Uncertainty, Skewness, and the Business Cycle Through the MIDAS Lens
从 MIDAS 视角看不确定性、偏度与商业周期
ABSTRACT We employ a mixed‐frequency quantile regression approach to model the time‐varying conditional distribution of the US real GDP growth rate. We show that monthly information on financial conditions improves the predictive power of an otherwise quarterly‐only model. We combine selected quantiles of the estimated conditional distribution to produce novel measures of uncertainty and skewness. Embedding these measures in a VAR framework, we show that unexpected changes…