We study the macroeconomic consequences of financial shocks and increase in economic risk using a quantile vector … risk, but have limited impact on upside potential. The impact of financial shocks is explained away after controlling for … economic risk (measured by the interquantile range). The effects are economically relevant. Bad economic environment …

, enhancing the estimation method by taking a similarity approach, and adjusting the forecasts to put them back on track by a …

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 …

’, and the ‘Great Recession’ 2008-2009). We find that all models consistently beat naive AR benchmarks, and overall, the … countries or over some horizons. This is particularly pronounced over the Great Recession, where the dynamic factor model …

We forecast recession probabilities for the United States, Germany and Japan. The predictions are based on the widely … point in time, the ProbVAR allows to generate conditional recession probabilities for any sequence of forecast horizons. At …

the 2008/2009 recession and following recovery confirms these findings …

This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …