文章基本信息

标题：The Term Structure of Growth-at-Risk
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作者：Tobias Adrian ; Federico Grinberg ; Nellie Liang 等
期刊名称：IMF Policy Discussion Papers
出版年度：2018
期号：August
出版社：International Monetary Fund
摘要：Using panel quantile regressions for 11 advanced and 10 emerging market economies, we show that the conditional distribution of GDP growth depends on financial conditions, with growth-at-risk (GaR)—defined as growth at the lower 5th percentile—more responsive than the median or upper percentiles. In addition, the term structure of GaR features an intertemporal tradeoff: GaR is higher in the short run; but lower in the medium run when initial financial conditions are loose relative to typical levels, and the tradeoff is amplified by a credit boom. This shift in the growth distribution generally is not incorporated when solving dynamic stochastic general equilibrium models with macrofinancial linkages, which suggests downside risks to GDP growth are systematically underestimated.