ALIENOR, a Macrofinancial Model for Macroprudential Policy

ALIENOR is an econometric model built to provide macroeconomic scenarios and conduct macroprudential analysis, in particular for larger stress-test exercises. In the model design, we pay particular attention to the link between financial variables and the real economy, to estimate the potential impact of the materialization of financial systemic risk, and to perform policy exercises. In addition, we quantify the impact of the macroeconomy on financial variables, with a focus on households’ credit, Non-Financial Corporates’ credit, and real estate prices, given the key role played by those variables during the crisis. Finally, we analyse the consequences on the economy of an exogenous increase in the long-term interest rates and a decrease in real estate prices.