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Designing Macro-Financial Scenarios: The New CNB Framework and Satellite Models for Property Prices and Credit

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  • Miroslav Plasil

Abstract

The paper sets out to present the Czech National Bank's new methodological framework for satellite models, i.e. models that link the macroeconomic scenario obtained from the core forecasting model with the evolution of key financial variables. Consistent macro-financial scenarios are particularly needed in macroprudential stress-testing. The paper describes the main underlying concepts of the new framework and provides further technical details on four newly deployed models for residential property prices and for bank loans in the main credit segments (housing loans, consumer loans and loans to non-financial corporations). The key advantage of the new approach is a shift to better-structured and more closely interrelated models. This should help maintain the internal consistency of the macro-financial scenario, facilitate communication of the assumptions behind the projections of financial variables and provide a high degree of robustness to structural changes in the economy.

Suggested Citation

  • Miroslav Plasil, 2021. "Designing Macro-Financial Scenarios: The New CNB Framework and Satellite Models for Property Prices and Credit," Research and Policy Notes 2021/01, Czech National Bank.
    • Handle: RePEc:cnb:rpnrpn:2021/01
    as

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    File URL: https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/irpn/download/rpn_1_2021.pdf
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    References listed on IDEAS

    as
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    2. Malliaris, A.G. & Shaw, Leslie & Shefrin, Hersh (ed.), 2016. "The Global Financial Crisis and Its Aftermath: Hidden Factors in the Meltdown," OUP Catalogue, Oxford University Press, number 9780199386239, Decembrie.
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    More about this item

    Keywords

    Gaussian process regression; macroprudential policy; satellite models; stress testing;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

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