By John Y. Campbell
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Cecchetti answered that the central bank should care about extreme events although it was not clear that adjustment of interest rates would always be the appropriate policy response. John Y. 4 of Cecchetti’s chapter, was more relevant for policymakers than GDP at risk or price level at risk. Gross domestic product at risk is de- Measuring the Macroeconomic Risks Posed by Asset Price Booms 43 fined analogously to value at risk (VaR): that is, it specifies the loss that will be incurred over a given horizon at some chosen percentile of the distribution of outcomes.
Martin. 2006. What moves housing markets: A trend and variance decomposition of the rent-price ratio. Finance and Economics Discussion Series Paper no. 2006-29. Washington, DC: Board of Governors of the Federal Reserve System. Durham, J. 2006. What do financial asset prices say about the housing market? Finance and Economics Discussion Series Paper no. 2006-32. Washington, DC: Board of Governors of the Federal Reserve System. O. Svensson questioned whether Alan Greenspan’s “riskmanagement approach to policy” need be associated with special treatment of extreme events.
Even in these cases, it is important to distinguish instances of deep recession—that is, lasting several quarters or more—from transitory fluctuations that might reflect a brief period of political turmoil or natural disaster. For example, the two outliers for 36 Stephen G. Cecchetti Fig. 1 Positive versus negative outliers in detrended output Note: For each country, the x-axis indicates the range of values of the HP-detrended output gap over the period 1970Q1 to 2003Q4, while the y-axis indicates the relative frequency of outcomes.