Measuring Economic Downside Risk and Severity : Growth at Risk
Output collapses, and crises are a fact of life. Severe economic downturns occur periodically, and have grave consequences on the poor. The authors propose a new measurement for economic downside risk, and severity: Growth at risk. Similar to the c...
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| Format: | Policy Research Working Paper |
| Language: | English en_US |
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World Bank, Washington, DC
2014
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| Online Access: | http://documents.worldbank.org/curated/en/2001/09/1614735/measuring-economic-downside-risk-severity-growth-risk http://hdl.handle.net/10986/19554 |
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okr-10986-19554 |
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| recordtype |
oai_dc |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English en_US |
| topic |
AGGREGATE PRODUCTION FUNCTION ANNUAL GROWTH ANNUAL GROWTH RATE ANNUAL REPORT AVERAGE ANNUAL GROWTH AVERAGE GROWTH AVERAGE GROWTH RATE BENCHMARK BURNS BUSINESS CYCLE BUSINESS CYCLES CAPITAL FLOWS CAPITAL STOCK CORPORATE GOVERNANCE CORRUPTION COUNTRY REGRESSIONS COUNTRY RISK CROSS-COUNTRY ANALYSIS CUMULATIVE DISTRIBUTION CUMULATIVE DISTRIBUTION FUNCTION DEBT DEMOCRATIC RIGHTS DENSITY FUNCTION DEPRESSION DEVELOPED COUNTRIES DEVELOPING COUNTRIES DEVELOPING COUNTRY DIVISION OF LABOR ECONOMIC ACTIVITIES ECONOMIC CRISES ECONOMIC DOWNTURNS ECONOMIC EXPANSION ECONOMIC FLUCTUATIONS ECONOMIC GROWTH ECONOMIC HISTORY ECONOMIC OUTCOMES ECONOMIC POLICY EMPIRICAL EVIDENCE EMPIRICAL STUDIES EQUITY CAPITAL ESTIMATION RESULTS EXCHANGE RATE EXPECTED RETURN EXPECTED VALUE EXPLANATORY VARIABLES EXTERNAL SHOCKS EXTERNAL TRADE FATHERS FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL INSTITUTIONS FINANCIAL SECTOR FINANCIAL SYSTEMS FORECASTS FOREIGN INVESTORS GDP GDP PER CAPITA GROWTH GROWTH CYCLES GROWTH LITERATURE GROWTH PERFORMANCE GROWTH RATE GROWTH RATES GROWTH THEORY HIGH GROWTH HUMAN CAPITAL INEQUALITY INSTITUTIONAL ARRANGEMENTS INSTITUTIONAL FRAMEWORK INTEREST RATE INVESTMENT LABOR FORCE LONG-TERM GROWTH MACROECONOMIC POLICIES MACROECONOMIC POLICY MACROECONOMICS MARKET ECONOMIES MARKET IMPERFECTIONS MEAN GROWTH MONETARY POLICIES NATIONAL GOVERNANCE NORMAL DISTRIBUTION OUTPUT GROWTH OUTPUT VOLATILITY PER CAPITA GROWTH PER-CAPITA INCOME POLICY RESEARCH POLITICAL STABILITY POVERTY REDUCTION POVERTY REDUCTION STRATEGY PRODUCTION FUNCTION PRODUCTION PROCESS REAL GDP REAL WAGE RECESSION RULE OF LAW SAFETY SAFETY NETS SCHOOLS SIGNIFICANT EFFECT SIGNIFICANT IMPACT STANDARD CONTROL VARIABLES STANDARD DEVIATION SUSTAINABLE GROWTH TIME SERIES UNEMPLOYMENT UTILITY FUNCTION WEALTH WORKERS |
| spellingShingle |
