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ALIENOR, a Macrofinancial Model for Macroprudential Policy

Author

Listed:
  • Cyril Couaillier
  • Thomas Ferrière
  • Valerio Scalone

Abstract

ALIENOR is an econometric model built to provide macroeconomic scenarios and conduct macroprudential analysis, in particular for larger stress-test exercises. In the model design, we pay particular attention to the link between financial variables and the real economy, to estimate the potential impact of the materialization of financial systemic risk, and to perform policy exercises. In addition, we quantify the impact of the macroeconomy on financial variables, with a focus on households’ credit, Non-Financial Corporates’ credit, and real estate prices, given the key role played by those variables during the crisis. Finally, we analyse the consequences on the economy of an exogenous increase in the long-term interest rates and a decrease in real estate prices.

Suggested Citation

  • Cyril Couaillier & Thomas Ferrière & Valerio Scalone, 2019. "ALIENOR, a Macrofinancial Model for Macroprudential Policy," Working papers 724, Banque de France.
    • Handle: RePEc:bfr:banfra:724
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    More about this item

    Keywords

    macroprudential policy; macrofinancial stress-test.;

    JEL classification:

    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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