Daily Archives: Jul 3, 2020 at 05:55 am EDT

Research Review | 3 July 2020 | Business Cycle Analysis

Forecasting Macroeconomic Risk in Real Time: Great and Covid-19 Recessions
Roberto A. De Santis (European Central Bank)
July 2020
We show that financial variables contribute to the forecast of GDP growth during the Great Recession, providing additional insights on both first and higher moments of the GDP growth distribution. If a recession is due to an unforeseen shock (such as the Covid-19 recession), financial variables serve policymakers in providing timely warnings about the severity of the crisis and the macroeconomic risk involved, because downside risks increase as financial stress and corporate spreads become tighter. We use quantile regression and the skewed t-distribution and evaluate the forecasting properties of models using out-of-sample metrics with real-time vintages.
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Macro Briefing | 3 July 2020

US coronavirus cases top 55,000–a new daily record high: WaPo
COVID-19 vaccine candidates set for late-stage clinical studies in July: Reuters
Texas governor issues statewide order to wear masks: CNBC
US and allies focus on punishing China for new Hong Kong security law: NPR
CBO expects US jobless rate will remain 10%-plus through 2020: WSJ
Caixin China General Services PMI rose to 10-year high in June: MW
Eurozone Composite PMI rebounded for second month in June: IHS Markit
US factory orders rebounded in May: Reuters
Pace of US jobless claims continue to slow but remain unusually high: MW
After record loss, US payrolls continued to rebound in June: CNBC