The Term Structure of Growth-at-Risk
The Term Structure of Growth-at-Risk
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DOI：
10.5089/9781484372364.001
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发表时间：
2018-08
期刊：
影响因子：
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通讯作者：
T. Adrian;Federico Grinberg;Nellie Liang;Sheheryar Malik
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文献类型：
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作者：
T. Adrian;Federico Grinberg;Nellie Liang;Sheheryar Malik
我们在11个发达经济体的面板中表明，预测GDP增长的条件分布取决于金融状况。与中位数相比，金融状况对有条件增长（我们称之为风险增长（GaR））后5%的影响更大。此外，GaR的期限结构反映出，当初始金融状况宽松时，近期的下行风险较低，但后几个季度的下行风险会增加。当信贷占gdp的比例快速增长时，这种对宽松金融环境的跨期权衡会被放大。使用颗粒工具变量，我们还提供证据表明，从宽松的金融状况到未来的下行风险是因果关系。我们的研究结果表明，宏观金融联系模型应该纳入高阶矩的内生性，以系统地解释中期增长的下行风险。（凝胶e23， e27, e32, e44）
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. (JEL E23, E27, E32, E44)