Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions-Reference-Cited by-同舟云学术

Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions

Published:2020-09-22 Issue: Volume: Page:
ISSN:2573-7953
Container-title:Working paper (Federal Reserve Bank of Cleveland)
language:
Short-container-title:

Author:

Carriero Andrea¹,Clark Todd E.²^ORCID,Marcellino Massimiliano³

Affiliation:

1. University of London

2. Federal Reserve Bank of Cleveland

3. Bocconi University

Publisher

Federal Reserve Bank of Cleveland

Reference68 articles.

1. Aastveit, Knut Are, Andrea Carriero, Todd E. Clark, and Massimiliano Marcellino. 2017. "Have Standard VARS Remained Stable Since the Crisis?" Journal of Applied Econometrics 32 (5): 931-51. https://doi.org/10.1002/jae.2555.

2. Adams, Patrick A., Tobias Adrian, Nina Boyarchenko, and Domenico Giannone. 2020. "Forecasting Macroeconomic Risks." 914. Staff Reports. Staff Reports. Federal Reserve Bank of New York. https://ideas.repec.org/p/fip/fednsr/87480.html.

3. Adrian, Tobias, Nina Boyarchenko, and Domenico Giannone. 2019a. "Vulnerable Growth." American Economic Review 109 (4): 1263-89. https://doi.org/10.1257/aer.20161923.

4. ---. 2019b. "Multimodality in Macro-Financial Dynamics." 903. Staff Reports. Federal Reserve Bank of New York. https://ideas.repec.org/p/fip/fednsr/903.html.

5. Adrian, Tobias, Federico Grinberg, Nellie Liang, and Sheheryar Malik. 2018. "The Term Structure of Growth-at-Risk." IMF Working Papers 18 (180): 1. https://doi.org/10.5089/9781484372364.001.

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Constructing density forecasts from quantile regressions: multimodality in macro-financial dynamics;Working paper (Federal Reserve Bank of Cleveland);2023-04-11

2. Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty;Journal of Applied Econometrics;2022-12-22

3. General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields;Journal of Applied Econometrics;2022-10-05

4. Reassessing the dependence between economic growth and financial conditions since 1973;Journal of Applied Econometrics;2022-10-04

5. Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics;Working paper (Federal Reserve Bank of Cleveland);2022-05-09