Financial conditions and macroeconomic downside risks in the euro area
构建了一个时变转移概率的体制转换偏态正态模型，研究欧元区金融状况与宏观经济下行风险的关系，发现条件偏度在经济衰退前后迅速转负，但金融信息无助于提前预警尾部风险。
Motivated by empirically characterizing the relationship between financial conditions and downside macroeconomic risks in the euro area, I develop a regime-switching skew-normal model with time-varying probabilities of transitions. Using Bayesian methods, the model estimates show that a strong cyclical pattern emerges from the conditional skewness, which has a tendency to rapidly decline to negative territory prior and during recessions. However, the inclusion of financial-specific information in time-varying probabilities does not help to anticipate such skewness nor more generally to provide advance warnings of tail risks.