The Term Structure of Growth-at-Risk

• 成果类型: Article
• 署名作者: Adrian, Tobias; Grinberg, Federico; Liang, Nellie; Malik, Sheheryar; Yu, Jie
• 署名单位: International Monetary Fund; Columbia University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20180428
• 发表日期: 2022
• 页码: 283-323
• 关键词: Quantile regression; monetary-policy; Financial conditions; panel-data; credit; inference; MODEL

摘要

We show that the conditional distribution of forecasted GDP growth depends on financial conditions in a panel of 11 advanced economies. Financial conditions have a larger effect on the lower fifth percentile of conditional growth which we call growth-at-risk (GaR) than the median. In addition, the term structure of GaR reflects that when initial financial conditions are loose, downside risks are lower in the near term but increase in later quarters. This intertemporal tradeoff for loose financial conditions is amplified when credit-to-GDP growth is rapid. Using granular instrumental variables, we also provide evidence that the relationship from loose financial conditions to future downside risks is causal. Our results suggest that models of macrofinancial linkages should incorporate the endogeneity of higher-order moments to systematically account for downside risks to growth in the medium run.