Kicking the can down the road: A historical growth-at-risk perspective

Martin Gächter, Elias Hasler and Johann Scharler

Economics Letters, 2023, vol. 228, issue C

Abstract: We contribute to the rapidly emerging growth-at-risk literature by examining the impact of financial stress and credit growth on the term structure of growth-at-risk in the U.S. over the past 130 years. While financial stress has become less relevant for downside risks over time, the impact of credit growth has increased substantially. We find that although credit growth has increasingly reduced growth risks over shorter horizons, medium-run risks associated with credit growth have increased. These results point to an important policy trade-off, as the implementation of policies addressing elevated levels of financial stress may involve an increase in leverage and credit growth, which, in turn, is associated with higher risks in the medium term.

Keywords: Growth-at-risk; Vulnerable growth; Macroprudential policy (search for similar items in EconPapers)
JEL-codes: E27 E32 E44 F43 G01 G20 G28 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176523001581
Full text for ScienceDirect subscribers only

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:eee:ecolet:v:228:y:2023:i:c:s0165176523001581

DOI: 10.1016/j.econlet.2023.111133

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().