The Term Structure of Growth-at-Risk
研究了11个发达经济体中金融状况对预测GDP增长条件分布的影响，发现金融状况对增长下尾风险（增长风险）的影响大于中位数，且宽松金融条件在短期降低风险但中期增加风险，这种跨期权衡在信贷快速增长时更显著。
We show that the conditional distribution of forecasted GDP growth depends on financial conditions in a panel of 11 advanced economies. Financial conditions have a larger effect on the lower fifth percentile of conditional growth—which we call growth-at-risk (GaR)—than the median. In addition, the term structure of GaR reflects that when initial financial conditions are loose, downside risks are lower in the near term but increase in later quarters. This intertemporal tradeoff for loose financial conditions is amplified when credit-to-GDP growth is rapid. Using granular instrumental variables, we also provide evidence that the relationship from loose financial conditions to future downside risks is causal. Our results suggest that models of macrofinancial linkages should incorporate the endogeneity of higher-order moments to systematically account for downside risks to growth in the medium run.