ABSTRACT We analyse growth vulnerability in the four largest Euro Area (EA) economies, measured as a lower quantile of the growth distribution conditional on EA‐wide and country‐specific macroeconomic/financial factors. Growth densities are obtained under a normal activity scenario and under stressed conditions. We find that vulnerability is higher in Germany, more exposed to EA‐wide conditions, and in Spain, with large country‐specific dynamics. Under stress, financial factors amplify adverse macroeconomic conditions, and even severe individual shocks fail to fully explain the vulnerability observed under systemic stress. Our results underscore the importance of monitoring local and EA‐wide macro‐financial conditions to mitigate vulnerability.
Lissona et al. (Wed,) studied this question.