The understanding of the persistence, stability and process of transfer of macroeconomic shocks to the financial risk parameters, is important to establish causal relationships that will be used to test the stability and solvency of financial institutions; such tests are currently regulatory requirements and are known as “testing-stress”. In this work we will present empirical evidence of the imperfection of agents and markets, in terms of rationality and information, and explain how this imperfection determines the process of transference and the persistent nature of macroeconomic shocks. It is also proposed to use two candidate methodologies to model the dynamic responses of the risk parameters for macroeconomic shocks: Autoregressive Distributed Lag Equation (ADL Equation) and Stochastic Dynamic General Equilibrium models (SDGE models).
Senior Researcher. Department of Macroeconomic Studies and Pre-Crisis Models, Santander Bank – Brazil.