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

Tibor Szendrei, Katalin Varga

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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 languageEnglish
Article number110990
JournalEconomics Letters
Volume223
Early online date14 Jan 2023
DOIs
Publication statusPublished - 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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