A0820
Title: Testing Growth Vulnerabilities and Macro-Financial Linkages
Authors: Leonardo Iania - UCLouvain (Belgium) [presenting]
Francesco Furno - Amazon Web Services (United States)
Francesca Loria - Federal Reserve Board (United States)
Christian Schulz - University of Duisburg-Essen (Germany)
Domenico Giannone - Johns Hopkins University (United States)
Abstract: We assess the existence of Macro-financial linkages by testing if financial conditions help predicting macroeconomic risk. Our analysis focuses on (predictive) quantile regressions of real GDP on financial conditions, which we reassess by using new robust methods of inference for quantile regression in a time series setting.
