Growth-at-risk and macroprudential policy design

Bericht

This paper explores a potential application of the empirical growth-at-risk (GaR) approach to the assessment and design of macroprudential policies. In parallel to the concept of value-at-risk, the GaR of an economy over a given horizon is a low quantile of the distribution of the (projected) GDP growth rate over the same horizon. In contrast to the standard macroeconomic focus on the expected value (and, perhaps, the variance) of aggregate output growth, looking at low quantiles of such growth implies, as in risk management, a focus on the severity of potential adverse outcomes.

Angaben zum Objekt

• ISBN: 978-92-9472-231-7
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ESRB Occasional Paper Series ; No. 19

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Crises ; Financial Institutions and Services: General ; Financial Institutions and Services: Government Policy and Regulation
• Thema: macroprudential policy ; policy stance ; growth-at-risk ; quantile regressions

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Suárez, Javier
• Ereignis: Veröffentlichung
• (wer): European Systemic Risk Board (ESRB), European System of Financial Supervision
• (wo): Frankfurt a. M.
• (wann): 2021

Weitere Informationen

• DOI: doi:10.2849/27197
• Handle: http://hdl.handle.net/10419/238323
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