Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/241107
Authors: 
Adams, Patrick A.
Adrian, Tobias
Boyarchenko, Nina
Giannone, Domenico
Year of Publication: 
2020
Series/Report no.: 
Staff Report No. 914
Publisher: 
Federal Reserve Bank of New York, New York, NY
Abstract: 
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.
Subjects: 
macroeconomic uncertainty
quantile regressions
financial conditions
JEL: 
C22
E17
E37
Document Type: 
Working Paper

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