AGGREGATE PRODUCTION FUNCTION ANNUAL GROWTH ANNUAL GROWTH RATE ANNUAL REPORT AVERAGE ANNUAL GROWTH AVERAGE GROWTH AVERAGE GROWTH RATE BENCHMARK BURNS BUSINESS CYCLE BUSINESS CYCLES CAPITAL FLOWS CAPITAL STOCK CORPORATE GOVERNANCE CORRUPTION COUNTRY REGRESSIONS COUNTRY RISK CROSS-COUNTRY ANALYSIS CUMULATIVE DISTRIBUTION CUMULATIVE DISTRIBUTION FUNCTION DEBT DEMOCRATIC RIGHTS DENSITY FUNCTION DEPRESSION DEVELOPED COUNTRIES DEVELOPING COUNTRIES DEVELOPING COUNTRY DIVISION OF LABOR ECONOMIC ACTIVITIES ECONOMIC CRISES ECONOMIC DOWNTURNS ECONOMIC EXPANSION ECONOMIC FLUCTUATIONS ECONOMIC GROWTH ECONOMIC HISTORY ECONOMIC OUTCOMES ECONOMIC POLICY EMPIRICAL EVIDENCE EMPIRICAL STUDIES EQUITY CAPITAL ESTIMATION RESULTS EXCHANGE RATE EXPECTED RETURN EXPECTED VALUE EXPLANATORY VARIABLES EXTERNAL SHOCKS EXTERNAL TRADE FATHERS FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL INSTITUTIONS FINANCIAL SECTOR FINANCIAL SYSTEMS FORECASTS FOREIGN INVESTORS GDP GDP PER CAPITA GROWTH GROWTH CYCLES GROWTH LITERATURE GROWTH PERFORMANCE GROWTH RATE GROWTH RATES GROWTH THEORY HIGH GROWTH HUMAN CAPITAL INEQUALITY INSTITUTIONAL ARRANGEMENTS INSTITUTIONAL FRAMEWORK INTEREST RATE INVESTMENT LABOR FORCE LONG-TERM GROWTH MACROECONOMIC POLICIES MACROECONOMIC POLICY MACROECONOMICS MARKET ECONOMIES MARKET IMPERFECTIONS MEAN GROWTH MONETARY POLICIES NATIONAL GOVERNANCE NORMAL DISTRIBUTION OUTPUT GROWTH OUTPUT VOLATILITY PER CAPITA GROWTH PER-CAPITA INCOME POLICY RESEARCH POLITICAL STABILITY POVERTY REDUCTION POVERTY REDUCTION STRATEGY PRODUCTION FUNCTION PRODUCTION PROCESS REAL GDP REAL WAGE RECESSION RULE OF LAW SAFETY SAFETY NETS SCHOOLS SIGNIFICANT EFFECT SIGNIFICANT IMPACT STANDARD CONTROL VARIABLES STANDARD DEVIATION SUSTAINABLE GROWTH TIME SERIES UNEMPLOYMENT UTILITY FUNCTION WEALTH WORKERS Wang, Yan Yao, Yudong Measuring Economic Downside Risk and Severity : Growth at Risk |
| relation |
Policy Research Working Paper;No. 2674 |
| description |
Output collapses, and crises are a fact
of life. Severe economic downturns occur periodically, and
have grave consequences on the poor. The authors propose a
new measurement for economic downside risk, and severity:
Growth at risk. Similar to the concept of Value at Risk in
finance, Growth at Risk summarizes the expected maximum
economic downturn over a target horizon at a given
confidence level. After providing a taxonomy of growth
risks, the authors construct a panel data, set on Growth at
Risk for 84 countries, over the period 1980-98. On average,
different regional groups experience very distinct Growth at
Risk patterns over time. 1) Non-OECD countries experience a
higher downturn risk, while OECD countries' downturn
risks for both big, and small recessions are the lowest
among all groups. 2) East Asia countries, which had been
growing faster, had a high Growth at Risk for big downturns,
at around six percent, and it rose dramatically at the end
of the 1990s. 3) Latin America, and Sub-Saharan Africa also
maintained high Growth at Risk for both big, and small
recessions through 1980-98. But for Latin America, Growth at
Risk for big recessions declined in the 1990s. The authors
then investigate the relationship between downside risks,
and long-term average growth in a cross-country analysis.
They find that higher perceived levels of downside growth
risk, seem to be negatively associated with long-term
growth. When a country's perceived level of downside
growth risk is relatively high, both domestic, and foreign
investors might be deterred from making long-term
investments in the country, and instead invest elsewhere.
