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Impacto del Stress Sistémico en el Crecimiento Económico: Caso Guatemala
[Systemic Stress Impact on Economic Growth: The case of Guatemala]

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  • Valdivia Coria, Joab Dan
  • Valdivia Coria, Daney David

Abstract

Since financial crisis in 2008 and global health crisis COVID-19, systemic risk monitoring has become a relevant variable to anticipate possible credit crunch episodes. In this paper a Composite Indicator of Systemic Stress (CISS) was constructed for Guatemala, throughout recursive Panel Vector Autoregressive Regression (PVAR) adverse effects on the performance of the economy were estimated. Results shows that shocks in systemic risk generate a fall between 0.04pp and 0.05pp on economic growth with different persistence, when the CISS is at low or high stress levels, respectively.

Suggested Citation

  • Valdivia Coria, Joab Dan & Valdivia Coria, Daney David, 2021. "Impacto del Stress Sistémico en el Crecimiento Económico: Caso Guatemala [Systemic Stress Impact on Economic Growth: The case of Guatemala]," MPRA Paper 110669, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:110669
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    References listed on IDEAS

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    More about this item

    Keywords

    Systemic Risk; Financial Stability; Panel VAR; recursive estimation.;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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