Economics at your fingertips  

A tale of two tails: 130 years of growth-at-risk

Martin G\"achter, Elias Hasler and Florian Huber
Authors registered in the RePEc Author Service: Martin Gächter

Papers from

Abstract: We extend the existing growth-at-risk (GaR) literature by examining a long time period of 130 years in a time-varying parameter regression model. We identify several important insights for policymakers. First, both the level as well as the determinants of GaR vary significantly over time. Second, the stability of upside risks to GDP growth reported in earlier research is specific to the period known as the Great Moderation, with the distribution of risks being more balanced before the 1970s. Third, the distribution of GDP growth has significantly narrowed since the end of the Bretton Woods system. Fourth, financial stress is always linked to higher downside risks, but it does not affect upside risks. Finally, other risk indicators, such as credit growth and house prices, not only drive downside risks, but also contribute to increased upside risks during boom periods. In this context, the paper also adds to the financial cycle literature by completing the picture of drivers (and risks) for both booms and recessions over time.

Date: 2023-02
New Economics Papers: this item is included in nep-fdg, nep-his and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link) Latest version (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:

Access Statistics for this paper

More papers in Papers from
Bibliographic data for series maintained by arXiv administrators ().

Page updated 2024-03-31
Handle: RePEc:arx:papers:2302.08920