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GDP at Risk as Financial Stability Metric

This paper explores the use of GDP at Risk as a metric for assessing financial stability. It discusses vulnerable growth, the term structure of growth at risk, and the relationship between financial vulnerability and monetary policy.

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GDP at Risk as Financial Stability Metric

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  1. GDP at Risk as Financial Stability Metric Tobias Adrian International Monetary Fund

  2. Outline Vulnerable Growth: Adrian, Boyarchenko, Giannone (2016) The Term Structure of Growth at Risk: Adrian, Grinberg, Liang, Malik (2018) Financial Vulnerability and Monetary Policy: Adrian, Duarte (2017)

  3. 1) Vulnerable Growth Adrian, Boyarchenko, Giannone (2016)

  4. GDP Growth and Economic and Financial Conditions Adrian, Boyarchenko, Giannone (2016)

  5. GDP Growth and Economic and Financial Conditions Adrian, Boyarchenko, Giannone (2016)

  6. Conditional Quantiles of GDP Growth Adrian, Boyarchenko, Giannone (2016)

  7. Smoothing Across Quantiles Adrian, Boyarchenko, Giannone (2016)

  8. Probability Densities Adrian, Boyarchenko, Giannone (2016)

  9. Distribution of GDP Growth Over Time Adrian, Boyarchenko, Giannone (2016)

  10. Out of Sample Quantile Estimates Adrian, Boyarchenko, Giannone (2016)

  11. Out of Sample Predictive Scores Adrian, Boyarchenko, Giannone (2016)

  12. GARCH Estimation of Quantiles Adrian, Boyarchenko, Giannone (2016)

  13. 2) Term Structure of Growth at Risk Adrian, Grinberg, Liang, Malik (2018)

  14. Marginal Effect of FCI on Growth : AEs Adrian, Grinberg, Liang, Malik (2018)

  15. Marginal Effect of FCI on Growth : EMEs Adrian, Grinberg, Liang, Malik (2018)

  16. Panel GaRs Adrian, Grinberg, Liang, Malik (2018)

  17. Probability Density of Conditional GDP Growth, AEs Adrian, Grinberg, Liang, Malik (2018)

  18. Probability Density of Conditional GDP Growth, EMEs Adrian, Grinberg, Liang, Malik (2018)

  19. The Term Structure of GaR: AEs Adrian, Grinberg, Liang, Malik (2018)

  20. The Term Structure of GaR: EMEs Adrian, Grinberg, Liang, Malik (2018)

  21. Term structures by initial FCI: Conditional Median and GaR, AEs Adrian, Grinberg, Liang, Malik (2018)

  22. 3) Financial Vulnerability and Monetary Policy Adrian, Duarte (2017)

  23. The Quantiles of the Output Gap Adrian, Duarte (2018)

  24. Conditional Mean and Vol Adrian, Duarte (2018)

  25. The Quantiles of the Output Gap Adrian, Duarte (2018)

  26. A Micro Founded DSGE Model Adrian, Duarte (2018)

  27. The Bank’s VaR Constraint Adrian, Duarte (2018)

  28. The Bank’s VaR Constraint and Amplification Adrian, Duarte (2018)

  29. The Bank’s VaR Constraint and Amplification Adrian, Duarte (2018)

  30. The Power of Continuous Time Adrian, Duarte (2018)

  31. Optimal Monetary Policy Adrian, Duarte (2018)

  32. Calibration Adrian, Duarte (2018)

  33. Interest Rate Response to Vulnerability Adrian, Duarte (2018)

  34. Conditional Mean-Volatility for Output Gap Adrian, Duarte (2018)

  35. Conditional Mean-Volatility for Output Gap Adrian, Duarte (2018)

  36. Conditional Mean-Volatility for Output Gap Adrian, Duarte (2018)

  37. Welfare Gains: Steady State Distributions for Output Gaps Adrian, Duarte (2018)

  38. Notable Welfare Gains from Responding to FCIs Adrian, Duarte, Grinberg, Mancini-Griffoli (2018)

  39. In Conclusion • Should Monetary Policy … • Target financial stability? • Respond to financial conditions? • Two different questions! • Don’t target financial stability (occasional, massive crises) • But respond to evolving financial conditions (as is done in practice) Adrian, Duarte, Grinberg, Mancini-Griffoli (2018)

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