| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13349 |
| DP13349 The Term Structure of Growth-at-Risk | |
| Tobias Adrian; Nellie Liang; Federico Grinberg | |
| 发表日期 | 2018-12-01 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics |
| URL | https://cepr.org/publications/dp13349 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542160 |
| 推荐引用方式 GB/T 7714 | Tobias Adrian,Nellie Liang,Federico Grinberg. DP13349 The Term Structure of Growth-at-Risk. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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