Backtesting global growth-at-risk

André Brandao de Mello Souza, Christian Brownlees

Producció científica: Article en revista indexadaArticleAvaluat per experts

28 Cites (Scopus)


We conduct an out-of-sample backtesting exercise of Growth-at-Risk (GaR) predictions for 24 OECD countries. We consider forecasts constructed from quantile regression and GARCH models. The quantile regression forecasts are based on a set of recently proposed measures of downside risks to GDP, including the national financial conditions index. The backtesting results show that quantile regression and GARCH forecasts have a similar performance. If anything, our evidence suggests that standard volatility models such as the GARCH(1,1) are more accurate.
Idioma originalAnglès
Pàgines (de-a)312-330
RevistaJournal of Monetary Economics
Estat de la publicacióPublicada - 1 de març 2021


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