Forecasting macroeconomic risks
نویسندگان
چکیده
We construct risks around consensus forecasts of real GDP growth, unemployment, and inflation. find that are time-varying, asymmetric, partly predictable. Tight financial conditions forecast downside growth risk, upside unemployment increased uncertainty the inflation forecast. Growth vulnerability arises as conditional mean variance negatively correlated: driven by lower higher when tighten. Similarly, employment positively correlated, with tighter corresponding to forecasted
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2021
ISSN: ['1872-8200', '0169-2070']
DOI: https://doi.org/10.1016/j.ijforecast.2021.01.003