Publications

Here are all of our publications listed chronologically. You can also find the publications relating to single geography under “Publications by geography” or narrow down your search using the “Advanced filter”.

Latest publications on GVAR

Global | A vector autoregressive model for banking stress testing

July 20, 2021

We describe the Risk-GVAR 1.0, a Global Vector Autoregressive (GVAR) macroeconometric model designed to lend support to the internal stress testing exercises that banks, complying with prudential regulations, perform periodically to assess the adequacy of their current levels of capital.

Spain | Interdependence and regional sensitivity to national and global shocks

April 3, 2019

This paper quantifies and analyses the interrelationship between the economic activity (GDP) of each Spanish region in response to the variation in economic activity of the remaining regions and to oil price shocks. The regional GVAR model developed offers great potential for many lines of analysis and the monitoring and projection of regional economic activity.

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