We construct risks around consensus forecasts of real GDP growth, unemployment, and inflation. We find that risks are time-varying, asymmetric, and partly predictable. Tight financial conditions forecast downside growth risk, upside unemployment risk, and increased uncertainty around the inflation forecast. Growth vulnerability arises as the conditional mean and conditional variance of GDP growth are negatively correlated: downside risks are driven by lower mean and higher variance when financial conditions tighten. Similarly, employment vulnerability arises as the conditional mean and conditional variance of unemployment are positively correlated, with tighter financial conditions corresponding to higher forecasted unemployment and higher variance around the consensus forecast.

我们围绕对实际GDP增长，失业率和通胀的共识预测来构建风险。我们发现风险是随时间变化，不对称且部分可预测的。紧缩的金融状况预测了下行增长风险，上行失业风险以及通货膨胀预测的不确定性增加。增长脆弱性的出现是由于GDP增长的条件均值和条件方差呈负相关：当金融状况趋紧时，下行风险由较低的均值和较高的方差驱动。同样，由于失业的条件均值和条件方差呈正相关，因此就业脆弱性也会出现，财务状况趋紧对应于较高的预测失业率和围绕共识预测的较高方差。