Finance-Insurance
Time: 10.00 am
Date:06th of November 2025
Room 3001

Jordi LLORENS-TERRAZAS (University of SURREY) “Monitoring Joint Tail Risks: An Application to Growth and Inflation”

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. We study the effect that a tightening of financial conditions has on the joint tail risks.

Organizers:  Zakoian Jean-Michel