Machine-learning Growth at Risk

Tobias Adrian, Hongqi Chen, Max-Sebastian Dov\`i and Ji Hyung Lee

Papers from arXiv.org

Abstract: We analyse growth vulnerabilities in the US using quantile partial correlation regression, a selection-based machine-learning method that achieves model selection consistency under time series. We find that downside risk is primarily driven by financial, labour-market, and housing variables, with their importance changing over time. Decomposing downside risk into its individual components, we construct sector-specific indices that predict it, while controlling for information from other sectors, thereby isolating the downside risks emanating from each sector.

Date: 2025-05
New Economics Papers: this item is included in nep-ets, nep-fdg and nep-for
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