Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?

Bruno De Backer (), Hans Dewachter and Leonardo Iania

Finance Research Letters, 2021, vol. 43, issue C

Abstract: We use standard macrofinancial no-arbitrage term structure models to forecast key macroeconomic variables such as GDP. Simple adaptations to the models are proposed in order to generate plausible forecasts in the context of the COVID-19 crisis. The financial market variables included in the models are shown to improve GDP forecasts. Forecasts of real GDP conditioned on macrofinancial information up to August 2020 suggest that the shape of the recovery will most likely be between a U and an L in most euro area countries considered, with substantial persistent losses.

Keywords: COVID-19; Shape of the recovery; Term structure; Sovereign yields (search for similar items in EconPapers)
JEL-codes: E43 E44 E47 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped? (2021)
Working Paper: Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped? (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000593

DOI: 10.1016/j.frl.2021.101978

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