Private debt predicts near-term downside risks to French growth
Private debt and market uncertainty best predict near-term downside risks to French growth, Banque de France authors find. Their October 23, 2026 blog identifies economic uncertainty and geopolitical risks as longer-term drivers.
Different horizons, different risk drivers
Valère Fourel, David Gauthier and Lisa Kerdelhué find that household and corporate debt and market uncertainty measured by the VIX best predict downside growth risks one quarter ahead.
Individually, economic uncertainty and financial conditions indices perform best over five years.
Combining indicators confirms the short-term role of market uncertainty, past activity and, to a lesser extent, debt.
Economic uncertainty and geopolitical risks dominate longer-term estimates once interactions enter the model.
A 1 percentage point increase in non-financial corporate debt relative to GDP is associated with about a 1 percentage point fall in the fifth percentile of growth one quarter ahead.
Credit constraints affect activity rapidly; uncertainty weighs more gradually on investment.
Thirty indicators probe the tail
The Growth-at-Risk approach tests around thirty variables using quantile regressions, targeting the lowest 5 percent of growth outcomes in a sample starting in 1993.
It covers the 1993 exchange-rate crisis, the 2007 financial crisis and the 2020 Covid crisis.
Penalised LASSO regressions select indicators jointly, using current values and lags up to four quarters, over one-quarter and twenty-quarter horizons.
The method complements average growth forecasts and existing stress, financial conditions and early-warning indicators.
One model, not a mandate
The authors call for risk monitoring tailored to the forecast horizon.
Private debt remains relevant to countercyclical capital buffer calibration, while longer horizons require attention to uncertainty and geopolitics.
They stress that macroprudential decisions rest on more than one statistical model.