Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/208364
Authors: 
Chavleishvili, Sulkhan
Manganelli, Simone
Year of Publication: 
2019
Series/Report no.: 
ECB Working Paper No. 2330
Abstract: 
We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive structural system. The model is estimated using real and financial variables. The dynamic properties of the system change across quantiles. This is relevant for stress testing exercises, whose goal is to forecast the tail behavior of the economy when hit by large financial and real shocks.
Subjects: 
Regression quantiles
Structural VAR
Growth at Risk
JEL: 
C32
C53
E17
E32
E44
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3899-0
Document Type: 
Working Paper

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