Expecting the unexpected: economic growth under stress

Gloria Gonzalez Rivera and Carlos Rodriguez Caballero
Authors registered in the RePEc Author Service: Gloria Gonzalez-Rivera

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: Large and unexpected moves in the factors underlying economic growth should be the main concern of policy makers aiming to strengthen the resilience of the economies. We propose measuring the effects of these extreme moves in the quantiles of the distribution of growth under stressed factors (GiS) and compare them with the popular Growth at Risk(GaR). In this comparison, we consider local and global macroeconomic and financial factors affecting US growth. We show that GaR underestimates the extreme and unexpected fall in growth produced by the COVID19 pandemic while GiS is much more accurate.

Keywords: Growth; Vulnerability; Multi-Level; Factor; Model; Stressed; Growth (search for similar items in EconPapers)
JEL-codes: C32 C55 E32 E44 F44 F47 O41 (search for similar items in EconPapers)
Date: 2021-03-15
New Economics Papers: this item is included in nep-fdg and nep-mac
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Working Paper: Expecting the unexpected: economic growth under stress (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:32148

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