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Growth at Risk: Concept and Application in IMF Country Surveillance

Ananthakrishnan Prasad, Phakawa Jeasakul, Adrian Alter, Romain Lafarguette, Alan Xiaochen Feng, Selim Elekdag and Changchun Wang

No 2019/036, IMF Working Papers from International Monetary Fund

Abstract: The growth-at-risk (GaR) framework links current macrofinancial conditions to the distribution of future growth. Its main strength is its ability to assess the entire distribution of future GDP growth (in contrast to point forecasts), quantify macrofinancial risks in terms of growth, and monitor the evolution of risks to economic activity over time. By using GaR analysis, policymakers can quantify the likelihood of risk scenarios, which would serve as a basis for preemptive action. This paper offers practical guidance on how to conduct GaR analysis and draws lessons from country case studies. It also discusses an Excel-based GaR tool developed to support the IMF’s bilateral surveillance efforts.

Keywords: WP; GaR analysis; GaR framework; price of risk; asset price; GDP growth; accommodative financial conditions; growth distribution; GaR tool; house price growth; GaR concept; GaR approach; scenario analysis; financial conditions partition; term premium; Growth-at-risk assessment; Asset prices; Housing prices; Financial statements; Credit aggregates; Global (search for similar items in EconPapers)
Pages: 39
Date: 2019-02-21
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Handle: RePEc:imf:imfwpa:2019/036