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A Growth-at-Risk Model in Slovakia

Author

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  • Marian Vavra

    (National Bank of Slovakia)

Abstract

Monitoring financial conditions can provide central banks with valuable information about risks to future GDP growth and other macroeconomic variables. In this paper, we follow the recent literature on growth-at-risk and use a linear quantile regression model to exploit the information content of the financial conditions index for tail-risk forecasting of output growth in Slovakia.

Suggested Citation

  • Marian Vavra, 2024. "A Growth-at-Risk Model in Slovakia," Working and Discussion Papers WP 7/2024, Research Department, National Bank of Slovakia.
    • Handle: RePEc:svk:wpaper:1110
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    More about this item

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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