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Growth at risk: Methodology and applications in an open-source platform

Author

Listed:
  • Ossandon Busch, Matias
  • Sánchez-Martínez, José Manuel
  • Rodríguez-Martínez, Anahí
  • Montañez-Enríquez, Ricardo
  • Martínez-Jaramillo, Serafín

Abstract

This article describes the construction of an open-source growth-at-risk (GaR) model. The model provides a flexible analytical tool for policymakers and researchers aiming to use the GaR approach to characterize the probability density of GDP growth conditional on domestic and international macrofinancial variables. This article, together with its related online repository, aims to foster an understanding of macrofinancial risk factors both in advanced and emerging economies.

Suggested Citation

  • Ossandon Busch, Matias & Sánchez-Martínez, José Manuel & Rodríguez-Martínez, Anahí & Montañez-Enríquez, Ricardo & Martínez-Jaramillo, Serafín, 2022. "Growth at risk: Methodology and applications in an open-source platform," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(3).
    • Handle: RePEc:eee:lajcba:v:3:y:2022:i:3:s2666143822000229
    DOI: 10.1016/j.latcb.2022.100068
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    References listed on IDEAS

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    More about this item

    Keywords

    Financial stability; Growth-at-risk; Quantile regressions; Economic growth;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • O4 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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