.png){kind=icon}
.png){kind=icon}
Return
Monitoring joint tail risks: An application to growth and inflation
.png){kind=icon}
PRE
AI
V
J
DOI：10.1016/j.jeconom.2026.106237.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
This paper develops the concept of Growth and Inflation at Risk frontier (GIaR). This is a bivariate generalisation of the concepts of Growth-at-Risk (GaR) and Inflation-at-Risk (IaR). We propose a novel approach to identify and estimate GIaR and provide uniformly valid upper and lower confidence bands. We first apply our procedure to predict the conditional probability of stagflation. Second, we compute worst-case scenarios for a policy maker who is concerned about the joint tail risk of low growth and high inflation, and we also study the effect that a tightening of financial conditions has on the joint tail risks.
Keywords:
GIaR
Iso-Curve
Joint exceedance
Location-Scale
Stagflation
Worst-case scenario
Journal
IF:
4
Papers:
5.2K
Citations:
3.0W
Organization
Cited Papers