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<p>Financial stability indicators can be grouped into financial stress indicators that reflect heightened spreads and market volatility, and financial vulnerability indicators that reflect credit and asset price imbalances. Based on a panel of euro area countries, we show that both types of indicators contain information about growth-at-risk in the short-term. However, only vulnerability indicators contain information about growth-at-risk in the medium-term. Among various vulnerability indicators suggested in the literature, the Systemic Risk Indicator (SRI) proposed by Lang et al. (Anticipating the bust: a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises, 2019) outperforms in terms of in-sample explanatory power and out-of-sample predictive ability for medium-term growth-at-risk in euro area countries. Shocks to the SRI induce a rich term structure for growth-at-risk, which is different to the one induced by financial conditions.</p>

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Medium-Term Growth-at-Risk in the Euro Area

  • 期刊论文

  • 发表日期：

    2025年3月13日

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  • Jan Hannes Lang,
  • Marek Rusnák,
  • Moritz Greiwe

摘要

Financial stability indicators can be grouped into financial stress indicators that reflect heightened spreads and market volatility, and financial vulnerability indicators that reflect credit and asset price imbalances. Based on a panel of euro area countries, we show that both types of indicators contain information about growth-at-risk in the short-term. However, only vulnerability indicators contain information about growth-at-risk in the medium-term. Among various vulnerability indicators suggested in the literature, the Systemic Risk Indicator (SRI) proposed by Lang et al. (Anticipating the bust: a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises, 2019) outperforms in terms of in-sample explanatory power and out-of-sample predictive ability for medium-term growth-at-risk in euro area countries. Shocks to the SRI induce a rich term structure for growth-at-risk, which is different to the one induced by financial conditions.