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Forecasting and stress testing with quantile vector autoregression
Gespeichert in:
| Personen und Körperschaften: | , |
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| Titel: | Forecasting and stress testing with quantile vector autoregression/ Sulkhan Chavleishvili, Simone Manganelli |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2019]
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| Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2330 (November 2019)
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| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive structural system. The model is estimated using real and financial variables. The dynamic properties of the system change across quantiles. This is relevant for stress testing exercises, whose goal is to forecast the tail behavior of the economy when hit by large financial and real shocks. |
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| Umfang: | 1 Online-Ressource (circa 43 Seiten); Illustrationen |
| ISBN: |
9789289938990
9289938994 |
| DOI: | 10.2866/589324 |