| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12579 |
| DP12579 Structural Scenario Analysis with SVARs | |
| Juan Antolin-Diaz; Ivan Petrella; Juan Francisco Rubio-Ramírez | |
| 发表日期 | 2018-01-09 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Macroeconomists seeking to construct conditional forecasts often face a choice between taking a stand on the details of a fully-specified structural model or relying on empirical correlations from vector autoregressions and remain silent about the underlying causal mechanisms. This paper develops tools for constructing ``structural scenarios'' that can be given an economic interpretation using identified structural VARs. We provide a unified and transparent treatment of conditional forecasting and structural scenario analysis and relate our approach to entropic forecast tilting. We advocate for a careful treatment of uncertainty, making the methods suitable for density forecasting and risk assessment. We also propose a metric to assess and compare the plausibility of alternative scenarios. We illustrate our methods with two applications: assessing the power of forward guidance about future interest rate policies and stress testing the reaction of bank profitability to an economic recession. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Conditional forecasts Svars Bayesian methods Forward guidance Stress testing |
| URL | https://cepr.org/publications/dp12579-1 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541390 |
| 推荐引用方式 GB/T 7714 | Juan Antolin-Diaz,Ivan Petrella,Juan Francisco Rubio-Ramírez. DP12579 Structural Scenario Analysis with SVARs. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
