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Modeling and forecasting macroeconomic downside risk
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De Polis, A., Delle Monache, D. and Petrella, Ivan (2023) Modeling and forecasting macroeconomic downside risk. Journal of Business and Economic Statistics . doi:10.1080/07350015.2023.2277171 ISSN 0735-0015. (In Press)
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WRAP-modeling-forecasting-macroeconomic-downside-risk-Petrella-2023.pdf - Accepted Version Embargoed item. Restricted access to Repository staff only until 31 October 2024. Contact author directly, specifying your specific needs. - Requires a PDF viewer. Download (1638Kb) |
Official URL: https://doi.org/10.1080/07350015.2023.2277171
Abstract
We model permanent and transitory changes of the predictive density of US GDP growth. A substantial increase in downside risk to US economic growth emerges over the last 30 years, associated with the long-run growth slowdown started in the early 2000s. Conditional skewness moves procyclically, implying negatively skewed predictive densities ahead and during recessions, often anticipated by deteriorating financial conditions. Conversely, positively skewed distributions characterize expansions. The modelling framework ensures robustness to tail events, allows for both dense or sparse predictor designs, and delivers competitive out-of-sample (point, density and tail) forecasts, improving upon standard benchmarks.
Item Type: | Journal Article | ||||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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Library of Congress Subject Headings (LCSH): | Business cycles -- Econometric models, Risk management -- Econometric models, Economic forecasting, Macroeconomics -- Econometric models, Global Financial Crisis, 2008-2009 | ||||||
Journal or Publication Title: | Journal of Business and Economic Statistics | ||||||
Publisher: | Americal Statistical Association | ||||||
ISSN: | 0735-0015 | ||||||
Official Date: | 31 October 2023 | ||||||
Dates: |
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DOI: | 10.1080/07350015.2023.2277171 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | In Press | ||||||
Re-use Statement: | This is an Accepted Manuscript of an article published by Taylor & Francis in Journal of Business and Economic Statistics on 31 Oct 2023, available at: https://doi.org/10.1080/07350015.2023.2277171 | ||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||
Date of first compliant deposit: | 24 October 2023 | ||||||
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