Event

High-Frequency Monitoring of Growth-at-Risk

The Essex Finance Centre (EFiC) warmly invite you to join guest speaker Professor Laurent Ferrara from SKEMA Business School

  • Wed 18 Nov 20

    14:00 - 16:00

  • Online

    Zoom

  • Event speaker

    Professor Laurent Ferrara, SKEMA Business School

  • Event type

    Lectures, talks and seminars
    Essex Finance Centre (EFiC) Seminar Series

  • Event organiser

    Essex Business School

  • Contact details

    Dr Nikolaos Vlastakis

This seminar, hosted by the Essex Finance Centre (EFiC), will explore high frequency monitoring of Growth-at-Risk (GaR) presented by guest speaker Professor Laurent Ferrara from SKEMA Business School.

Seminar abstract

Monitoring changes in financial conditions provides valuable information on the contribution of financial risks to future economic growth. For that purpose, central banks need real-time indicators to adjust promptly the stance of their policy.

The study extended the quarterly Growth-at-Risk (GaR) approach of Adrian et al. (2019) by accounting for the high-frequency nature of financial conditions indicators. Specifically, using Bayesian mixed data sampling (MIDAS) quantile regressions to exploit the information content of both a financial stress index and a financial conditions index leading to real-time high-frequency GaR measures for the euro area.

The daily GaR indicator provides an early signal of GDP downturns and allows day-to-day assessment of the effects of monetary policies.

During the first six months of the COVID-19 pandemic period, it has provided a timely measure of tail risk on euro area GDP.

Booking

This seminar is free to attend with no need to book in advance. We warmly welcome you to share with friends, colleagues and classmates.

Zoom login code: 917 0027 7099

Speaker bio

Laurent Ferrara is a Professor of International Economics at the SKEMA Business School since September 2019.

He was previously head of the International Macroeconomics Division at the Banque de France in Paris, in charge of the outlook and macroeconomic forecasting for the global economy, as well as global policy issues such as exchange rates, commodities or global imbalances.

His academic research mainly focuses on;

  • international economics
  • international finance
  • macroeconomic forecasting
  • non-linear econometric modelling
  • business cycle analysis

Laurent Ferrara is a member of the Board of Directors of he French Economic Association (AFSE), as well as head of the MacroFor section of the International Institute of Forecasters.

He has published extensively in leading international journals, such as;

  • Journal of Financial Stability
  • Economic Inquiry
  • International Journal of Forecasting

and many others.

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