Prometeia in partnership with UnipolSai speaks at the interdisciplinary conference on the Dynamics of Socio Economic Systems, presenting the paper "GDP-Network CoVaR: A Tool for Assessing Growth-at-Risk" and proposing a tool to predict risks to economic growth and international business cycles spillovers: the GDP-Network CoVaR.
The methodology to assess Growth-at-Risk is composed by two building blocks. First, the application of the network-based NETS methodology by Barigozzi and Brownlees to identify significant linkages between neighbour countries. Second, applying the CoVaR methodology by Adrian and Brunnermeier, and exploiting international statistics on trade flows and GDPs, the derivation of the entire distribution of Economic Growth Spillover exposures at the bilateral, country and global level for different quantiles of tail events on economic growth.
For further information on the event, please visit here.