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Expecting the unexpected: economic growth under stress

Gloria Gonzalez-Rivera (), Vladimir Rodriguez-Caballero () and Esther Ruiz
Additional contact information
Gloria Gonzalez-Rivera: Department of Economics, University of California Riverside
Vladimir Rodriguez-Caballero: ITAM

Authors registered in the RePEc Author Service: Carlos Vladimir Rodríguez Caballero ()

No 202106, Working Papers from University of California at Riverside, Department of Economics

Abstract: Large and unexpected moves in the factors underlying economic growth should be the principal 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 COVI19 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)
Pages: 29 Pages
Date: 2021-03
New Economics Papers: this item is included in nep-mac
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https://economics.ucr.edu/repec/ucr/wpaper/202106.pdf First version, 2021 (application/pdf)

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