The Term Structure of Growth-at-Risk

44 Pages Posted: 3 Dec 2018

See all articles by Tobias Adrian

Tobias Adrian

International Monetary Fund

Federico Grinberg

International Monetary Fund

Nellie Liang

Brookings Institution

Sheheryar Malik

International Monetary Fund (IMF)

Date Written: December 2018

Abstract

Using panel quantile regressions, we show that the conditional distribution of GDP growth depends on financial conditions, with growth-at-risk (GaR)-defined as conditional growth at the lower 5th percentile-more responsive than the median or upper percentiles. 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. 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.

Suggested Citation

Adrian, Tobias and Grinberg, Federico and Liang, Nellie and Malik, Sheheryar, The Term Structure of Growth-at-Risk (December 2018). CEPR Discussion Paper No. DP13349, Available at SSRN: https://ssrn.com/abstract=3295007

Tobias Adrian (Contact Author)

International Monetary Fund ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

HOME PAGE: http://www.tobiasadrian.com

Federico Grinberg

International Monetary Fund ( email )

700 19th St NW
Washington, DC 20431
United States

Nellie Liang

Brookings Institution ( email )

1775 Massachusetts Ave, NW
Washington, DC 20036
United States

Sheheryar Malik

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
0
Abstract Views
276
PlumX Metrics