| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14322 |
| DP14322 Financial Variables as Predictors of Real Growth Vulnerability | |
| Lucrezia Reichlin; Giovanni Ricco; Thomas Hasenzagl | |
| 发表日期 | 2020-01-16 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We evaluate the role of financial conditions as predictors of macroeconomic risk first in the quantile regression framework of Adrian et al. (2019b), which allows for non-linearities, and then in a novel linear semi-structural model as proposed by Hasenzagl et al. (2018). We distinguish between price variables such as credit spreads and stock variables such as leverage. We find that (i) although the spreads correlate with the left tail of the conditional distribution of GDP growth, they provide limited advanced information on growth vulnerability; (ii) nonfinancial leverage provides a leading signal for the left quantile of the GDP growth distribution in the 2008 recession; (iii) measures of excess leverage conceptually similar to the Basel gap, but cleaned from business cycle dynamics via the lenses of the semi-structural model, point to two peaks of accumulation of risks – the eighties and the first eight years of the new millennium, with an unstable relationship with business cycle chronology. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Financial cycle Business cycle Credit Financial crises Downside risk Entropy Quantile regressions |
| URL | https://cepr.org/publications/dp14322 |
| 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/543214 |
| 推荐引用方式 GB/T 7714 | Lucrezia Reichlin,Giovanni Ricco,Thomas Hasenzagl. DP14322 Financial Variables as Predictors of Real Growth Vulnerability. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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