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Individual and sectoral analysis framework for the impact of economic and financial risks

Author

Listed:
  • Carlos Pérez Montes

    (Banco de España)

  • Alejandro Ferrer

    (Banco de España)

  • Gabriel Jiménez

    (Banco de España)

  • Laura Álvarez Román

    (Banco de España)

  • Henrique Basso

    (Banco de España)

  • Beatriz González López

    (Banco de España)

  • Sergio Mayordomo

    (Banco de España)

  • Álvaro Menéndez Pujadas

    (Banco de España)

  • Myroslav Pidkuyko

    (Banco de España)

  • Lola Morales

    (Banco de España)

  • Pedro Javier Martínez-Valero

    (Banco de España)

  • Ángel Valentín

    (Banco de España)

Abstract

The Banco de España uses various microeconomic models, mostly of an empirical nature, to support its decision-making in relation to the analysis of economic and financial risks and economic policy advice. These models, which complement those of a macroeconomic nature, seeks to identify the potentially heterogeneous impact on different groups of agents of certain economic, financial or public policy scenarios. This analysis covers many areas, including the study of the behaviour of households and non-financial corporations, the internal credit rating of companies, the study of the demand for and supply of bank credit, top-down bank stress tests, supervisory review and evaluation processes (SREP) and the study of non-bank financial intermediaries. This paper shows how these models have been applied to analyse two recent crisis events, the onset of the COVID-19 pandemic and the Russian invasion of Ukraine, illustrating their practical utility and the need for their development and continuous adaptation.

Suggested Citation

  • Carlos Pérez Montes & Alejandro Ferrer & Gabriel Jiménez & Laura Álvarez Román & Henrique Basso & Beatriz González López & Sergio Mayordomo & Álvaro Menéndez Pujadas & Myroslav Pidkuyko & Lola Morales, 2023. "Individual and sectoral analysis framework for the impact of economic and financial risks," Occasional Papers 2313, Banco de España.
    • Handle: RePEc:bde:opaper:2313e
    DOI: https://doi.org/10.53479/34812
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    More about this item

    Keywords

    microeconomics; microeconometrics; non-financial private sector; banks; other financial intermediaries; risks; impact;
    All these keywords.

    JEL classification:

    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
    • D22 - Microeconomics - - Production and Organizations - - - Firm Behavior: Empirical Analysis
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • 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

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