A Heterogeneous-Quantile Global VAR for Tail-Risk Transmission

Konstantinos Konstantakis, Olivier Scaillet, Nikolas Topaloglou and Panayotis G. Michaelides
Additional contact information
Nikolas Topaloglou: Athens University of Economics and Business
Panayotis G. Michaelides: National Technical University of Athens (NTUA); Hellenic Open University

No 26-48, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We develop a Heterogeneous-Quantile Global VAR (HQGVAR) that allows each country-variable pair to enter the global system at its own quantile level. We provide a global admissibility result showing that we can assemble row-specific quantile equations into a stable reduced-form system with a valid moving-average representation and generalized impulse responses. The framework preserves the main structure of the GVAR but extends it to distributionally heterogeneous macro-financial environments. We establish large-sample theory for estimation and inference, justify moving-block bootstrap procedures, and show that the common-quantile QGVAR is a nested special case. Monte Carlo evidence demonstrates that heterogeneous-quantile modeling is valuable in the presence of heavy-tailed shocks, state-dependent spillovers, and asynchronous country-specific stress. In an application to a 13-economy macro-financial system, we do not reject system-wide equality with the median benchmark, but we detect localized, benchmark-referenced differences in financially and monetarily relevant transmission channels. Additional convergence, robustness, and forecast-validation diagnostics support the empirical implementation.

Keywords: Tail risk; global VAR; quantile regression; international spillovers (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 C32 C53 C58 G15 G17 (search for similar items in EconPapers)
Pages: 100 pages
Date: 2026-06
References: Add references at CitEc
Citations:

Downloads: (external link)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7017198 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
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:chf:rpseri:rp2648

Access Statistics for this paper

More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().