Disponible en Español

Workshop on Growth-at-Risk applications

CEMLA, Mexico City, Mexico
March 3, 2022
Hybrid Workshop


The Workshop was held in Mexico City, on March 3, 2022, in a hybrid format, and was attended by 107 representatives from 29 institutions and associates of CEMLA. The event was focused on Growth-at-risk (GaR) models applications on financial vulnerability and monetary policy, policy analysis, its applications in Latin America and the Caribbean, as well as the construction of financial stress indices for GaR models. The agenda included a keynote session by Tobias Adrian, Financial Counsellor and Director of the Monetary and Capital Markets Department of the International Monetary Fund (IMF).

The workshop presented different applications of GaR models. For instance, the keynote session explored research linking monetary policy and financial vulnerability, highlighting that the optimal monetary policy is conditioned by vulnerability, against the traditional view. Another session discussed the stability of sovereign bond flows to emerging market economies (EME) and the effect of international financial markets and its post-crisis changing patterns; it was observed that countries with weaker market infrastructures, such as low foreign exchange reserves and a strong reliance on global financial markets, are more vulnerable to global financial stress.

The workshop officially launched the CEMLA Growth-at-Risk Project website as a tool for financial stability monitoring. This website provides material to replicate Growth-at-Risk models to foster the use of this methodology in the region.

Some additional takeaways of the workshop are the following:

  • Financial stress indices are a useful tool to study aggregated effects, especially on macro variables and their tail distributions.
  • The flexibility of GaR models allows scenario analyses and the incorporation of additional sources of risk with ease. However, it is important to measure their accuracy for adequate interpretation of results.
  • Some results show that macroprudencial policies have heterogeneous effects over the GDP growth distribution. Left tails tend to benefit from their application, in contrast to the median. It is also highly dependent on the position in the financial cycle and its implementation.
  • Global vulnerabilities tend to have a greater effect on downside risks to domestic GDP growth, above domestic risk factors.
Tobias Adrian

Financial Counsellor and Director of the Monetary and Capital Markets Department
International Monetary Fund (IMF)

Tobias Adrian is the Financial Counsellor and Director of the Monetary and Capital Markets Department of the International Monetary Fund (IMF). Prior to joining the IMF, Mr. Adrian was a Senior Vice President of the Federal Reserve Bank of New York and the Associate Director of the Research and Statistics Group. Mr. Adrian has published extensively in economics and finance journals, including the American Economic Review and the Journal of Finance. His research spans asset pricing, financial institutions, monetary policy, and financial stability, with a focus on aggregate consequences of capital markets developments. He has taught at Princeton University and New York University. He is member of the editorial boards of the International Journal of Central Banking and the Annual Review of Financial Economics. Mr. Adrian holds a Ph.D. from the Massachusetts Institute of Technology in Economics, an MSc from the London School of Economics in Econometrics and Mathematical Economics, a Diplom from Goethe University Frankfurt and a Maîtrise from Dauphine University Paris. He received his Abitur in Literature and Mathematics from Humboldtschule Bad Homburg.

Matías Ossandon Busch

Director, Financial Stability

Matias Ossandon Busch is Director of Financial Stability at the Center for Latin American Monetary Studies (CEMLA) and Research Fellow at the Halle Institute for Economic Research (IWH) in Germany. He holds a PhD in Economics from the University of Magdeburg and has been visiting researcher at the German Bundesbank, at the Bank of England, and at the Norwegian Central Bank, among other institutions. He has been also lecturer in the fields of econometrics, corporate finance, and international financial stability at the Universities of Magdeburg (Germany) and Adolfo Ibáñez (Chile). His research focuses on the impact of international banking and regulation on financial stability. He is also Associate Editor of the Latin American Journal of Central Banking.

Jorge Galán

Head of the Macroprudential Strategy Unit
Financial Stability Department, Banco de España

Jorge Galan joined Banco de España in 2015 and is currently the Head of the Macroprudential Strategy Unit at the Department of Financial Stability and Macroprudential Policy. At Banco de España, Jorge has been responsible for the development of cyclical risk indicators, the operationalization of macroprudential instruments, and the assessment of macroprudential policies. He has been a member of several working groups at the European Systemic Risk Board, the European Central Bank, and the Basel Committee of banking Supervision. He holds a PhD from University Carlos III of Madrid and has published several papers in academic journals on banking efficiency, the identification of systemic risk, and the impact of macroprudential policy.

Lucyna Gornicka

Senior Economist
European Central Bank (ECB)

Lucyna is a Senior Economist in the Prices and Costs Division at the ECB. She is currently on leave from the IMF, where she worked on a range of macrofinancial projects, including FSAPs for Austria, Colombia and New Zealand. She holds a PhD from the University of Amsterdam. Her research interests focus on financial stability, monetary and macroprudential policy issues. Her work has been published in the Journal of International Economics, Journal of Banking and Finance, ant the Economic Policy Journal.

Simon Lloyd

Senior Research Economist
Bank of England

Simon is a Senior Research Economist at the Bank of England, working in both the International Directorate and the Macroprudential Strategy and Support Division. He joined the Bank in June 2017 after completing his PhD at the University of Cambridge. Simon’s research interests span international and monetary economics, and macro-finance. He has a particular interest in global macroeconomic modelling and the analysis of cross-border spillovers.

Eduardo Manuel

Bank of England

Ed is an Economist at the Bank of England, working in the Macroprudential Strategy and Support Division. He joined the Bank in September 2018 after completing his MSc at University College London. Ed’s research focuses on international economics and financial stability.

Thibaut Duprey

Director Financial Stability Model Development and Research
Bank of Canada

Thibaut Duprey is the Director of Model Development and Research in the Financial Stability Department at the Bank of Canada. His main interests include macro-financial linkages, banking theory, systemic risks, financial crises, and the associated prudential policies. In addition, he has contributed to the integration of financial stability considerations in the monetary policy framework. Before joining the bank, he was an economist at the Financial Stability Directorate of the Banque de France. He received his Ph.D. in Economics from the Paris School of Economics.

María Victoria Landaberry

Head of the Financial Stability Department
Banco Central del Uruguay

María Victoria Landaberry is the Head of the Financial Stability Department at the Central Bank of Uruguay. She has more than 10 years of experience working in the financial system. She is in charge of the Program Area in Data Science, and a professor of fundamentals statistics at UTEC. Ms. Landaberry has a background in Economics and holds Master’s degree in International Economics from the University of the Eastern Republic of Uruguay. In 2021 she obtained the professional Master in Data Science from the Technological University of Uruguay.

Rafael Nivin

Head, Department of Financial Research
Banco Central de la Reserva del Perú

Rafael Nivin is currently Head of the Department of Financial Research in the Central Reserve Bank of Peru. Previously, he works as a senior economist in the Department of Macroeconomic Modelling at the Central Reserve Bank of Peru. He holds a MSc and a PhD in Economics from the University of Illinois at Urbana-Champaign (USA) and Diploma in International Economic Research from the Kiel Institute for the World Economy (Germany). His research is related to macrofinancial risks to financial stability and the effects of macroprudential policy.