  We extend the existing growth-at-risk (GaR) literature by examining a long
time period of 130 years in a time-varying parameter regression model. We
identify several important insights for policymakers. First, both the level as
well as the determinants of GaR vary significantly over time. Second, the
stability of upside risks to GDP growth reported in earlier research is
specific to the period known as the Great Moderation, with the distribution of
risks being more balanced before the 1970s. Third, the distribution of GDP
growth has significantly narrowed since the end of the Bretton Woods system.
Fourth, financial stress is always linked to higher downside risks, but it does
not affect upside risks. Finally, other risk indicators, such as credit growth
and house prices, not only drive downside risks, but also contribute to
increased upside risks during boom periods. In this context, the paper also
adds to the financial cycle literature by completing the picture of drivers
(and risks) for both booms and recessions over time.
