Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions
Author:
Affiliation:
1. Queen Mary, University of London
2. Federal Reserve Bank of Cleveland
3. Bocconi University, IGIER and CEPR
Publisher
Federal Reserve Bank of Cleveland
Reference50 articles.
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2. 2. Adrian, Tobias, Nina Boyarchenko, and Domenico Giannone (2019b), "Multimodality in Macro-Financial Dynamics," Federal Reserve Bank of New York Staff Report 903.
3. 3. Adrian, Tobias, Federico Grinberg, Nellie Liang, and Sheheryar Malik (2018), "The Term Structure of Growth-at-Risk," IMF Working Paper WP/18/180. https://doi.org/10.5089/9781484372364.001.
4. 4. Alessandri, Piergiorgio, and Haroon Mumtaz (2017), "Financial Conditions and Density Forecasts for US Output and Inflation," Review of Economic Dynamics 24, 66-78. https://doi.org/10.1016/j.red.2017.01.003.
5. 5. Andrews, Donald W.K., and J. Christopher Monahan (1992), "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica 60, 953-966. https://doi.org/10.2307/2951574.
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