On the structural determinants of growth-at-risk

Martin Geiger (), Elias Hasler () and Martin Gächter ()
Additional contact information
Martin Geiger: Liechtenstein-Institut
Elias Hasler: Liechtenstein Financial Market Authority
Martin Gächter: Liechtenstein Financial Market Authority
Authors registered in the RePEc Author Service: Martin Gächter

No 70, Arbeitspapiere from Liechtenstein-Institut

Abstract: We examine structural differences in growth vulnerabilities across countries resulting from time-varying financial risk. Considering differences in trade openness, financial sector size, the public spending ratio and government effectiveness, our findings suggest the existence of both a structural gap as well as a risk sensitivity gap when estimating growth-at-risk (GaR) across countries. Hence, structural factors do not only drive level-differences in GaR, but also give rise to differences in the responsiveness of GaR to varying levels of risk. Furthermore, we show that structural factors affect the term structure of GaR, with the impact of structural characteristics varying over the forecasting horizon. A proper understanding of structural factors in the context of the GaR framework is particularly important to facilitate the use of the concept in macroprudential policy.

Keywords: Growth-at-risk; vulnerable growth; structural factors; macroprudential policy (search for similar items in EconPapers)
JEL-codes: E27 E32 E44 F43 G01 G20 G28 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2021-06
New Economics Papers: this item is included in nep-cba, nep-fdg and nep-mac
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https://www.liechtenstein-institut.li/download_file/2049/7278 First version, 2021 (application/pdf)

Related works:
Journal Article: On the Structural Determinants of Growth-at-Risk (2023)
Working Paper: On the structural determinants of growth-at-risk (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:lii:wpaper:70

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