Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk

IF 3.3 2区经济学 Q1 BUSINESS, FINANCE

Imf Economic Review Pub Date : 2023-02-10 DOI:10.1057/s41308-023-00199-7

Simon Lloyd, Ed Manuel, Konstantin Panchev

引用次数: 0

Abstract

We study how foreign financial developments influence the conditional distribution of domestic GDP growth. We propose a method to account for foreign vulnerabilities using bilateral-exposure weights when assessing downside macroeconomic risks within quantile regressions. For an advanced-economy panel, we show that tighter foreign financial conditions and faster foreign credit-to-GDP growth are associated with a more severe left-tail of domestic GDP growth, even controlling for domestic indicators. Incorporating foreign variables improves estimates of domestic GDP-at-Risk, both in and out of sample. Decomposing GDP-at-Risk into domestic and foreign origins, we show that foreign shocks are a key driver of domestic macroeconomic tail risks.

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国外脆弱性，国内风险:风险gdp的全球驱动因素

我们研究国外金融发展如何影响国内GDP增长的条件分配。我们提出了一种在分位数回归中评估下行宏观经济风险时使用双边暴露权重来解释外国脆弱性的方法。对于一个发达经济体的面板，我们表明，即使控制了国内指标，更严格的外国金融条件和更快的外国信贷占GDP的增长与更严重的国内GDP增长左尾相关。纳入国外变量可以改善对国内风险gdp的估计，无论是在样本内还是样本外。将风险gdp分解为国内和国外来源，我们发现国外冲击是国内宏观经济尾部风险的关键驱动因素。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Imf Economic Review Multiple-

CiteScore

5.50

自引率

4.70%

发文量

期刊介绍： The IMF Economic Review is the official research journal of the International Monetary Fund (IMF). It is dedicated to publishing peer-reviewed, high-quality, context-related academic research on open-economy macroeconomics. It emphasizes rigorous analysis with an empirical orientation that is of interest to a broad audience, including academics and policymakers. Studies that borrow from, and interact with, other fields such as finance, international trade, political economy, labor, economic history or development are also welcome. The views presented in published papers are those of the authors and should not be attributed to, or reported as, reflecting the position of the IMF, its Executive Board, or any other organization mentioned herein. Comments “The IMF Economic Review has been uniquely successful in publishing papers that rigorously analyze real international macroeconomic problems and in a manner that has immediate policy relevance. This success is owed to a great extent to the high quality of the editorial board, which is able to identify papers that are both relevant for policy and are executed using state-of-the-art tools so as to make the analysis compelling.” - Gita Gopinath, Economic Counsellor and Director of Research, IMF “IMF Economic Review is devoted to state-of-the-art research on the global economy. Given the Fund''s unique position on the front lines of surveillance and crisis management, anyone interested in international economic policy or in macroeconomics more generally will find this journal to be essential reading.” - Maurice Obstfeld, Professor of Economics at University of California, Berkeley; and former Economic Counsellor and Director of Research, IMF “There is great need for a rigorous academic publication that addresses the key global macro questions of our times. This is what the IMF Economic Review aims to be.” - Pierre-Olivier Gourinchas, Professor of Economics at University of California, Berkeley; and former Editor of the IMF Economic Review “To navigate the global crisis, and to take the best policy decisions, will require mobilizing and extending the knowledge we have about open economy macro, from the implications of liquidity traps, to the dangers of large fiscal deficits, to macro-financial interactions, to the contours of a better international monetary and financial system. My hope and my expectation is that the IMF Economic Review will be central to the effort.” - Olivier J. Blanchard, Peterson Institute for International Economics; former Economic Counsellor and Director of Research Department, IMF