Skewed SVARs: Tracking the Structural Sources of Macroeconomic Tail Risks

Carlos Montes-Galdón and Eva Ortega

A chapter in Essays in Honour of Fabio Canova, 2022, vol. 44A, pp 177-210 from Emerald Group Publishing Limited

Abstract: This chapter proposes a vector autoregressive VAR model with structural shocks (SVAR) that are identified using sign restrictions, and whose distribution is subject to time varying skewness. The authors also present an efficient Bayesian algorithm to estimate the model. The model allows tracking joint asymmetric risks to macroeconomic variables included in the SVAR, and provides a structural narrative to the evolution of those risks. When faced with euro area data, our estimation suggests that there has been a significant variation in the skewness of demand, supply and monetary policy shocks. Such variation can explain a significant proportion of the joint dynamics of real GDP growth and inflation, and also generates important asymmetric tail risks in those macroeconomic variables. Finally, compared to the literature on growth- and inflation-at-risk, the authors find that financial stress indicators are not enough to explain all the macroeconomic tail risks.

Keywords: Bayesian structural vector autoregressive; skewness; GDP risks; inflation risks; C11; C32; C51; E31; E32 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... 1-90532022000044A007
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
Working Paper: Skewed SVARs: tracking the structural sources of macroeconomic tail risks (2022)
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:eme:aecozz:s0731-90532022000044a007

DOI: 10.1108/S0731-90532022000044A007

Access Statistics for this chapter

More chapters in Advances in Econometrics from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().