| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15109 |
| DP15109 Modeling and Forecasting Macroeconomic Downside Risk | |
| Davide Delle Monache; Andrea De Polis; Ivan Petrella | |
| 发表日期 | 2020-07-30 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We investigate the relation between downside risk to the economy and the financial markets within a fully parametric model. We characterize the complete predictive distribution of GDP growth employing a Skew-t distribution with time-varying location, scale, and shape, for which we model both secular trends and cyclical changes. Episodes of downside risk are characterized by increasing negative asymmetry, which emerges as a clear feature of the data. Negatively skewed predictive distributions arise ahead and during recessions, and tend to be anticipated by tightening of financial conditions. Indicators of excess leverage and household credit outstanding are found to be significant drivers of downside risk. Moreover, the Great Recession marks a significant shift in the unconditional distribution of GDP growth, which has featured a distinct negative skewness since then. The model delivers competitive out-of-sample (point and density) forecasts, improving upon standard benchmarks, especially due to financial conditions providing a strong signal of increasing downside risk. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Business cycle Financial conditions Downside risk Skewness Score driven models |
| URL | https://cepr.org/publications/dp15109-0 |
| 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/544068 |
| 推荐引用方式 GB/T 7714 | Davide Delle Monache,Andrea De Polis,Ivan Petrella. DP15109 Modeling and Forecasting Macroeconomic Downside Risk. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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