Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model*
Author:
Affiliation:
1. Federal Reserve Bank of Cleveland
2. University of Salzburg
3. University of Strathclyde
4. Bocconi University, IGIER and CEPR
5. Vienna University of Economics and Business
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07350015.2024.2310020
Reference44 articles.
1. Adrian T Boyarchenko N and Giannone D (2019) “Vulnerable growth ” American Economic Review 109 (4) 1263–89.
2. Adrian T Grinberg F Liang N Malik S and Yu J (2022) “The term structure of growth-at-risk ” American Economic Journal: Macroeconomics 14 283–323.
3. Bai Y Carriero A Clark TE and Marcellino M (2022) “Macroeconomic forecasting in a multi-country context ” Journal of Applied Econometrics 37 (6) 1230–1255.
4. Canova F and Ciccarelli M (2013) “Panel Vector Autoregressive models: A survey ” in “VAR models in macroeconomics–New developments and applications: Essays in honor of Christopher A. Sims ” volume 32 205–246 Emerald Publishing Ltd.
5. Carriero A Clark TE Marcellino M and Mertens E (in-press) “Addressing COVID-19 Outliers in BVARs with Stochastic Volatility ” Review of Economics and Statistics forthcoming .
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