Discussion paper DP17512 Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions Andrea Carriero Todd Clark Massimiliano Marcellino 28 Jul 2022 Forecasting Downside risk Asymmetries Monetary Economics and Fluctuations C53 E17 E37 F47
Discussion paper DP17461 Tail Forecasting with Multivariate Bayesian Additive Regression Trees Todd Clark Florian Huber Massimiliano Marcellino Michael Pfarrhofer 12 Jul 2022 Nonparametric var Regression trees Macroeconomic forecasting Scenario analysis Monetary Economics and Fluctuations C11 C32 C53
Discussion paper DP17225 Three Common Factors Elena Andreou Patrick Gagliardini Eric Ghysels Mirco Rubin 15 Apr 2022 Testing common factors Portfolio sorting Factor zoo Financial Economics C22 C38 C53 C55 G10 G12
Discussion paper DP17134 Local Projections in Unstable Environments: How Effective is Fiscal Policy? Atsushi Inoue Barbara Rossi Yiru Wang 24 Mar 2022 Time variation Local projections Instability Path estimator Weighted average risk Fiscal policy Fiscal multiplier monetary policy Government spending Monetary Economics and Fluctuations C22 C26 C32 C36 C53
Discussion paper DP17123 Forecasting with panel data: estimation uncertainty versus parameter heterogeneity M. Hashem Pesaran Andreas Pick Henry Allan Timmermann 19 Mar 2022 Panel data Heterogeneity Forecast evaluation Forecast combination Shrinkage Pooling Financial Economics C33 C53
Discussion paper DP17111 Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices Thomas Hasenzagl Filippo Pellegrino Lucrezia Reichlin Giovanni Ricco 15 Mar 2022 Real-time forecasting Output gap Phillips curve Semi-structural models Bayesian estimation Monetary Economics and Fluctuations C11 C32 C53 E31 E32 E52
Discussion paper DP15109 Modeling and Forecasting Macroeconomic Downside Risk Davide Delle Monache Andrea De Polis Ivan Petrella 17 Feb 2022 Business cycle Downside risk Skewness Score driven models Financial conditions Monetary Economics and Fluctuations E32 E44 C53
Discussion paper DP16994 Macroeconomic Forecasting in a Multi-country Context Yu Bai Andrea Carriero Todd Clark Massimiliano Marcellino 2 Feb 2022 Multi-country vars Macroeconomic forecasting Hierarchical shrinkage Scale mixtures of normals priors Monetary Economics and Fluctuations C11 C33 C53 C55
Discussion paper DP16760 Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic Frank Schorfheide Dongho Song 29 Nov 2021 Bayesian inference Covid-19 Macroeconomic forecasting Minnesota prior Real-time data Survey of professional forecasters Vector autoregressions Monetary Economics and Fluctuations C11 C32 C53
Discussion paper DP16667 On the Possibility of Krusell-Smith Equilibria Tobias Broer Alexandre Kohlhas Kurt Mitman Kathrin Schlafmann 24 Oct 2021 Expectations Heterogeneity Information Monetary Economics and Fluctuations C53 D83 E30
Discussion paper DP16613 Dividend Momentum and Stock Return Predictability: A Bayesian Approach Juan Francisco Rubio-RamÃrez Ivan Petrella Juan Antolin-Diaz 5 Oct 2021 Financial Economics C32 C53 E47
Discussion paper DP16553 Mitigating Climate Change: Growth-Friendly Policies to Achieve Net Zero Emissions by 2050 Florence Jaumotte Weifeng Liu Warwick Mckibbin 15 Sep 2021 Climate change Net-zero emissions Green infrastructure Macroeconomics Dsge Cge G-cubed Macroeconomics and Growth C51 C53 C54 C55 C68 F41 Q51 Q5
