中文摘要
本文发展了增长与通胀在险前沿(Growth and Inflation at Risk frontier, GIaR)的概念,它是增长在险(Growth-at-Risk, GaR)与通胀在险(Inflation-at-Risk, IaR)概念的二元推广。我们提出一种识别和估计GIaR的新方法,并给出一致有效的上、下置信带。我们首先将该程序应用于预测滞胀的条件概率。其次,我们为关注低增长与高通胀联合尾部风险的政策制定者计算最坏情形,并研究金融条件收紧对联合尾部风险的影响。
Abstract
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.