Real-time weakness of the global economy: a first assessment of the coronavirus crisis

Gabriel Perez-Quiros, Eyno Rots and Danilo Leiva-Leon ()
Authors registered in the RePEc Author Service: Gabriel Perez Quiros

No 2381, Working Paper Series from European Central Bank

Abstract: We propose an empirical framework to measure the degree of weakness of the global economy in real-time. It relies on nonlinear factor models designed to infer recessionary episodes of heterogeneous deepness, and fitted to the largest advanced economies (U.S., Euro Area, Japan, U.K., Canada and Australia) and emerging markets (China, India, Russia, Brazil, Mexico and South Africa). Based on such inferences, we construct a Global Weakness Index that has three main features. First, it can be updated as soon as new regional data is released, as we show by measuring the economic effects of coronavirus. Second, it provides a consistent narrative of the main regional contributors of world economy's weakness. Third, it allows to perform robust risk assessments based on the probability that the level of global weakness would exceed a certain threshold of interest in every period of time. JEL Classification: E32, C22, E27

Keywords: business cycles; factor model; international; nonlinear (search for similar items in EconPapers)
Date: 2020-03
New Economics Papers: this item is included in nep-cis, nep-hea, nep-ifn, nep-mac and nep-rmg
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Citations: View citations in EconPapers (19)

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Related works:
Working Paper: Real-time weakness of the global economy: a first assessment of the coronavirus crisis (2020)
Working Paper: Real-Time Weakness of the Global Economy: A First Assessment of the Coronavirus Crisis (2020)
Working Paper: Real-Time Weakness of the Global Economy: A First Assessment of the Coronavirus Crisis (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20202381

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