SAMBA-Crypto: A Satellite DSGE Model for Cryptoassets and Financial Stability

JEL Classification E52; E32; E44; G01; G12; C11 Abstract This paper proposes an extension of the SAMBA macroeconomic model, used by the Central Bank of Brazil, through the incorporation of a satellite model of crypto assets, called SAMBA-Cripto. The approach inserts an aggregate index of cryptoassets, calibrated and penalized by volatility, in a DSGE framework with IS-MP monetary policy, in which the monetary authority reacts indirectly to financial conditions and systemic risk, without treating cryptoassets as currency (Smets & Wouters, 2007; Wickens, 2012). The crypto index is modeled as a global financial asset, benchmarked to the Nasdaq CME Crypto Index, and interpreted as an observable proxy for an aggregate digital financial risk factor, characterized by volatility and time-varying risk premiums. Following Harvey (1989, 1991), such factors influence asset prices through conditional covariances, even in the absence of direct monetary policy intervention. Following these principles, the dynamics of the model incorporate technological, regulatory, risk-averse and monetary structural shocks, affecting the real economy mainly through the financial channel (Christiano, Motto & Rostagno, 2014). The model is estimated via Bayesian methods (An & Schorfheide, 2007). The results suggest a reduction in financial volatility and systemic risk, contributing to the macrofinance literature and central bank operating models. Keywords: SAMBA Model, Satellite Model, Crypto-assets, Crypto Index, DSGE, Monetary Policy, IS–MP Framework, Bayesian Estimation, Financial Stability, Systemic Risk.