| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15864 |
| DP15864 Credit, capital and crises: a GDP-at-Risk approach | |
| David Aikman; Jonathan Bridges; Sinem Hacioglu Hoke; Cian O'Neill; Akash Raja | |
| 发表日期 | 2021-03-02 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | Using quantile regressions applied to a panel dataset of 16 advanced economies, we examine how downside risk to growth over the medium term is affected by a set of macroprudential indicators. We find that credit and property price booms, and wide current account deficits increase downside risks 3 to 5 years ahead. However, such downside risks can be partially mitigated by increasing the capital ratio of the banking system. We show that GDP-at-Risk, defined as the the 5th quantile of the projected GDP growth distribution three years ahead, deteriorated in the US in the run-up to the Global Financial Crisis, driven by rapid growth in credit and house prices alongside a widening current account deficit. Our results suggest such indicators could provide useful information for the stance of macroprudential policy. |
| 主题 | Financial Economics |
| 关键词 | Financial stability Gdp-at-risk Macroprudential policy Quantile regressions Local projections |
| URL | https://cepr.org/publications/dp15864 |
| 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/544857 |
| 推荐引用方式 GB/T 7714 | David Aikman,Jonathan Bridges,Sinem Hacioglu Hoke,et al. DP15864 Credit, capital and crises: a GDP-at-Risk approach. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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