Growth at Risk: Forecast Distribution of GDP Growth in Israel

Michael Gurkov () and Osnat Zohar
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Michael Gurkov: Bank of Israel

No 2022.08, Bank of Israel Working Papers from Bank of Israel

Abstract: We estimate the distribution of future GDP growth given current financial and macroeconomic conditions. The distribution is generally symmetric, indicating that upside and downside risks are balanced. Its dispersion, which captures forecast uncertainty, rises when the median forecast decreases. The model allows us to study the connection between financial variables and GDP growth. We find that accommodative financial conditions, either in the local or the global economy, contribute to downside risks to growth within three years.

Keywords: downside risks; macro-financial linkages; volatility paradox (search for similar items in EconPapers)
JEL-codes: E17 E32 E44 G1 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2022-02
New Economics Papers: this item is included in nep-fdg and nep-rmg
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Citations: View citations in EconPapers (1)

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