Structural scenario analysis with SVARs
Juan Antolin-Diaz,
Ivan Petrella and
Juan F Rubio-Ramirez
Journal of Monetary Economics, 2021, vol. 117, issue C, 798-815
Abstract:
Macroeconomists constructing conditional forecasts often face a choice between taking a stand on the details of a fully-specified structural model or relying on correlations from VARs and remaining silent about underlying causal mechanisms. This paper develops tools for constructing economically meaningful scenarios with structural VARs, and proposes a metric to assess and compare their plausibility. We provide a unified treatment of conditional forecasting and structural scenario analysis, relating them to entropic tilting. A careful treatment of uncertainty makes our methods suitable for density forecasting and risk assessment. Two applications illustrate our methods: assessing interest-rate forward guidance and stress-testing bank profitability.
Keywords: Conditional forecasts; SVARs; Bayesian methods; Forward guidance; Stress testing (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304393220300751
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Structural Scenario Analysis with SVARs (2018) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:117:y:2021:i:c:p:798-815
DOI: 10.1016/j.jmoneco.2020.06.001
Access Statistics for this article
Journal of Monetary Economics is currently edited by R. G. King and C. I. Plosser
More articles in Journal of Monetary Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().