A0180
Title: A high-dimensional GDP-at-risk and inflation-at-risk for the Euro area
Authors: Matteo Santi - Bank of Italy (Italy) [presenting]
Abstract: Adapted from tools originally developed in the financial risk management literature, the GDP-at-risk and the inflation-at-risk are standard measures of tail risk in modern macroeconometrics. These indicators are estimated for the Euro Area and its member states by leveraging a high-dimensional dataset in the construction of time-varying conditional distributions of GDP growth and inflation. The distributions obtained at the country level are used to assess how the synchrony of the EA countries' business cycles has evolved since the introduction of the Euro. Results indicate significant asymmetries in the balance of upside and downside risks for both GDP and inflation, and a persistently weak synchrony of the left tails of the GDP growth distributions during episodes of crisis.
