carlos González

    (Banco de España)

  • Samuel Hurtado

    (Banco de España)

  • Nadia Lavín

    (Banco de España)

  • Eduardo Pérez Asenjo

    (Banco de España)

  • Irene Roibás

    (Banco de España)

Abstract

This paper presents the Banco de España’s reference framework for the analysis of macroeconomic and financial risk, and the impact of the materialisation of this risk on financial stability and the real economy. The framework encompasses a broad set of empirical and theoretical models and methods, with the aim of capturing heterogeneity in the characteristics of different sources of risk. In particular, the paper describes how these models are used to identify the impact of endogenous sources of risk, such as the build-up of macro-financial imbalances over the cycle, and of exogenous shocks. Regarding the latter, the paper presents an application of the models to the main exogenous events that have occurred recently: the COVID-19 pandemic, including the fiscal, monetary and prudential measures adopted as a response to this shock; the Russian invasion of Ukraine; and the subsequent high inflation and economic uncertainty environment.

Suggested Citation

  • Carlos Pérez Montes & Jorge E. Galán & María Bru & Julio Gálvez & Alberto García & Carlos González & Samuel Hurtado & Nadia Lavín & Eduardo Pérez Asenjo & Irene Roibás, 2023. "Systemic analysis framework for the impact of economic and financial risks," Occasional Papers 2311, Banco de España.
    • Handle: RePEc:bde:opaper:2311e
    DOI: https://doi.org/10.53479/33568
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    financial markets; financial stability; macroeconomic forecasting models; macro-financial models; macro-financial risk; stress testing;
    All these keywords.

    JEL classification:

    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G50 - Financial Economics - - Household Finance - - - General

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