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the world. By tightening financial conditions globally, these shocks affect the left tail of the conditional output growth …
Persistent link: https://www.econbiz.de/10013459721
We document that expansionary monetary policy shocks are less effective at stimulating output and investment in periods of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. The lower effectiveness of monetary policy can be linked to weaker...
Persistent link: https://www.econbiz.de/10011564503
We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...
Persistent link: https://www.econbiz.de/10010493885
The linear pool is the most popular method for combining density forecasts. We analyze the linear pool's implications concerning forecast uncertainty in a new theoretical framework that focuses on the mean and variance of each density forecast to be combined. Our results show that, if the...
Persistent link: https://www.econbiz.de/10012054835
Multivariate distributional forecasts have become widespread in recent years. To assess the quality of such forecasts, suitable evaluation methods are needed. In the univariate case, calibration tests based on the probability integral transform (PIT) are routinely used. However, multivariate...
Persistent link: https://www.econbiz.de/10013472781