20211109_LargeModelST

What is the macro-micro model BEAST?
• The core model supporting macro-financial
risk and policy assessments
• The emphasis on macro-financial interactions
within a bank (e.g. the feedback loop between
solvency and funding costs) and between
banks and the real economy
• Ingrains monetary policy transmission,
especially via the banking channel
• Developed and applied since 2018, with over a
dozen unique policy projects completed to date
• Therein, seven projects to a differing degree
built-on or explored Growth @ Risk perspective
• Dedicated working group (MaMi
workstream/Financial Stability Committee)
monitoring the development of the model
• A semi-structural (backward-looking) model
following the tradition of core forecasting
models at central banks
• Including representation of individual euro area
economies, and individual banks making up
60-70% of the euro area banking sector
• Sufficiently detailed representation of banks’
balance sheets, profit and loss accounts to
encapsulate economic, regulatory and
accounting interactions
• Empirical identification of main behavioural
equations and heavy use of bank-level data
from various sources
• Long-term stability
• A well-defined, updateable ‘forecasting’
model
• Additional extensions toward scenario and (to
an increasing degree) parameter uncertainty
3
www.ecb.europa.eu ©