首页|Mixed-frequency Growth-at-Risk with the MIDAS-QR method: Evidence from China

Mixed-frequency Growth-at-Risk with the MIDAS-QR method: Evidence from China

扫码查看
原文链接
  • NETL
  • NSTL
  • Elsevier
High-frequency financial indicators provide more useful information and are efficient at forecasting low-frequency GDP. To this end, we extend the traditional Growth-at-Risk (GaR) framework for mixed frequency data. In this extension, monthly financial indicators are used to forecast quarterly GDP with the mixed data sampling-quantile regression (MIDAS-QR) method. Its ability for high-frequency monitoring of GaR is investigated using Chinese evidence. The evidence shows that our mixed-frequency GaR is promising in terms of good forecasting and nowcasting results, and can offer early warning of GDP downturns.

Growth-at-RiskMIDAS-QRSkewed t-distributionConditional density

Qifa Xu、Mengnan Xu、Cuixia Jiang、Weizhong Fu

展开 >

School of Management, Hefei University of Technology, Hefei 230009, Anhui, PR China||Key Laboratory of Process Optimization and Intelligent Decision-making, Ministry of Education, Hefei 230009, Anhui, PR China||Ministry of Education Engineering Research Center for Intelligent Decision-Making & Information System Technologies, Hefei 230009, PR China

School of Management, Hefei University of Technology, Hefei 230009, Anhui, PR China

School of Management, Hefei University of Technology, Hefei 230009, Anhui, PR China||Key Laboratory of Process Optimization and Intelligent Decision-making, Ministry of Education, Hefei 230009, Anhui, PR China

2023

10.1016/j.ecosys.2023.101131

Economic systems

Economic systems

ISSN：0939-3625
年,卷(期)：2023.47(4)
  • 36