Arbeitspapier
Managing GDP tail risk
We propose a novel framework to analyze how policy-makers can manage risks to the median projection and risks specific to the tail of gross domestic product (GDP) growth. By combining a quantile regression of GDP growth with a vector autoregression, we show that monetary and macroprudential policy shocks can reduce credit growth and thus GDP tail risk. So policymakers concerned about GDP tail risk would choose a tighter policy stance at the expense of macroeconomic stability. Using Canadian data, we show how our framework can add tail event information to projection models that ignore them and give policy-makers a tool to communicate the trade-offs they face.
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Canada Staff Working Paper ; No. 2020-3
- Classification
-
Wirtschaft
Financial Markets and the Macroeconomy
Monetary Policy
Central Banks and Their Policies
Financial Crises
- Subject
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Central bank research
Economic models
Financial stability
Financial system regulationand policies
Interest rates
Monetary policy
Monetary policy framework
- Event
-
Geistige Schöpfung
- (who)
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Duprey, Thibaut
Ueberfeldt, Alexander
- Event
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Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
-
2020
- DOI
-
doi:10.34989/swp-2020-3
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Duprey, Thibaut
- Ueberfeldt, Alexander
- Bank of Canada
Time of origin
- 2020
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