Macroprudential policy yields important benefits in terms of preventing and mitigating systemic risk, but it can also have an impact on economic growth, particularly on the left tail of the growth distribution. In this context, policymakers need to consider the effects of macroprudential policies on the entire growth distribution, and not only on average growth. The growth-at-risk (GaR) approach represents a useful framework for such an assessment. This paper describes the use of the GaR method and illustrates its implementation for assessing the impact of macroprudential policy on GaR in Indonesia. As a first step, I select 26 macrofinancial variables that are relevant for the Indonesian economy and build three partitions that capture financial conditions, macrofinancial vulnerabilities and other relevant factors. Results from quantile regressions have important policy implications, suggesting that an early tightening of macroprudential policy would reduce downside risks to Indonesia’s gross domestic product (GDP) growth by increasing the resilience of the financial system. Results further show that a materialization of risk, stemming from either a loosening of financial conditions, an increase of macrofinancial vulnerabilities or a deterioration of the macroeconomic environment have important effects on Indonesia’s GDP growth distribution and particularly on the left tail of the distribution, which represents the GaR. Under each of these scenarios, a tightening or loosening of the macroprudential stance, depending on the underlying vulnerabilities, yields high benefits in terms of improving Indonesia’s GaR, which range from 0.06 and 0.14 percentage points.

宏观审慎政策在防范和化解系统性风险方面具有重要效益，但它也会对经济增长产生影响，特别是对增长分布的左尾部分。在此背景下，政策制定者需要考虑宏观审慎政策对整个增长分布的影响，而不仅仅是对平均增长的影响。风险增长 (GaR) 方法为此类评估提供了一个有用的框架。本文介绍了 GaR 方法的使用，并说明了其在评估印度尼西亚宏观审慎政策对 GaR 影响时的实施情况。第一步，我选择了与印度尼西亚经济相关的 26 个宏观金融变量，并构建了三个分区来捕获金融状况、宏观金融脆弱性和其他相关因素。分位数回归的结果具有重要的政策含义，表明早期收紧宏观审慎政策将通过提高金融体系的弹性来降低印度尼西亚国内生产总值（GDP）增长的下行风险。结果进一步表明，由于金融条件宽松、宏观金融脆弱性增加或宏观经济环境恶化而导致的风险的具体化，对印度尼西亚 GDP 增长分布，特别是分布的左尾部产生重要影响，即加尔。在每种情况下，根据潜在的脆弱性收紧或放松宏观审慎立场都会对改善印度尼西亚的 GaR 产生很大的好处，其范围为 0.06 至 0.14 个百分点。