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Una aplicación de la metodología Growth at Risk a Uruguay

Author

Listed:
  • María Victoria Landaberry

    (Banco Central del Uruguay)

  • Rodrigo Lluberas

    (Banco Central del Uruguay)

  • Micaela Vidal

    (Banco Central del Uruguay)

Abstract

Este trabajo presenta la aplicación de la metodología Growth at Risk (GaR) para la economía uruguaya con datos trimestrales entre junio de 1999 y diciembre de 2019. De acuerdo a los resultados obtenidos, el Índice de Inestabilidad Financiera contiene información relevante sobre los riesgos a la baja y al alza en el crecimiento económico. El modelo presenta un buen desempeño en la proyección del crecimiento económico en el horizonte de un año, una vez que se incorpora la información correspondiente al primer trimestre, a la vez que permite analizar los efectos sobre la distribución de probabilidad del crecimiento de distintos escenarios de riesgo, por lo que sería una herramienta útil para adicionar al monitoreo de la estabilidad financiera en Uruguay.

Suggested Citation

  • María Victoria Landaberry & Rodrigo Lluberas & Micaela Vidal, 2021. "Una aplicación de la metodología Growth at Risk a Uruguay," Documentos de trabajo 2021009, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2021009
    as

    Download full text from publisher

    File URL: https://www.bcu.gub.uy/Estadisticas-e-Indicadores/Documentos%20de%20Trabajo/9.2021.pdf
    File Function: First version, 2021
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    References listed on IDEAS

    as
    1. Mr. Ananthakrishnan Prasad & Mr. Selim A Elekdag & Mr. Phakawa Jeasakul & Romain Lafarguette & Mr. Adrian Alter & Alan Xiaochen Feng & Changchun Wang, 2019. "Growth at Risk: Concept and Application in IMF Country Surveillance," IMF Working Papers 2019/036, International Monetary Fund.
    2. Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019. "Vulnerable Growth," American Economic Review, American Economic Association, vol. 109(4), pages 1263-1289, April.
    3. María Victoria Landaberry, 2015. "Modelos e indicadores de la situación de estabilidad financiera. Metodología y aplicación," Documentos de trabajo 2015010, Banco Central del Uruguay.
    4. María Victoria Landaberry, 2017. "Indicadores de estabilidad financiera: un nuevo índice para el sector financiero," Documentos de trabajo 2017010, Banco Central del Uruguay.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Bucacos, Elizabeth & Carballo, Patricia & Mello, Miguel & Ponce, Jorge, 2023. "Policy responses to COVID-19 in Uruguay," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(2).

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    More about this item

    Keywords

    condiciones financieras; regresión por cuantiles; vulnerabilidad financiera; estabilidad financiera;
    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
    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics

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