Evaluating Growth-at-Risk as a tool for monitoring macro-financial risks in the Peruvian economy

This paper evaluates the Growth-at-Risk methodology developed by Adrian et al. (2019) for the Peruvian economy. To do so, we first evaluate the accuracy of several techniques to estimate the density of output growth forecasts, conditional on a set of variables that characterize the current macro-financial conditions in Peru. Then, we use the model under the best conditional density estimator to evaluate the impact of the government credit-oriented program Reactiva Peru on the local macroeconomic and financial stability. Our results show that Reactiva Peru had a sizable impact in macroeconomic and financial stability, since it avoided a much deeper decrease in economy activity during the Covid-19 crisis.