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

EI Seminar
American flag on a flagpole

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
Add to calendar

(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

Outrigger Local Polynomial Regression

Richard Samworth (University of Cambridge)
Campus Woudestein met het oog op het fontein

Partial Integration of Timetabling and Crew Scheduling

Milan van Puffelen (Erasmus School of Economics)
Train passing by

Semiparametric Forecast Comparison in Unstable Environments

Laura Coroneo (University of York)
Image - Bank of England

Smallest Integer Linear Programming Formulations

Maurice de Kort (Erasmus School of Economics)
Image - Mathematics - 2018

Smallest Integer Linear Programming Formulations

Milan van Puffelen (Erasmus School of Economics)
Train passing by

Realised Autoregressive Conditional Betas

Sebastien Laurent (Aix-Marseille University)
E Building

EGEO Workshop on Energy Optimization 2026

On Tuesday 1 December, the Econometrics Group of Energy Optimization (EGEO) organizes a workshop on energy optimization.
Aerial view of Erasmus Building with the walk way saying 'Creating positive societal impact the Erasmian way''

Optimising Vessel Arrival Windows With Non-cooperative Vessels and Stochastic Arrivals

Pim van Leeuwen (Erasmus School of Economics)
Image - Container Ship

8th Erasmus Corporate Governance Conference

A one-day workshop bringing together scholars of Executive Compensation and other fields of Corporate Governance to discuss the latest developments in the field
Outside view of Hotel New York
More information

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

Compare 0 study programme