Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229050
Authors: 
De Santis, Roberto A.
Van der Veken, Wouter
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2436
Abstract: 
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.
Subjects: 
Non-linear models
Great Recession
Covid-19 Recession
Downside risks
Real-time forecast
JEL: 
C53
E23
E27
E32
E44
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4079-5
Document Type: 
Working Paper

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