We study which common factors drive downside risk across a large panel of U.S. macroeconomic variables. We consider a broad set of candidate predictors, comprising both observed factors constructed from macroeconomic, financial, and text data, as well as unobserved factors associated with the panel.
- Speaker
- Date
- Thursday 2 Apr 2026, 12:00 - 13:00
- Type
- Seminar
- Room
- ET-14
- Location
- Campus Woudestein
(With Carlo Pavanello and Andre B.M. Souza)
The relevance of the factors is assessed by how much they improve out-of-sample downside risk prediction accuracy. Factors are mapped into forecasts via quantile regression and location-scale regression. Results point to a single factor associated with macroeconomic volatility, most closely proxied by the macroeconomic uncertainty index (Jurado et al., 2015).
See also
- More information
Do you want to know more about the event? Contact the secretariat Econometrics at eb-secr@ese.eur.nl.
