arXiv 15 Jun 2023 · Econometrics · 1 citations (OpenAlex)
arXiv:2306.09287 · PDF · DOI · OpenAlex · Extracted main text
Monitoring downside risk and upside risk to the key macroeconomic indicators is critical for effective policymaking aimed at maintaining economic stability. In this paper I propose a parametric framework for modelling and forecasting macroeconomic risk based on stochastic volatility models with Skew-Normal and Skew-t shocks featuring time varying skewness. Exploiting a mixture stochastic representation of the Skew-Normal and Skew-t random variables, in the paper I develop efficient posterior simulation samplers for Bayesian estimation of both univariate and VAR models of this type. In an application, I use the models to predict downside risk to GDP growth in the US and I show that these models represent a competitive alternative to semi-parametric approaches such as quantile regression. Finally, estimating a medium scale VAR on US data I show that time varying skewness is a relevant feature of macroeconomic and financial shocks.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Jacquier, Eric, Polson, Nicholas G, Rossi, Peter (1994) Bayesian Analysis of Stochastic Volatility Models | 1.000 | 5 | 3 | 100% |
| 2 | Adrian, Tobias, Boyarchenko, Nina, Giannone, Domenico (2019) Vulnerable Growth | 0.971 | 12 | 5 | 92% |
| 3 | Cogley, Timothy, Sargent, Thomas J (2005) Drifts and volatilities: monetary policies and outcomes in the post WWII US | 0.763 | 6 | 2 | 67% |
| 4 | Ortega, Eva (2022) Skewed SVARS: Tracking the structural sources of macroeconomic tail risks | 0.737 | 3 | 2 | 100% |
| 5 | Delle Monache, Davide, De Polis, Andrea, Petrella, Ivan (2021) Modeling and forecasting macroeconomic downside risk | 0.737 | 3 | 2 | 100% |
| 6 | Wolf, Elias (2021) Estimating growth at risk with skewed stochastic volatility models | 0.737 | 3 | 2 | 100% |
| 7 | Azzalini, Adelchi, Capitanio, Antonella (2003) Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution | 0.644 | 3 | 2 | 67% |
| 8 | Lindsten, Fredrik, Jordan, Michael I, Schon, Thomas B (2014) Particle Gibbs with ancestor sampling | 0.644 | 3 | 2 | 67% |
| 9 | Karlsson, Sune, Mazur, Stepan, Nguyen, Hoang (2023) Vector autoregression models with skewness and heavy tails | 0.644 | 2 | 2 | 100% |
| 10 | Kilian, Lutz, Manganelli, Simone (2003) The central bank as a risk manager: quantifying and forecasting inflation risks | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 36 scored citations.