Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/237704 
Year of Publication: 
2021
Series/Report no.: 
ECB Working Paper No. 2565
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
Macro-prudential authorities need to assess medium-term downside risks to the real economy, caused by severe financial shocks. Before activating policy measures, they also need to consider their short-term negative impact. This gives rise to a risk management problem, an inter-temporal trade-off between expected growth and downside risk. Predictive distributions are estimated with structural quantile vector autoregressive models that relate economic growth to measures of financial stress and the financial cycle. An empirical study with euro area and U.S. data shows how to construct indicators of macro-prudential policy stance and to assess when interventions may be beneficial.
Subjects: 
Growth-at-risk
stress testing
quantile vector autoregression
financial conditions
macro-prudential policy
JEL: 
G21
C33
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4751-0
Document Type: 
Working Paper

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