Browsing Economics and Finance by Author "marcellino, M"
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Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions
Carriero, A; clark, T; marcellino, MMany studies using quantile regressions (QRs) have found that downside risk to output growth varies more than upside risk. We show that Bayesian vector autoregressions (BVARs) with stochastic volatility are able to capture ...