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Forecasting macroeconomic risk in real time: great and Covid-19 recessions
Gespeichert in:
| Personen und Körperschaften: | , |
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| Titel: | Forecasting macroeconomic risk in real time: great and Covid-19 recessions/ Roberto A. De Santis, Wouter Van der Veken |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2020]
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| Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2436 (July 2020)
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| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | We show that financial variables contribute to the forecast of GDP growth during the Great Recession, providing additional insights on both first and higher moments of the GDP growth distribution. If a recession is due to an unforeseen shock (such as the Covid-19 recession), financial variables serve policymakers in providing timely warnings about the severity of the crisis and the macroeconomic risk involved, because downside risks increase as financial stress and corporate spreads become tighter. We use quantile regression and the skewed t-distribution and evaluate the forecasting properties of models using out-of-sample metrics with real-time vintages. |
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| Umfang: | 1 Online-Ressource (circa 53 Seiten); Illustrationen |
| ISBN: |
9789289940795
9289940794 |
| DOI: | 10.2866/019813 |