Shaping the future: Policy shocks and the GDP growth distribution

Francois-Michel Boire, Thibaut Duprey and Alexander Ueberfeldt

Staff Working Papers from Bank of Canada

Abstract: We incorporate quantile regressions into a structural vector autoregression model to empirically assess how monetary and fiscal policy influence risks around future GDP growth. Using a panel of six developed countries, we find that both policy instruments affect the location of the distribution of future GDP growth, whereas fiscal shocks also impact the shape of the distribution. Fiscal stimulus generates upside risk, paving the path to a faster recovery, especially when the policy rate is constrained by the zero lower bound (ZLB). Unconventional monetary policy during ZLB episodes has a comparable effect on future GDP growth as conventional monetary policy.

Keywords: Central bank research; Econometric and statistical methods; Financial stability; Fiscal policy; Monetary policy (search for similar items in EconPapers)
JEL-codes: C53 E62 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2021-05
New Economics Papers: this item is included in nep-cba and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.bankofcanada.ca/wp-content/uploads/2021/05/swp2021-24.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:21-24

Access Statistics for this paper

More papers in Staff Working Papers from Bank of Canada 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada. Contact information at EDIRC.
Bibliographic data for series maintained by ().