Systemic risk measures and distribution forecasting of macroeconomic shocks

Guojin Chen, Yanzhen Liu and Yu Zhang

International Review of Economics & Finance, 2021, vol. 75, issue C, 178-196

Abstract: In this paper, we study the role of systemic risk in predictions of macroeconomic shocks in four major countries, namely the United States, Japan, South Korea, and China. We propose a three-step procedure to depict the entire distributions of macroeconomic shocks. Individual systemic risk measures significantly improve the out-of-sample predictions, but the prediction power of them varies with countries. Meanwhile, the combination of individual forecasts can provide solid and prominent predictions across quantiles and countries. Recessions are associated with left-skewed distributions conditional on systemic risk, while the conditional distributions are closer to being symmetric in tranquil times.

Keywords: Systemic risk; Economic growth; Forecast; Quantile regression (search for similar items in EconPapers)
JEL-codes: C58 E37 G10 G20 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:75:y:2021:i:c:p:178-196

DOI: 10.1016/j.iref.2021.04.019

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