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Forecasting macroeconomic risks
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DOI：10.1016/j.ijforecast.2021.01.003.png)
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Abstract
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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. (C) 2021 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
Keywords:
Downside risk
Growth vulnerability
Shortfall
Quantile regressions
Density forecast
Financial conditions
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