RDP 2021-03: Financial Conditions and Downside Risk to Economic Activity in Australia Appendix B: Additional Growth-at-Risk Results

Luke Hartigan and Michelle Wright

March 2021

B.1 Quantile regression coefficient estimates

Figure B1: Household Consumption – Quantile Regression Coefficient Estimates
Current consumption regressed on lagged consumption and the FCI
Figure B1: Household Consumption – Quantile Regression Coefficient Estimates

Note: Dashed lines represent 95 per cent confidence intervals computed using the stationary bootstrap proposed in Politis and Romano (1994) assuming an average block length of 8 quarters and 1,000 replications

Sources: ABS; Authors' calculations

Figure B2: Unemployment Rate – Quantile Regression Coefficient Estimates
Current unemployment rate regressed on lagged unemployment rate and the FCI
Figure B2: Unemployment Rate – Quantile Regression Coefficient Estimates

Note: Dashed lines represent 95 per cent confidence intervals computed using the stationary bootstrap proposed in Politis and Romano (1994) assuming an average block length of 8 quarters and 1,000 replications

Sources: ABS; Authors' calculations

Figure B3: Employment – Quantile Regression Coefficient Estimates
Current employment regressed on lagged employment and the FCI
Figure B3: Employment – Quantile Regression Coefficient Estimates

Note: Dashed lines represent 95 per cent confidence intervals computed using the stationary bootstrap proposed in Politis and Romano (1994) assuming an average block length of 8 quarters and 1,000 replications

Sources: ABS; Authors' calculations

Figure B4: Business Investment – Quantile Regression Coefficient Estimates
Current business investment regressed on lagged business investment and the FCI
Figure B4: Business Investment – Quantile Regression Coefficient Estimates

Note: Dashed lines represent 95 per cent confidence intervals computed using the stationary bootstrap proposed in Politis and Romano (1994) assuming an average block length of 8 quarters and 1,000 replications

Sources: ABS; Authors' calculations

B.2 Fitted quantile ranges

Figure B5: Economic Activity – Fitted Quantiles
Figure B5: Economic Activity – Fitted Quantiles

Notes: ‘HFCE’ is the growth rate of real household final consumption expenditure, actual HFCE quarterly growth rate for 2020:Q2 is –12.1 per cent, actual HFCE year-ended growth rate for 2020:Q2 is –12.8 per cent; ‘UR’ is the change in the total unemployment rate; ‘NMBI’ is the growth rate of real business investment excluding mining investment

Sources: ABS; Authors' calculations; RBA

B.3 Downside and upside risk estimates

Figure B6: Economic Activity – Downside and Upside Risk
Figure B6: Economic Activity – Downside and Upside Risk

Notes: ‘HFCE’ is the growth rate of real household final consumption expenditure, actual HFCE quarterly growth rate for 2020:Q2 is –12.1 per cent, actual HFCE year-ended growth rate for 2020:Q2 is -12.8 per cent; ‘UR’ is the change in the total unemployment rate; ‘NMBI’ is the growth rate of real business investment excluding mining investment; π is set equal to 5 per cent; thicker darker-coloured line is estimated with the FCI; thinner lighter-coloured line is estimated without the FCI

Sources: ABS; Authors' calculations; RBA