00000nam 2200000zi 4500 9.956727 CaOODSP 20251027131650 m o d f cr |n||||||||| 251024t20252025oncd ob f000 0 eng d CaOODSP eng rda CaOODSP eng eng fre FB3-5/2025-25E-PDF Boire, François-Michel, author. Financial shocks and the output growth distribution / François-Michel Boire, Thibaut Duprey, Alexander Ueberfeldt. [Ottawa] : Bank of Canada = Banque du Canada, 2025. ©2025 1 online resource (ii, 31 pages) : charts. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2025-25 "Last updated: September 19, 2025." Includes bibliographical references (pages 21-23). "This paper studies how financial shocks shape the distribution of output growth by introducing a quantile-augmented vector autoregression (QAVAR), which integrates quantile regressions into a structural VAR framework. The QAVAR preserves standard shock identification while delivering flexible, nonparametric forecasts of conditional moments and tail risk measures for gross domestic product (GDP). Applying the model to financial conditions and credit spread shocks, we find that adverse financial shocks worsen the downside risk to GDP growth significantly, while the median and upper percentiles respond more moderately. This underscores the importance of nonlinearities and heterogeneous tail dynamics in assessing macro-financial risks"--Abstract, page ii. Includes abstracts in English and French. Financial crises Econometric models. Gross domestic product Econometric models. Crises financières Modèles économétriques. Produit intérieur brut Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2025-25. (CaOODSP)9.806221 PDF 820 KB https://publications.gc.ca/collections/collection_2025/banque-bank-canada/FB3-5-2025-25-eng.pdf