2508.00263
2026-03-16
econ.EM
Robust Econometrics for Growth-at-Risk
Tobias Adrian, Yuya Sasaki, Yulong Wang
详情
英文摘要
The Growth-at-Risk (GaR) framework has garnered attention in recent econometric literature, yet current approaches implicitly assume a constant Pareto exponent. We introduce novel and robust econometrics to estimate the tails of GaR based on a rigorous theoretical framework and establish validity and effectiveness. Simulations demonstrate consistent outperformance relative to existing alternatives in terms of predictive accuracy. We perform a long-term GaR analysis that provides accurate and insightful predictions, effectively capturing financial anomalies better than current methods.