Research Discussion Papers, Bank of Finland
No 26/2007:
GDP at risk in a DSGE model: an application to banking sector stress testing
Esa Jokivuolle ()
, Juha Kilponen ()
and Tero Kuusi ()
Abstract: We suggest a complementary tool for financial stability
analysis based on stochastic simulation of a dynamic stochastic general
equilibrium model (DSGE) of the macro economy. The paper relates to
financial stability research in which financial aggregates crucial to
financial stability are modelled as functions of macroeconomic variables.
In these models, stress tests for eg banking sector loan losses can be
generated by considering adverse scenarios of macro variables. A DSGE model
provides a systematic way of generating coherent macro scenarios which can
be given a rigorous economic interpretation. The approach is illustrated
using a DSGE model of the Finnish economy and a simple model of Finnish
banking sector loan losses.
Keywords: DSGE models; financial stability; loan losses; stress testing; (follow links to similar papers)
JEL-Codes: E13; E37; G21; G28; (follow links to similar papers)
27 pages, December 19, 2007
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
0726netti.pdf 
Download Statistics
Questions (including download problems) about the papers in this series should be directed to Minna Nyman ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design by Joachim Ekebom
