TY - BOOK ID - 85290081 TI - The Term Structure of Growth-at-Risk AU - Adrian, Tobias. AU - Grinberg, Federico. AU - Liang, Nellie. AU - Malik, Sheheryar. PY - 2018 SN - 1484372883 1484372867 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Banks and banking KW - Agricultural banks KW - Banking KW - Banking industry KW - Commercial banks KW - Depository institutions KW - Finance KW - Financial institutions KW - Money KW - Finance. KW - Finance: General KW - Macroeconomics KW - Money and Monetary Policy KW - International Business Cycles KW - Monetary Growth Models KW - Monetary Policy, Central Banking, and the Supply of Money and Credit: General KW - General Financial Markets: Government Policy and Regulation KW - Financial Markets and the Macroeconomy KW - Monetary economics KW - Growth-at-risk assessment KW - Credit booms KW - Credit KW - Financial sector risk KW - Macrofinancial linkages KW - Financial sector policy and analysis KW - Financial risk management KW - Financial services industry KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:85290081 AB - Using panel quantile regressions for 11 advanced and 10 emerging market economies, we show that the conditional distribution of GDP growth depends on financial conditions, with growth-at-risk (GaR)—defined as growth at the lower 5th percentile—more responsive than the median or upper percentiles. In addition, the term structure of GaR features an intertemporal tradeoff: GaR is higher in the short run; but lower in the medium run when initial financial conditions are loose relative to typical levels, and the tradeoff is amplified by a credit boom. This shift in the growth distribution generally is not incorporated when solving dynamic stochastic general equilibrium models with macrofinancial linkages, which suggests downside risks to GDP growth are systematically underestimated. ER -