Miroslav Plašil
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.
JEL codes: C51, C53, E37, E51
Keywords: Gaussian process regression, macroprudential policy, satellite models, stress testing
Issued: September 2021
Download: RPN No. 1/2021 (pdf, 1.4 MB)