Figure 8.
The panels are labelled A, B, C and D. Panel A is titled Quantiles: one-quarter-ahead. Several quantile lines are plotted, with values mostly between 4 and 7 before a sharp decline around 2020, reaching below minus 20, followed by recovery. Panel B is titled Quantiles: one-year-ahead. Quantile lines remain near 5 before a sharp decline around 2020, reaching below minus 15, followed by recovery. Panel C is titled Downside entropy: one-quarter-ahead. Two lines are labelled Out of Sample and In Sample. Values remain near 0 to 2 before a spike above 14 around 2020, then decline. Panel D is titled Downside entropy: one-year-ahead. Two lines are labelled Out of Sample and In Sample. Values remain near 0 before a spike above 25 around 2020, then decline. Legends identifying the lines appear within Panels C and D.Out-of-sample predictions
Note(s): This figure compares out-of-sample and in-sample predictive densities of future GDP growth for the 5th, 50th and 95th quantiles (Panels A and B). The downside entropy for the future real GDP are provided in panels C and D