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On the structural determinants of growth-at-risk

Author

Listed:
  • Martin Geiger

    (Liechtenstein-Institut)

  • Elias Hasler

    (Liechtenstein Financial Market Authority)

  • Martin Gächter

    (Liechtenstein Financial Market Authority)

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.

Suggested Citation

  • Martin Geiger & Elias Hasler & Martin Gächter, 2021. "On the structural determinants of growth-at-risk," Arbeitspapiere 70, Liechtenstein-Institut.
    • Handle: RePEc:lii:wpaper:70
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    File URL: https://www.liechtenstein-institut.li/download_file/2049/7278
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    References listed on IDEAS

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    Cited by:

    1. Lang, Jan Hannes & Rusnák, Marek & Greiwe, Moritz, 2023. "Medium-term growth-at-risk in the euro area," Working Paper Series 2808, European Central Bank.

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    More about this item

    Keywords

    Growth-at-risk; vulnerable growth; structural factors; macroprudential policy;
    All these keywords.

    JEL classification:

    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies
    • G01 - Financial Economics - - General - - - Financial Crises
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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