Econometrics Seminar Series. "Which Factors Drive Downside Risk in the U.S. Economy?" (Joint Work with Carlo Pavanello and Andre B.M. Souza)
Published: 20 February 2025
07 March 2025. Professor Christian Brownlees, Universitat Pompeu Fabra
Professor Christian Brownlees, Universitat Pompeu Fabra
"Which Factors Drive Downside Risk in the U.S. Economy?" (Joint Work with Carlo Pavanello and Andre B.M. Souza)
Friday, 07 March 2025. 15:00-16:30
Room 141A, Adam Smith Business School Building
Abstract
We assess the role of common factors in the prediction of downside risk for a large panel of US macroeconomic time series obtained from the FRED-MD database. The panel exhibits pervasive cross-sectional tail dependence, with the joint occurrence of extreme events being power-law distributed. The pool of candidate factors we consider includes macroeconomic, financial, text-based and statistical factors. Results show that the downside risk is captured by one factor that can be associated with macroeconomic volatility and appears to be best captured by the macroeconomic uncertainty index of Jurado et al. (2015).
Bio
Christian Brownlees is an Associate Professor in the Department of Economics and Business at Universitat Pompeu Fabra since 2017. He earned his B.S. degree in Economics and Quantitative Methods in 2003 and his Ph.D. in Statistics in 2007 from Università di Firenze. Following his doctoral studies, he served as a Post-Doc Research Fellow at NYU Stern until 2011. His research interests include time series analysis and forecasting.
For further information, please contact business-seminar-series@glasgow.ac.uk.
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First published: 20 February 2025