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Growth-at-risk for macroprudential policy stance assessment: a survey

Author

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  • Škrinjarić, Tihana

    (Bank of England)

Abstract

This is a survey of the literature on Growth-at-Risk (GaR) for macroprudential policy stance assessment. After acknowledging the main findings and contributions, we focus on the current challenges that are present in the literature. Key challenges are the measurement and intensity of the policy variable, and the mitigation of endogeneity issues. We suggest improvements on ways to measure the policy itself and its intensity, review policy endogeneity adjustment and different sources of data. Finally, we conclude the review providing insights on future pathways of GaR macroprudential methodology.

Suggested Citation

  • Škrinjarić, Tihana, 2024. "Growth-at-risk for macroprudential policy stance assessment: a survey," Bank of England working papers 1075, Bank of England.
    • Handle: RePEc:boe:boeewp:1075
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    File URL: https://www.bankofengland.co.uk/-/media/boe/files/working-paper/2024/growth-at-risk-for-macroprudential-policy-stance-assessment-a-survey.pdf
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    More about this item

    Keywords

    Systemic risk; financial conditions; quantile regression; policy assessment; policy stance;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G01 - Financial Economics - - General - - - Financial Crises
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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