IMF Economic Review ( IF 2.489 ) Pub Date : 2023-02-10 , DOI: 10.1057/s41308-023-00199-7 Simon Lloyd , Ed Manuel , Konstantin Panchev
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.
中文翻译:
外国脆弱性、国内风险:GDP 在险的全球驱动因素
我们研究外国金融发展如何影响国内 GDP 增长的条件分布。我们提出了一种方法,在分位数回归中评估下行宏观经济风险时,使用双边风险权重来解释外国脆弱性。对于发达经济体面板,我们表明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,甚至控制国内指标。纳入外国变量可以改善对样本内和样本外国内 GDP 风险的估计。将风险国内生产总值分解为国内和国外来源,我们表明国外冲击是国内宏观经济尾部风险的关键驱动因素。