Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?
(2021) , 22 pages
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- Authors
- Abstract
- We use a standard macrofinancial no-arbitrage term structure model to forecast key macroe-conomic variables such as GDP. Simple adaptations to the model are proposed in order to generate plausible forecasts in the context of the COVID-19 crisis. The financial market variables included in the model are shown to improve GDP forecasts. The model 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.
- Affiliations
Citations
De Backer, B., Dewachter, H., & Iania, L. (2021). Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped? (LIDAM Discussion Paper LFIN 2021/02). https://hdl.handle.net/2078.5/116188