Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/237704 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
ECB Working Paper No. 2565
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Growth-at-risk
stress testing
quantile vector autoregression
financial conditions
macro-prudential policy
JEL: 
G21
C33
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-4751-0
Dokumentart: 
Working Paper

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