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Growth at risk and macroeconomic uncertainty: Evidence from Mexico

Author

Listed:
  • Alfredo Salgado

    (Banco de México)

  • Alejandro Trujillo

    (Banco de México)

Abstract

We analyze the relationship between uncertainty and economic growth expectations in Mexico through the Growth at Risk methodology. First, we estimate a quantile regression of annual output growth conditional on lagged values of a measure of macroeconomic uncertainty and other drivers. Then, based on the fitted values of the quantile regression, we estimate the parameters of a t-skewed distribution of expected economic growth. Our results show that increased uncertainty significantly increases the probability of observing lower growth outcomes. These results hold under various measures of financial conditions, policy uncertainty, risk exposure, and economic activity.

Suggested Citation

  • Alfredo Salgado & Alejandro Trujillo, 2025. "Growth at risk and macroeconomic uncertainty: Evidence from Mexico," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 40(2), pages 1-34.
    • Handle: RePEc:emx:esteco:v:40:y:2025:i:2:p:1-34
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    File URL: https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/466
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    More about this item

    JEL classification:

    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General

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