Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/298511 
Year of Publication: 
2023
Series/Report no.: 
Working Paper No. 9/2023
Publisher: 
Norges Bank, Oslo
Abstract: 
We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a parsimonious way. We develop two algorithms for posterior inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data for the euro area, we establish the good empirical properties of the QFAVAR as a tool for assessing the e ects of global shocks on country-level macroeconomic risks. In particular, QFAVAR short-run tail forecasts are more accurate compared to a FAVAR with symmetric Gaussian errors, as well as univariate quantile autoregressions that ignore comovements among quantiles of macroeconomic variables. We also illustrate how quantile impulse response functions and quantile connectedness measures, resulting from the new model, can be used to implemennt joint risk scenario analysis.
Subjects: 
quantile VAR
MCMC
variational Bayes
dynamic factor model
JEL: 
C11
C32
E31
E32
E37
E66
Persistent Identifier of the first edition: 
ISBN: 
978-82-8379-285-0
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.