Christophe Barrette, Philippe Goulet Coulombe, Tim Reinicke
arXiv 7 Oct 2026 · Econometrics
arXiv:2610.10043 · PDF · Extracted main text
What should a macroeconomically relevant climate index contain? The composition is inherently ambiguous, and aggregation choices affect structural inference. We introduce the Assemblage VAR, which jointly estimates nonnegative aggregation weights and VAR parameters by maximizing the system likelihood-gain criterion, effectively outsourcing aggregation to observed macroeconomic dynamics. Two variants operate in component-space and rank-space, reweighting named subcomponents or emphasizing regions of the cross-sectional distribution. Applied to disaggregated U.S. climate data from the Actuaries Climate Index and NOAA, VARs using the assembled climate measures yield contractionary impulse responses that are substantially larger than those estimated using fixed-weight benchmarks. Weights emphasize high-wind variables and distributional tails over slow-moving components such as sea level.
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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 | Kim, H. S., C. Matthes, and T. Phan (2025) Severe weather and the macroeconomy | 0.874 | 7 | 2 | 100% |
| 2 | Goulet Coulombe, P., K. Klieber, C. Barrette, and M. Goebel (2024) Maximally forward-looking core inflation | 0.874 | 6 | 2 | 100% |
| 3 | Faccia, D., M. Parker, and L. Stracca (2021) Feeling the heat: extreme temperatures and price stability | 0.737 | 3 | 2 | 100% |
| 4 | Bryan, M. F. and S. G. Cecchetti (1994) Measuring core inflation | 0.737 | 3 | 2 | 100% |
| 5 | Mathewson, S (2022) The actuaries climate index and actuaries climate risk index: A primer | 0.644 | 2 | 2 | 100% |
| 6 | Actuaries Climate Index (2025) Actuaries climate index (aci): Home and documentation | 0.644 | 2 | 2 | 100% |
| 7 | Ciccarelli, M., F. Kuik, and C. Martínez Hernández (2024) The asymmetric effects of temperature shocks on inflation in the largest euro area countries | 0.644 | 2 | 2 | 100% |
| 8 | Bilal, A. and D. R. Känzig (2026) The macroeconomic impact of climate change: Global versus local temperature | 0.585 | 3 | 1 | 100% |
| 9 | Brüggemann, R., C. Jentsch, and C. Trenkler (2016) Inference in VARs with conditional heteroskedasticity of unknown form | 0.511 | 2 | 2 | 50% |
| 10 | Hall, P (1992) The Bootstrap and Edgeworth Expansion | 0.511 | 2 | 2 | 50% |
Showing the top 10 of 54 scored citations.