On the Structural Determinants of Growth-at-Risk

Martin Gächter, Martin Geiger and Elias Hasler
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Martin Geiger: Liechtenstein Institute, University of Innsbruck
Elias Hasler: Liechtenstein Financial Market Authority, University of Innsbruck

International Journal of Central Banking, 2023, vol. 19, issue 2, 251-293

Abstract: We examine structural differences 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 differences in growth-at-risk (GaR) but also give rise to differences 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.

JEL-codes: E27 E32 E44 F43 G01 G20 G28 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: On the structural determinants of growth-at-risk (2022)
Working Paper: On the structural determinants of growth-at-risk (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2023:q:2:a:5

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