The Time-varying Risk of Italian GDP
The Time-varying Risk of Italian GDP
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DOI：
10.2139/ssrn.3680582
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发表时间：
2020-07
期刊：
影响因子：
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通讯作者：
F. Busetti;Michele Caivano;Davide Delle Monache;Claudia Pacella
中科院分区：
文献类型：
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作者：
F. Busetti;Michele Caivano;Davide Delle Monache;Claudia Pacella
经济预测的不确定性通常与国内外的多种风险来源有关。本文研究了意大利 GDP 增长的预测分布，作为与金融和实体经济发展相关的选定风险指标的函数。条件分布通过期望回归来表征。 Expectiles 与预期缺口密切相关，这是一种众所周知的具有理想特性的风险衡量标准。这里提出了根据不同指标的贡献对预期缺口进行分解，这样可以随着时间的推移跟踪风险的主要驱动因素。我们对 GDP 预测分布的分析证实，金融状况与分布的左尾相关，但也强调了全球贸易和不确定性指标对左尾和右尾都有很强的解释力。它们的实用性也在伪实时预测环境中得到支持。总体而言，我们的研究结果表明，意大利 GDP 风险主要是由大衰退期间的外国事态发展、主权债务危机时的国内金融状况以及近年来经济政策的不确定性驱动的。
The uncertainty surrounding economic forecasts is generally related to multiple sources of risks, of domestic and foreign origin. This paper studies the predictive distribution of Italian GDP growth as a function of selected risk indicators, related to both financial and real economic developments. The conditional distribution is characterized by means of expectile regressions. Expectiles are closely related to the Expected Shortfall, a well-known measure of risk with desirable properties. Here a decomposition of Expected Shortfall in terms of contributions of different indicators is proposed, which allows to track over time the main drivers of risk. Our analysis of the predictive distribution of GDP confirms that financial conditions are relevant for the left tail of the distribution but it also highlights that indicators of global trade and uncertainty have strong explanatory power for both left and right tail. Their usefulness is supported also in a pseudo real-time predictive context. Overall, our findings suggest that Italian GDP risks have been mostly driven by foreign developments around the Great Recession, by domestic financial conditions at the time of the Sovereign Debt Crisis and by economic policy uncertainty in more recent years.