Managing GDP tail risk / by Thibaut Duprey and Alexander Ueberfeldt.: FB3-5/2020-3E-PDF
"We propose a novel framework to analyze how policy-makers can manage risks to the median projection and risks specific to the tail of gross domestic product (GDP) growth. By combining a quantile regression of GDP growth with a vector autoregression, we show that monetary and macroprudential policy shocks can reduce credit growth and thus GDP tail risk. So policymakers concerned about GDP tail risk would choose a tighter policy stance at the expense of macroeconomic stability. Using Canadian data, we show how our framework can add tail event information to projection models that ignore them and give policy-makers a tool to communicate the trade-offs they face"--Abstract, page 2.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.884223&sl=0
| Department/Agency | Bank of Canada. |
|---|---|
| Title | Managing GDP tail risk / by Thibaut Duprey and Alexander Ueberfeldt. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-3 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "Last updated: January 28, 2020." Includes bibliographical references (pages 41-45). |
| Publishing information | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 |
| Author / Contributor | Duprey, Thibaut, author. |
| Description | 1 online resource (63 pages) : illustrations (chiefly colour). |
| Catalogue number |
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| Subject terms | Gross domestic product -- Econometric models. Produit intérieur brut -- Modèles économétriques. Monetary policy -- Econometric models. Politique monétaire -- Modèles économétriques. |
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