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Forecasting And Stress Testing With Quantile Vector Autoregression.pdf

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Preview of Forecasting and Stress Testing with Quantile Vector Autoregression

🔗 Source: conference.nber.org

📊 Size: 2.95 MB

👤 Author: Author

⬇️ Downloads: 38

Summary

Researchers introduce a quantile vector autoregressive model, allowing for the modeling of interactions between any quantile of endogenous variables, unlike standard VAR models that only model average interactions. The model is estimated using euro area real and financial variables, showing that dynamic properties change significantly during abnormal financial and real shocks. The model is used for multi-period ahead stress testing exercises, where the euro area economy is hit with a series of financial and real economic shocks. Results show that severe financial shocks are only transmitted to the real economy when combined with a real negative shock, and that shutting down the financial channel significantly changes the dynamics of the real economy during negative shocks. Quantile VAR provides a natural environment for stress testing exercises, forecasting the impact of arbitrary sequences of negative shocks on the system.

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Description

Researchers introduce a quantile vector autoregressive model, allowing for the modeling of interactions between any quantile of endogenous variables, unlike...

Technical Information

File Format: PDF
File Size: 2.95 MB
Pages: 27
Language: EN
Author: Author
Total Downloads: 38
Last Updated: 5 months ago

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