We analyze output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multi …-level quantile regression approach, we find strong heterogeneity in growth risk, particularly between the more vulnerable durable …

We assess the predictive ability of 15 economic uncertainty measures in a real-time out-of-sample forecasting exercise … power for quantiles in the left tail. Because uncertainty measures are all proxies of an unobserved entity, we combine their … information using principal component analysis. A large fraction of the variance of the uncertainty measures can be explained by …

country selection is incorporated into the strategies, but the risk of thestrategies increases proportionally. Second, we test …. We find no evidence of higher market risk or lower liquidity ofthe strategies. Instead, based on the developments of …