Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?

•Forward-looking financial market variables and euro area economic activity indicators are found to help forecasting country-specific GDP.•Medium-scale macrofinancial no-arbitrage term structure models are adapted to the context of the COVID-19 crisis to generate plausible conditional forecasts.•Forecasts suggest that the shape of the recovery will most likely be between a U and an L in most euro area countries considered, with substantial persistent losses.