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

No 1075, Bank of England working papers from 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.

Keywords: Systemic risk; financial conditions; quantile regression; policy assessment; policy stance (search for similar items in EconPapers)
JEL-codes: C22 E32 E44 E58 G01 G28 (search for similar items in EconPapers)
Pages: 62 pages
Date: 2024-08-05
New Economics Papers: this item is included in nep-cba, nep-fdg and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:1075

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