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Estimating Growth at Risk with Skewed Stochastic Volatility Models
Wolf, Elias - 2022
This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions … to estimate Growth at Risk as introduced in Adrian et al. (2019) seminal paper "Vulnerable Growth". In contrary to their …, I modify the Tempered Particle Filter of Herbst and Schorheide (2019) to account for stochastic volatility and …
Persistent link: https://www.econbiz.de/10013306169
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Estimating growth at risk with skewed stochastic volatility models
Wolf, Elias - 2022
This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions … to estimate Growth at Risk as introduced in Adrian, Boyarchenko, and Giannone's (2019) seminal paper "Vulnerable Growth … volatility and asymmetric measurement densities. Estimating the model based on US data yields conditional forecast densities that …
Persistent link: https://www.econbiz.de/10012819062
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Modeling euro area bond yields using a time-varying factor model
Adam, Tomáš; Lo Duca, Marco - 2017
with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing …
Persistent link: https://www.econbiz.de/10011637545
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On adjusting the one-sided Hodrick-Prescott filter
Wolf, Elias; Mokinski, Frieder; Schüler, Yves - 2020
We show that one should not use the one-sided Hodrick-Prescott filter (HP-1s) as the real-time version of the two-sided Hodrick-Prescott filter (HP-2s): First, in terms of the extracted cyclical component, HP-1s fails to remove low-frequency fluctuations to the same extent as HP-2s. Second,...
Persistent link: https://www.econbiz.de/10012180612
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On the cyclical properties of Hamilton's regression filter
Schüler, Yves S. - 2018
Hamilton (2017) criticises the Hodrick and Prescott (1981, 1997) filter (HP filter) because of three drawbacks (i. spurious cycles, ii. end-of-sample bias, iii. ad hoc assumptions regarding the smoothing parameter) and proposes a regression filter as an alternative. I demonstrate that Hamilton's...
Persistent link: https://www.econbiz.de/10011792295
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On the credit-to-GDP gap and spurious medium-term cycles
Schüler, Yves - 2020
The Basel III framework advises considering a reference indicator at the country level to guide the setting of the countercyclical capital buffer: the credit-to-GDP gap. In this paper, I provide empirical evidence suggesting that the credit-to-GDP gap is subject to spurious medium-term cycles,...
Persistent link: https://www.econbiz.de/10012216484
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On the Cyclical Properties of Hamilton’s Regression Filter
Schüler, Yves Stephan - 2020
Hamilton (2018) proposes a regression filter (Hamilton filter) as an alternative to the Hodrick-Prescott filter (HP filter). Using frequency domain analysis, among others, I show that the Hamilton filter improves on the HP filter, because it does not induce spurious cycles and it has a smaller...
Persistent link: https://www.econbiz.de/10012838908
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How Should we Filter Economic Time Series?
Schüler, Yves Stephan - 2019
Hamilton (2017) criticises the HP filter because of three drawbacks (i. spurious cycles, ii. end-of-sample bias, iii. ad hoc assumptions regarding the smoothing parameter) which, moreover, apply to other popular time series filters as well. As an alternative filter, he proposes a regression...
Persistent link: https://www.econbiz.de/10012889196
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On the Cyclical Properties of Hamilton's Regression Filter
Schüler, Yves S. - 2018
Hamilton (2017) criticises the Hodrick and Prescott (1981, 1997) filter (HP filter) because of three drawbacks (i. spurious cycles, ii. end-of-sample bias, iii. ad hoc assumptions regarding the smoothing parameter) and proposes a regression filter as an alternative. I demonstrate that Hamilton's...
Persistent link: https://www.econbiz.de/10012926973
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Detrending and Financial Cycle Facts Across G7 Countries : Mind a Spurious Medium Term!
Schüler, Yves Stephan - 2018
I show that the detrending of financial variables with the Hodrick and Prescott (1981, 1997) (HP) and band-pass filters leads to spurious cycles. I find that distortions become especially severe when considering medium-term cycles, i.e., cycles that exceed the duration of regular business...
Persistent link: https://www.econbiz.de/10012929797