When Is Growth at Risk?
评估金融指标对GDP增长分布的预测能力，发现除条件均值外，其他分布特征（如尾部风险）难以准确预测，金融变量贡献有限。
This paper empirically evaluates the potentially nonlinear nexus between financial indicators and the distribution of future GDP growth, \nusing a rich set of macroeconomic and financial variables covering thirteen advanced economies. We evaluate the out-of-sample forecast performance of financial variables for GDP growth, including a fully real-time exercise based on a flexible nonparametric model. We also use a parametric model to estimate the moments of the time-varying distribution of GDP and evaluate their in-sample estimation uncertainty. Our overall conclusion is pessimistic: moments other than the conditional mean are poorly estimated, and no predictors we consider provide robust and precise advance warnings of tail risks or indeed about any features of the GDP growth distribution other than the mean. In particular, financial variables contribute little to such distributional forecasts, beyond the information contained in real indicators.