Leonardo N. Ferreira, Haroon Mumtaz, Ana Skoblar
arXiv 9 Oct 2025 · Econometrics
arXiv:2510.08415 · PDF · Extracted main text
This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic variables. We provide a Gibbs sampling algorithm for posterior inference and apply the model to quarterly data for the US and the UK. Empirical results show that skewness shocks have economically significant effects on output, inflation and spreads, often exceeding the impact of volatility shocks. In a pseudo-real-time forecasting exercise, the proposed model outperforms existing alternatives in many cases. Moreover, the model produces sharper measures of tail risk, revealing that standard stochastic volatility models tend to overstate uncertainty. These findings highlight the importance of incorporating time-varying skewness for capturing macro-financial risks and improving forecast performance.
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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 | R.B. Arellano-Valle, H. B. and V. Lachos (2007) Bayesian Inference for Skew-normal Linear Mixed Models | 0.644 | 3 | 2 | 67% |
| 2 | Mumtaz, H. and P. Surico (2018) Policy uncertainty and aggregate fluctuations self | 0.644 | 2 | 2 | 100% |
| 3 | Lindsten, F., M. I. Jordan, and T. B. Schön (2014) Particle Gibbs with Ancestor Sampling | 0.511 | 4 | 2 | 25% |
| 4 | Gneiting, T. and R. Ranjan (2011) Comparing Density Forecasts Using Threshold- and Quantile-Weighted Proper Scoring Rules | 0.511 | 3 | 2 | 33% |
| 5 | Andrieu, C., A. Doucet, and R. Holenstein (2010) Particle Markov chain Monte Carlo methods | 0.511 | 3 | 2 | 33% |
| 6 | Amisano, G. and R. Giacomini (2007) Comparing Density Forecasts via Weighted Likelihood Ratio Tests | 0.511 | 2 | 2 | 50% |
| 7 | Botelho, V., C. Foroni, and A. Renzetti (2024) Labour at risk | 0.511 | 2 | 1 | 100% |
| 8 | Caldara, D., H. Mumtaz, and M. Zhong (2024) Risk in a Data-Rich Model, PRELIMINARY AND INCOMPLETE | 0.405 | 1 | 1 | 100% |
| 9 | Montes-Galdón, C. and E. Ortega (2022) Skewed SVARs: tracking the structural sources of macroeconomic tail risks, Working Papers 2208, Banco de España | 0.405 | 1 | 1 | 100% |
| 10 | Iseringhausen, M (2020) The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 28 scored citations.