Real-Time Weakness of the Global Economy: A First Assessment of the Coronavirus Crisis

Pérez-Quirós, Gabriel, Leiva-León, Danilo and Eyno Rots
Authors registered in the RePEc Author Service: Gabriel Perez Quiros and Danilo Leiva-Leon ()

No 14484, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We propose an empirical framework to measure the degree of weakness of the global economy in real-time. It relies on nonlinear factor models designed to infer recessionary episodes of heterogeneous deepness, and fitted to the largest advanced economies (U.S., Euro Area, Japan, U.K., Canada and Australia) and emerging markets (China, India, Russia, Brazil, Mexico and South Africa). Based on such inferences, we construct a Global Weakness Index that has three main features. First, it can be updated as soon as new regional data is released, as we show by measuring the economic effects of coronavirus. Second, it provides a consistent narrative of the main regional contributors of world economy’s weakness. Third, it allows to perform robust risk assessments based on the probability that the level of global weakness would exceed a certain threshold of interest in every period of time.

Keywords: International business cycles; Factor model; Nonlinear; Coronavirus (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Date: 2020-03
New Economics Papers: this item is included in nep-cis and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
https://cepr.org/publications/DP14484 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Working Paper: Real-time weakness of the global economy: a first assessment of the coronavirus crisis (2020)
Working Paper: Real-time weakness of the global economy: a first assessment of the coronavirus crisis (2020)
Working Paper: Real-Time Weakness of the Global Economy: A First Assessment of the Coronavirus Crisis (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:14484

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP14484

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().