-
Fast and order-invariant inference in Bayesian VARs with non-parametric shock...
The shocks which hit macroeconomic models such as Vector Autoregressions (VARs) have the potential to be non-Gaussian, exhibiting asymmetries and fat tails. This consideration... -
Expecting the unexpected: Stressed scenarios for economic growth (Replication...
We propose the construction of conditional growth densities under stressed factor scenarios to assess the level of exposure of an economy to small probability but potentially... -
Statistical identification in panel structural vector autoregressive models b...
This paper introduces a novel panel approach to structural vector autoregressive analysis. For identification, we impose independence of structural innovations at the pooled...
