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Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?()
We use standard macrofinancial no-arbitrage term structure models to forecast key macroeconomic variables such as GDP. Simple adaptations to the models are proposed in order to generate plausible forecasts in the context of the COVID-19 crisis. The financial market variables included in the models a...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Elsevier Inc.
2021
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9760224/ https://www.ncbi.nlm.nih.gov/pubmed/36568950 http://dx.doi.org/10.1016/j.frl.2021.101978 |
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author | De Backer, Bruno Dewachter, Hans Iania, Leonardo |
author_facet | De Backer, Bruno Dewachter, Hans Iania, Leonardo |
author_sort | De Backer, Bruno |
collection | PubMed |
description | We use standard macrofinancial no-arbitrage term structure models to forecast key macroeconomic variables such as GDP. Simple adaptations to the models are proposed in order to generate plausible forecasts in the context of the COVID-19 crisis. The financial market variables included in the models are shown to improve GDP forecasts. Forecasts of real GDP conditioned on macrofinancial information up to August 2020 suggest that the shape of the recovery will most likely be between a U and an L in most euro area countries considered, with substantial persistent losses. |
format | Online Article Text |
id | pubmed-9760224 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2021 |
publisher | Elsevier Inc. |
record_format | MEDLINE/PubMed |
spelling | pubmed-97602242022-12-19 Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?() De Backer, Bruno Dewachter, Hans Iania, Leonardo Financ Res Lett Article We use standard macrofinancial no-arbitrage term structure models to forecast key macroeconomic variables such as GDP. Simple adaptations to the models are proposed in order to generate plausible forecasts in the context of the COVID-19 crisis. The financial market variables included in the models are shown to improve GDP forecasts. Forecasts of real GDP conditioned on macrofinancial information up to August 2020 suggest that the shape of the recovery will most likely be between a U and an L in most euro area countries considered, with substantial persistent losses. Elsevier Inc. 2021-11 2021-02-16 /pmc/articles/PMC9760224/ /pubmed/36568950 http://dx.doi.org/10.1016/j.frl.2021.101978 Text en © 2021 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active. |
spellingShingle | Article De Backer, Bruno Dewachter, Hans Iania, Leonardo Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?() |
title | Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?() |
title_full | Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?() |
title_fullStr | Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?() |
title_full_unstemmed | Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?() |
title_short | Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?() |
title_sort | macrofinancial information on the post-covid-19 economic recovery: will it be v, u or l-shaped?() |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9760224/ https://www.ncbi.nlm.nih.gov/pubmed/36568950 http://dx.doi.org/10.1016/j.frl.2021.101978 |
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