| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14436 |
| DP14436 Forecasting Macroeconomic Risks | |
| Patrick Adams; Tobias Adrian; Nina Boyarchenko; Domenico Giannone | |
| 发表日期 | 2020-02-23 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp14436 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543333 |
| 推荐引用方式 GB/T 7714 | Patrick Adams,Tobias Adrian,Nina Boyarchenko,et al. DP14436 Forecasting Macroeconomic Risks. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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