The results suggest that prudent, and consistent pursuit of
socioeconomic, and political stability, contributes to
long-term growth, and that risk management in a broader
sense, should be a vital part of the pro-growth, and poverty
reduction strategy. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Wang, Yan Yao, Yudong |
| author_facet |
Wang, Yan Yao, Yudong |
| author_sort |
Wang, Yan |
| title |
Measuring Economic Downside Risk and Severity : Growth at Risk |
| title_short |
Measuring Economic Downside Risk and Severity : Growth at Risk |
| title_full |
Measuring Economic Downside Risk and Severity : Growth at Risk |
| title_fullStr |
Measuring Economic Downside Risk and Severity : Growth at Risk |
| title_full_unstemmed |
Measuring Economic Downside Risk and Severity : Growth at Risk |
| title_sort |
measuring economic downside risk and severity : growth at risk |
| publisher |
World Bank, Washington, DC |
| publishDate |
2014 |
| url |
http://documents.worldbank.org/curated/en/2001/09/1614735/measuring-economic-downside-risk-severity-growth-risk http://hdl.handle.net/10986/19554 |
| _version_ |
1764439985223630848 |
| spelling |
okr-10986-195542021-04-23T14:03:43Z Measuring Economic Downside Risk and Severity : Growth at Risk Wang, Yan Yao, Yudong AGGREGATE PRODUCTION FUNCTION ANNUAL GROWTH ANNUAL GROWTH RATE ANNUAL REPORT AVERAGE ANNUAL GROWTH AVERAGE GROWTH AVERAGE GROWTH RATE BENCHMARK BURNS BUSINESS CYCLE BUSINESS CYCLES CAPITAL FLOWS CAPITAL STOCK CORPORATE GOVERNANCE CORRUPTION COUNTRY REGRESSIONS COUNTRY RISK CROSS-COUNTRY ANALYSIS CUMULATIVE DISTRIBUTION CUMULATIVE DISTRIBUTION FUNCTION DEBT DEMOCRATIC RIGHTS DENSITY FUNCTION DEPRESSION DEVELOPED COUNTRIES DEVELOPING COUNTRIES DEVELOPING COUNTRY DIVISION OF LABOR ECONOMIC ACTIVITIES ECONOMIC CRISES ECONOMIC DOWNTURNS ECONOMIC EXPANSION ECONOMIC FLUCTUATIONS ECONOMIC GROWTH ECONOMIC HISTORY ECONOMIC OUTCOMES ECONOMIC POLICY EMPIRICAL EVIDENCE EMPIRICAL STUDIES EQUITY CAPITAL ESTIMATION RESULTS EXCHANGE RATE EXPECTED RETURN EXPECTED VALUE EXPLANATORY VARIABLES EXTERNAL SHOCKS EXTERNAL TRADE FATHERS FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL INSTITUTIONS FINANCIAL SECTOR FINANCIAL SYSTEMS FORECASTS FOREIGN INVESTORS GDP GDP PER CAPITA GROWTH GROWTH CYCLES GROWTH LITERATURE GROWTH PERFORMANCE GROWTH RATE GROWTH RATES GROWTH THEORY HIGH GROWTH HUMAN CAPITAL INEQUALITY INSTITUTIONAL ARRANGEMENTS INSTITUTIONAL FRAMEWORK INTEREST RATE INVESTMENT LABOR FORCE LONG-TERM GROWTH MACROECONOMIC POLICIES MACROECONOMIC POLICY MACROECONOMICS MARKET ECONOMIES MARKET IMPERFECTIONS MEAN GROWTH MONETARY POLICIES NATIONAL GOVERNANCE NORMAL DISTRIBUTION OUTPUT GROWTH OUTPUT VOLATILITY PER CAPITA GROWTH PER-CAPITA INCOME POLICY RESEARCH POLITICAL STABILITY POVERTY REDUCTION POVERTY REDUCTION STRATEGY PRODUCTION FUNCTION PRODUCTION PROCESS REAL GDP REAL WAGE RECESSION RULE OF LAW SAFETY SAFETY NETS SCHOOLS SIGNIFICANT EFFECT SIGNIFICANT IMPACT STANDARD CONTROL VARIABLES STANDARD DEVIATION SUSTAINABLE GROWTH TIME SERIES UNEMPLOYMENT UTILITY FUNCTION WEALTH WORKERS Output collapses, and crises are a fact of life. Severe economic downturns occur periodically, and have grave consequences on the poor. The authors propose a new measurement for economic downside risk, and severity: Growth at risk. Similar to the concept of Value at Risk in finance, Growth at Risk summarizes the expected maximum economic downturn over a target horizon at a given confidence level. After providing a taxonomy of growth risks, the authors construct a panel data, set on Growth at Risk for 84 countries, over the period 1980-98. On average, different regional groups experience very distinct Growth at Risk patterns over time. 1) Non-OECD countries experience a higher downturn risk, while OECD countries' downturn risks for both big, and small recessions are the lowest among all groups. 2) East Asia countries, which had been growing faster, had a high Growth at Risk for big downturns, at around six percent, and it rose dramatically at the end of the 1990s. 3) Latin America, and Sub-Saharan Africa also maintained high Growth at Risk for both big, and small recessions through 1980-98. But for Latin America, Growth at Risk for big recessions declined in the 1990s. The authors then investigate the relationship between downside risks, and long-term average growth in a cross-country analysis. They find that higher perceived levels of downside growth risk, seem to be negatively associated with long-term growth. When a country's perceived level of downside growth risk is relatively high, both domestic, and foreign investors might be deterred from making long-term investments in the country, and instead invest elsewhere. The results suggest that prudent, and consistent pursuit of socioeconomic, and political stability, contributes to long-term growth, and that risk management in a broader sense, should be a vital part of the pro-growth, and poverty reduction strategy. 2014-08-21T16:53:10Z 2014-08-21T16:53:10Z 2001-09 http://documents.worldbank.org/curated/en/2001/09/1614735/measuring-economic-downside-risk-severity-growth-risk http://hdl.handle.net/10986/19554 English en_US Policy Research Working Paper;No. 2674 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research |