| 000 | 00000nam 2200000zi 4500 |
| 001 | 9.956727 |
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| 003 | CaOODSP |
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| 005 | 20251027131650 |
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| 006 | m o d f |
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| 007 | cr |n||||||||| |
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| 008 | 251024t20252025oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng|erda|cCaOODSP |
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| 041 | |aeng|beng|bfre |
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| 086 | 1 |aFB3-5/2025-25E-PDF |
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| 100 | 1 |aBoire, François-Michel, |eauthor. |
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| 245 | 10|aFinancial shocks and the output growth distribution / |cFrançois-Michel Boire, Thibaut Duprey, Alexander Ueberfeldt. |
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| 264 | 1|a[Ottawa] : |bBank of Canada = Banque du Canada, |c2025. |
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| 264 | 4|c©2025 |
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| 300 | |a1 online resource (ii, 31 pages) : |bcharts. |
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| 336 | |atext|btxt|2rdacontent |
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| 337 | |acomputer|bc|2rdamedia |
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| 338 | |aonline resource|bcr|2rdacarrier |
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| 490 | 1 |aStaff working paper = Document de travail du personnel, |y1701-9397 ; |v2025-25 |
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| 500 | |a"Last updated: September 19, 2025." |
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| 504 | |aIncludes bibliographical references (pages 21-23). |
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| 520 | |a"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. |
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| 546 | |aIncludes abstracts in English and French. |
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| 650 | 0|aFinancial crises|xEconometric models. |
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| 650 | 0|aGross domestic product|xEconometric models. |
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| 650 | 6|aCrises financières|xModèles économétriques. |
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| 650 | 6|aProduit intérieur brut|xModèles économétriques. |
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| 710 | 2 |aBank of Canada, |eissuing body. |
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| 830 | #0|aStaff working paper (Bank of Canada)|v2025-25.|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s820 KB|uhttps://publications.gc.ca/collections/collection_2025/banque-bank-canada/FB3-5-2025-25-eng.pdf |
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