Measuring downside risk and severity for global output
This paper attempts to provide a critical measure of downside risk and severity for global output by applying the Value at Risk approach to four country groups in the world as a 'portfolio'. Global output downside risk, measured by global Growth at Risk (GaR), estimates the worst possible growth decline, relative to the baseline projection, with a specified probability over a given time horizon. This measure serves as a practical summary for predicting the risk for output downturn given a one-year time horizon, based on the past growth distribution of individual countries and correlation among their growth rates. Our empirical estimates show that the downside risk that the world economy faced in 2002 was not as severe as the last global downturn in 1992-1993. In particular, the global GaR estimates that the worst outcome of the global economy in 2002, at 95% confidence level, was a growth rate of 0.34%. Copyright © 2007 John Wiley & Sons, Ltd.
Volume (Year): 26 (2007)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966|
When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:26:y:2007:i:1:p:23-32. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.