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Expecting the unexpected: economic growth under stress

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URI: https://hdl.handle.net/10016/32148
ISSN: 2387-0303
UXXI: DT/0000001887
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ws202102.pdf (4.85 MB)
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2021-03-15
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Abstract
Large and unexpected moves in the factors underlying economic growth should be the main concern of policy makers aiming to strengthen the resilience of the economies. We propose measuring the effects of these extreme moves in the quantiles of the distribution of growth under stressed factors (GiS) and compare them with the popular Growth at Risk(GaR). In this comparison, we consider local and global macroeconomic and financial factors affecting US growth. We show that GaR underestimates the extreme and unexpected fall in growth produced by the COVID19 pandemic while GiS is much more accurate.
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Growth Vulnerability, Multi-Level Factor Model, Stressed Growth
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DES - Working Papers. Statistics and Econometrics. WS