On the structural determinants of growth-at-risk

Martin Gächter, Martin Geiger () and Elias Hasler ()

Working Papers from Faculty of Economics and Statistics, Universität Innsbruck

Abstract: We examine structural di erences in growth vulnerabilities across countries associated with financial risk indicators. Considering trade openness, financial sector size, the public spending ratio and government effectiveness, our findings suggest the existence of a structural gap and a risk sensitivity gap. Hence, structural country characteristics not only drive level di erences in growth-at-risk (GaR) but also give rise to di erences in the responsiveness of GaR to financial risks. Furthermore, we show that the impact of structural characteristics varies over the forecasting horizon. A proper understanding of structural country characteristics in the context of the GaR framework is important to facilitate the use of the concept in macroprudential policy.

Keywords: Growth-at-risk; vulnerable growth; structural characteristics; macroprudential policy (search for similar items in EconPapers)
JEL-codes: E27 E32 E44 F43 G01 G20 G28 (search for similar items in EconPapers)
Pages: 41
Date: 2022-06
New Economics Papers: this item is included in nep-ban and nep-mac
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: On the Structural Determinants of Growth-at-Risk (2023)
Working Paper: On the structural determinants of growth-at-risk (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:inn:wpaper:2022-06

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