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Managing GDP tail risk

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Authors and Corporations: Duprey, Thibaut (Author), Ueberfeldt, Alexander (Author)
Other Authors: Ueberfeldt, Alexander [Author]
Edition: Last updated: January 28, 2020
Type of Resource: E-Book
Language: English
[Ottawa] Bank of Canada [2020]
Series: Bank of Canada: Staff working paper ; 2020, 3
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Summary: We propose a novel framework to analyze how policy-makers can manage risks to the median projection and risks specific to the tail of gross domestic product (GDP) growth. By combining a quantile regression of GDP growth with a vector autoregression, we show that monetary and macroprudential policy shocks can reduce credit growth and thus GDP tail risk. So policymakers concerned about GDP tail risk would choose a tighter policy stance at the expense of macroeconomic stability. Using Canadian data, we show how our framework can add tail event information to projection models that ignore them and give policy-makers a tool to communicate the trade-offs they face.
Physical Description: 1 Online-Ressource (circa 66 Seiten); Illustrationen