## figure3-4

## Source details

**Canonical URL:** [figure3-4](https://www.imf.org/-/media/files/publications/gfsr/2017/october/chapter-3/pdf-data/figure3-4.pdf)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2017/october/chapter-3/pdf-data/figure3-4.pdf.md)
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### Overview and methodology
- Panels depict coefficient estimates on the price of risk index in pooled quantile regressions of one-quarter-ahead, four-quarters-ahead, and eight-quarters-ahead GDP growth for advanced economies (left column) and emerging market economies (right column).
- Coefficients are standardized by centering and reducing (zero mean, unit variance) both the dependent variable and the regressors to enable comparison across quantiles, across time horizons, and between advanced and emerging market economies.
- The coefficient estimate for a given quantile should be read as the impact of a one standard deviation change in the price of risk on the future quantile of GDP growth also expressed in terms of standard deviations.
- The vertical lines in the green bars denote confidence intervals at 10 percent and, where they cross the x-axis, correspond to absence of statistical significance of the regressor.

### Quantile axis labels and value scale shown in the figure
- Quantiles shown: 0.10, 0.20, 0.25, 0.40, 0.50, 0.60, 0.75, 0.80, 0.90
- Coefficient value ticks on vertical axes: –0.4, –0.3, –0.2, –0.1, 0.0, 0.1, 0.2

### Key findings from panels (captioned)
- 1. Advanced Economies: One Quarter Ahead
  - Economic significance is highest over one quarter.
- 2. Emerging Market Economies: One Quarter Ahead
  - Economic significance is present over one quarter, albeit less so in emerging market economies.
- 3. Advanced Economies: One Year Ahead
  - It remains so over one year in advanced economies.
- 4. Emerging Market Economies: One Year Ahead
  - It remains so over one year in emerging market economies.
- 5. Advanced Economies: Two Years Ahead
  - Price of risk becomes uninformative over longer horizons in advanced economies.
- 6. Emerging Market Economies: Two Years Ahead
  - In emerging market economies, higher funding costs signal lower risk over longer horizons.

### Interpretation guidance
- Negative coefficient estimates (e.g., –0.1 to –0.4 on the vertical scale) indicate that a one standard deviation increase in the price of risk is associated with lower future GDP growth quantiles (in standard deviation terms).
- Statistical significance is indicated where the 10 percent confidence-interval vertical lines do not cross the x-axis (zero effect).

*Sources: Bloomberg Finance L.P.; Haver Analytics; IMF, Global Data Source and World Economic Outlook databases; Thomson Reuters Datastream; and IMF staff estimates.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2017/october/chapter-3/pdf-data/figure3-4.pdf_