Arbeitspapier

Real-time weakness of the global economy: A first assessment of the coronavirus crisis

We propose an empirical framework to measure the degree of weakness of the global economy in real-time. It relies on nonlinear factor models designed to infer recessionary episodes of heterogeneous deepness, and fitted to the largest advanced economies (U.S., Euro Area, Japan, U.K., Canada and Australia) and emerging markets (China, India, Russia, Brazil, Mexico and South Africa). Based on such inferences, we construct a Global Weakness Index that has three main features. First, it can be updated as soon as new regional data is released, as we show by measuring the economic effects of coronavirus. Second, it provides a consistent narrative of the main regional contributors of world economy's weakness. Third, it allows to perform robust risk assessments based on the probability that the level of global weakness would exceed a certain threshold of interest in every period of time.

ISBN
978-92-899-4024-5
Sprache
Englisch

Erschienen in
Series: ECB Working Paper ; No. 2381

Klassifikation
Wirtschaft
Business Fluctuations; Cycles
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
Thema
International
Business Cycles
Factor Model
Nonlinear

Ereignis
Geistige Schöpfung
(wer)
Leiva-Leon, Danilo
Pérez-Quirós, Gabriel
Rots, Eyno
Ereignis
Veröffentlichung
(wer)
European Central Bank (ECB)
(wo)
Frankfurt a. M.
(wann)
2020

DOI
doi:10.2866/24670
Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Leiva-Leon, Danilo
  • Pérez-Quirós, Gabriel
  • Rots, Eyno
  • European Central Bank (ECB)

Entstanden

  • 2020

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