The Term Structure of Growth-at-Risk
The Term Structure of Growth-at-Risk

Author: Tobias Adrian

Publisher: International Monetary Fund

Published: 2018-08-02

Total Pages: 40

ISBN-13: 1484372360

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Using panel quantile regressions for 11 advanced and 10 emerging market economies, we show that the conditional distribution of GDP growth depends on financial conditions, with growth-at-risk (GaR)—defined as growth at the lower 5th percentile—more responsive than the median or upper percentiles. In addition, 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, and the tradeoff is amplified by a credit boom. 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.

The Term Structure of Growth-at-risk
The Term Structure of Growth-at-risk

Author:

Publisher:

Published: 2018

Total Pages: 39

ISBN-13:

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Using panel quantile regressions for 11 advanced and 10 emerging market economies, we show that the conditional distribution of GDP growth depends on financial conditions, with growth-at-risk (GaR)—defined as growth at the lower 5th percentile—more responsive than the median or upper percentiles. In addition, 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, and the tradeoff is amplified by a credit boom. 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.

The Term Structure of Growth-at-Risk
The Term Structure of Growth-at-Risk

Author: Tobias Adrian

Publisher: International Monetary Fund

Published: 2018-08-02

Total Pages: 40

ISBN-13: 1484372867

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Using panel quantile regressions for 11 advanced and 10 emerging market economies, we show that the conditional distribution of GDP growth depends on financial conditions, with growth-at-risk (GaR)—defined as growth at the lower 5th percentile—more responsive than the median or upper percentiles. In addition, 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, and the tradeoff is amplified by a credit boom. 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.

Growth at Risk: Concept and Application in IMF Country Surveillance
Growth at Risk: Concept and Application in IMF Country Surveillance

Author: Mr.Ananthakrishnan Prasad

Publisher: International Monetary Fund

Published: 2019-02-21

Total Pages: 39

ISBN-13: 1484397010

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The growth-at-risk (GaR) framework links current macrofinancial conditions to the distribution of future growth. Its main strength is its ability to assess the entire distribution of future GDP growth (in contrast to point forecasts), quantify macrofinancial risks in terms of growth, and monitor the evolution of risks to economic activity over time. By using GaR analysis, policymakers can quantify the likelihood of risk scenarios, which would serve as a basis for preemptive action. This paper offers practical guidance on how to conduct GaR analysis and draws lessons from country case studies. It also discusses an Excel-based GaR tool developed to support the IMF’s bilateral surveillance efforts.

Zero Lower Bound Term Structure Modeling
Zero Lower Bound Term Structure Modeling

Author: L. Krippner

Publisher: Springer

Published: 2015-01-05

Total Pages: 436

ISBN-13: 1137401826

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Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.

Term Structure of Interest Rates
Term Structure of Interest Rates

Author: Burton Gordon Malkiel

Publisher: Princeton University Press

Published: 2015-12-08

Total Pages: 294

ISBN-13: 1400879787

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Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.

Capital Flows at Risk: Taming the Ebbs and Flows
Capital Flows at Risk: Taming the Ebbs and Flows

Author: Mr.R. G Gelos

Publisher: International Monetary Fund

Published: 2019-12-20

Total Pages: 44

ISBN-13: 1513522906

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The volatility of capital flows to emerging markets continues to pose challenges to policymakers. In this paper, we propose a new framework to answer critical policy questions: What policies and policy frameworks are most effective in dampening sharp capital flow movements in response to global shocks? What are the near- versus medium-term trade-offs of different policies? We tackle these questions using a quantile regression framework to predict the entire future probability distribution of capital flows to emerging markets, based on current domestic structural characteristics, policies, and global financial conditions. This new approach allows policymakers to quantify capital flows risks and evaluate policy tools to mitigate them, thus building the foundation of a risk management framework for capital flows.

Global Factors in the Term Structure of Interest Rates
Global Factors in the Term Structure of Interest Rates

Author: Mirko Abbritti

Publisher: International Monetary Fund

Published: 2013-11-05

Total Pages: 41

ISBN-13: 1475513313

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This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.