Articlediamond2019

Growth at Risk: Concept and Application in IMF Country Surveillance

Ananthakrishnan Prasad · Selim Ali Elekdag · Phakawa Jeasakul · Romain Lafarguette · Adrian Alter · Alan Xiaochen Feng +1 more

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Global Financial Crisis and Policies Monetary Policy and Economic Impact Economic Theory and Policy

Abstract

The growth-at-risk (GaR) framework links current macrofinancial conditions to the distribution of future growth. Its main strength is its ability to assess the entire distribution of future GDP growth (in contrast to point forecasts), quantify macrofinancial risks in terms of growth, and monitor the evolution of risks to economic activity over time. By using GaR analysis, policymakers can quantify the likelihood of risk scenarios, which would serve as a basis for preemptive action. This paper offers practical guidance on how to conduct GaR analysis and draws lessons from country case studies. It also discusses an Excel-based GaR tool developed to support the IMF’s bilateral surveillance efforts.

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References

2012Credit Spreads and Business Cycle Fluctuations 1991The Term Structure as a Predictor of Real Economic Activity 1998Evaluating Density Forecasts with Applications to Financial Risk Management 2011Overborrowing and Systemic Externalities in the Business Cycle 2005Market Liquidity and Funding Liquidity 2007Comparing Density Forecasts via Weighted Likelihood Ratio Tests 2001Forecasting Output and Inflation: The Role of Asset Prices 2010Financial stress and economic contractions

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