NDLI: Forecasting Macroeconomic Risks

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Forecasting Macroeconomic Risks

Content Provider	Scilit
Author	Adams, Patrick A. Adrian, Tobias Boyarchenko, Nina Giannone, Domenico
Copyright Year	2020
Description	Journal: SSRN Electronic Journal We construct risks around consensus forecasts of real GDP growth, unemployment, and inflation. We find that risks are time-varying, asymmetric, and partly predictable. Tight financial conditions forecast downside growth risk, upside unemployment risk, and increased uncertainty around the inflation forecast. Growth vulnerability arises as the conditional mean and conditional variance of GDP growth are negatively correlated: downside risks are driven by lower mean and higher variance when financial conditions tighten. Similarly, employment vulnerability arises as the conditional mean and conditional variance of unemployment are positively correlated, with tighter financial conditions corresponding to higher forecasted unemployment and higher variance around the consensus forecast.
Related Links	https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr914.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3541286
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.3541286
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2020-02-01
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Mathematical Social Sciences Macroeconomic Uncertainty Quantile Regressions Financial Conditions
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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