The Use of BVARs in the Analysis of Emerging Economies

29 Pages Posted: 3 Jun 2020

See all articles by Ángel Estrada

Ángel Estrada

Banco de España

Luis Guirola

Banco de España

Iván Kataryniuk

Banco de España

Jaime Martínez-Martín

European Central Bank (ECB)

Date Written: January 15, 2020

Abstract

The process of internationalisation that many Spanish banks have embarked upon in recent years has resulted in the need for much closer monitoring of the economies in which they are present, especially by a supervisory body such as the Banco de España. In this paper, we present a comprehensive theoretical and empirical modelling approach, developing a set of five country-specific structural BVARs for Brazil, Mexico, Turkey, Chile and Peru, the economies representing the largest exposures of Spanish banks to the emerging markets. The results obtained show that our modelling strategy provides useful tools to: (i) analyse the structural shocks that underlie their recent macroeconomic behaviour; (ii) study the impact of certain decisions of policymakers on GDP, inflation and other variables; and (iii) carry out accurate conditional and unconditional projections two years ahead of the most policy-relevant variables. These projections, together with the “analyst’s judgement”, constitute the bulk of our assessment of the future behaviour of these economies.

Keywords: structural analysis, vector autoregressions, bayesian estimation, sign restrictions.

JEL Classification: E32, C22, E27

Suggested Citation

Estrada, Ángel and Guirola, Luis and Kataryniuk, Iván and Martínez-Martín, Jaime, The Use of BVARs in the Analysis of Emerging Economies (January 15, 2020). Banco de Espana Occasional Paper No. 2001, Available at SSRN: https://ssrn.com/abstract=3617544 or http://dx.doi.org/10.2139/ssrn.3617544

Ángel Estrada (Contact Author)

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

HOME PAGE: http://www.bde.es/

Luis Guirola

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Iván Kataryniuk

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Jaime Martínez-Martín

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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