Which Factors Drive Downside Risk in the U.S. Economy?

EI Seminar
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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
Christian Brownlees
Date
Thursday 2 Apr 2026, 12:00 - 13:00
Type
Seminar
Room
ET-14
Location
Campus Woudestein
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(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).

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More information

Do you want to know more about the event? Contact the secretariat Econometrics at eb-secr@ese.eur.nl.

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