Quantifying Uncertainties in Global Growth Forecasts

Autor:	Marc Stocker, Franziska Ohnsorge, Modeste Some
Rok vydání:	2016
Předmět:	Consumption (economics) Actuarial science business.industry Distribution (economics) Fan chart (time series) Implied volatility Vector autoregression Weighting Real gross domestic product Valuation of options Econometrics Economics business health care economics and organizations
Zdroj:	Quantifying Uncertainties in Global Growth Forecasts
Popis:	This paper presents a procedure to construct an asymmetric fan chart of risks around global growth forecasts. The distribution of risks around global growth forecasts is estimated by weighting information extracted from option pricing and survey-based measures of risk factors of global growth. The weights are estimated using a vector autoregression analysis. The empirical estimates indicate that forecast uncertainty has increased since January 2016, while the balance of risks to global growth has tilted to the downside.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::2eb6cf38b8664dc05a8d146890ed16ef https://doi.org/10.1596/1813-9450-7770 Zobrazit plný text záznamu