At-risk measures and financial stability
Jorge E. Galán and
María Rodríguez Moreno
Authors registered in the RePEc Author Service: Maria Rodriguez-Moreno ()
Revista de Estabilidad Financiera, 2020, issue Autumn
Financial stability is aimed at preventing and mitigating systemic risk, which is largely associated to the tail risk of macrofinancial variables. In this context, policy makers need to consider not only the most likely (central tendency) future path of macrofinancial variables, but also the distribution of all possible outcomes about that path, and focus on the downside risk. Against this background, the so-called at-risk methods provide a useful framework for the assessment of financial stability by the recognition of non-linear effects on the distribution of macrofinancial variables. We describe the use of quantile regressions for this purpose and illustrate two empirical applications related to the house prices and the GDP, from which useful insights for policymakers are derived.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://www.bde.es/f/webbde/GAP/Secciones/Publicac ... risk_measures_en.pdf
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bde:revist:y:2020:i:autumn:n:3
Access Statistics for this article
More articles in Revista de Estabilidad Financiera from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by ().