Revisiting vulnerable growth in the Euro Area: Identifying the role of financial conditions in the distribution

Tibor Szendrei; Katalin Varga

doi:10.1016/j.econlet.2023.110990

Revisiting vulnerable growth in the Euro Area: Identifying the role of financial conditions in the distribution

Tibor Szendrei, Katalin Varga

School of Social Sciences

Central Bank of Hungary

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Abstract

Growth-at-Risk modelling has been a cornerstone for research and policymaking recently as a way to model tail risk in the macroeconomy. However, the majority of the research has been almost exclusively been done on US data. The aim of this paper is to utilise a variable selection framework to identify which variables are key in capturing the different parts of the GDP distribution for the Euro Area. Importantly this paper uses a methodology that can handle variable selection task in small sample settings.

Original language	English
Article number	110990
Journal	Economics Letters
Volume	223
Early online date	14 Jan 2023
DOIs	https://doi.org/10.1016/j.econlet.2023.110990
Publication status	Published - Feb 2023

Keywords

Downside risk
Growth-at-risk
LASSO
Non-crossing constraints
Quantile regression

ASJC Scopus subject areas

Finance
Economics and Econometrics

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abstract = "Growth-at-Risk modelling has been a cornerstone for research and policymaking recently as a way to model tail risk in the macroeconomy. However, the majority of the research has been almost exclusively been done on US data. The aim of this paper is to utilise a variable selection framework to identify which variables are key in capturing the different parts of the GDP distribution for the Euro Area. Importantly this paper uses a methodology that can handle variable selection task in small sample settings.",

keywords = "Downside risk, Growth-at-risk, LASSO, Non-crossing constraints, Quantile regression",

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Revisiting vulnerable growth in the Euro Area: Identifying the role of financial conditions in the distribution

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Keywords

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