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Vulnerabilidad financiera y escenarios de riesgo del PBI usando Growth at Risk (GaR)

Author

Listed:
  • Gondo, Rocío

    (Banco Central de Reserva del Perú)

Abstract

Este trabajo analiza empíricamente si las variables financieras son más relevantes para el crecimiento del PBI en escenarios de riesgo. Para ello, se usan datos de Perú y se estiman las pérdidas en el crecimiento del PBI ante escenarios de riesgo extremo usando el ”Growth at Risk” de Adrian, Boyarchenko & Giannone (2019). Se consideran 3 categorías de riesgos financieros: apalancamiento, precios de activos domésticos y variables externas. Los resultados muestran que un crecimiento excesivo del crédito y de los precios de activos son indicadores de un deterioro de las condiciones financieras futuras y de una desaceleración en el crecimiento del PBI en escenarios de crisis para distintos horizontes. Asimismo, incluir variables financieras mejora la proyección del PBI bajo escenarios de crisis, tal como lo observado durante la Crisis Financiera Global de 2008-2009.

Suggested Citation

  • Gondo, Rocío, 2020. "Vulnerabilidad financiera y escenarios de riesgo del PBI usando Growth at Risk (GaR)," Working Papers 2020-001, Banco Central de Reserva del Perú.
    • Handle: RePEc:rbp:wpaper:2020-001
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    File URL: https://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2020/documento-de-trabajo-001-2020.pdf
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    Cited by:

    1. Diego Chicana & Rafael Nivin, 2021. "Evaluating Growth-at-Risk as a tool for monitoring macro-financial risks in the Peruvian economy," IHEID Working Papers 07-2021, Economics Section, The Graduate Institute of International Studies.

    More about this item

    Keywords

    condiciones financieras; regresión de cuantiles; vulnerabilidad financiera; riesgo de recesión;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G01 - Financial Economics - - General - - - Financial Crises
    • G1 - Financial Economics - - General Financial Markets

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