A carregar...
Publicação
Forecasting output growth tail risk using quantile regression framework
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 636.98 KB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
This thesis examines which financial indicator is the most accurate to model and predict the tail
risk of output growth in the euro area. The CISS is more informative than other indicators that
only focus on specific segment of the financial market. To capture the tail distribution
information, the thesis implements quantile regression, capturing determined quantile of the
output growth distribution. The forecast produced with the quantile regression for the 10th and
the 5th quantile outperformed the standard OLS model in terms of forecasting evaluation metrics
in predicting the 2008 output growth downfall, concluding that the quantile specification,
combined with the CISS as financial indicator, improves the modeling and forecasting accuracy
of tail risk output growth in the euro area.
Descrição
Palavras-chave
Quantile regression Growth at risk Macro-financial linkages Time series