出乎意料:经济增长的压力情景

IF 2.3 3区 经济学 Q2 ECONOMICS
Gloria González-Rivera, C. Vladimir Rodríguez-Caballero, Esther Ruiz
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引用次数: 0

摘要

我们建议构建压力因素情景下的条件增长密度,以评估一个经济体在小概率但可能是灾难性的经济和/或金融情景下的风险水平,这些情景可以是国内的,也可以是国际的。选择严重但可信的压力情景是基于驱动增长的基本因素的联合概率分布,这些因素是通过多层次动态因素模型(DFM)从一系列广泛的国内/全球和/或宏观经济/金融变量中提取出来的。综上所述,我们提供了一种风险管理工具,可以全面直观地显示平均情景和极端情景下的增长密度动态。我们计算了压力增长(GiS)指标,将其定义为压力增长密度的 5%分位数,并表明当决策者希望进行多维情景分析时,GiS 是风险增长(GaR)的有用补充工具。COVID-19 大流行病带来的前所未有的经济冲击为使用所提出的方法评估美国经济增长的脆弱性提供了一个自然环境。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Expecting the unexpected: Stressed scenarios for economic growth

We propose the construction of conditional growth densities under stressed factor scenarios to assess the level of exposure of an economy to small probability but potentially catastrophic economic and/or financial scenarios, which can be either domestic or international. The choice of severe yet plausible stress scenarios is based on the joint probability distribution of the underlying factors driving growth, which are extracted with a multilevel dynamic factor model (DFM) from a wide set of domestic/worldwide and/or macroeconomic/financial variables. All together, we provide a risk management tool that allows for a complete visualization of the dynamics of the growth densities under average scenarios and extreme scenarios. We calculate growth-in-stress (GiS) measures, defined as the 5% quantile of the stressed growth densities, and show that GiS is a useful and complementary tool to growth-at-risk (GaR) when policymakers wish to carry out a multidimensional scenario analysis. The unprecedented economic shock brought by the COVID-19 pandemic provides a natural environment to assess the vulnerability of US growth with the proposed methodology.

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来源期刊
CiteScore
3.70
自引率
4.80%
发文量
63
期刊介绍: The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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