Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/246177 
Year of Publication: 
2021
Series/Report no.: 
ECB Working Paper No. 2600
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
This paper develops a Bayesian quantile regression model with time-varying parameters (TVPs) for forecasting in ation risks. The proposed parametric methodology bridges the empirically established benefits of TVP regressions for forecasting in ation with the ability of quantile regression to model exibly the whole distribution of in ation. In order to make our approach accessible and empirically relevant for forecasting, we derive an efficient Gibbs sampler by transforming the state-space form of the TVP quantile regression into an equivalent high-dimensional regression form. An application of this methodology points to a good forecasting performance of quantile regressions with TVPs augmented with specific credit and money-based indicators for the prediction of the conditional distribution of in ation in the euro area, both in the short and longer run, and specifically for tail risks.
Subjects: 
Quantile regression
MCMC
time-varying parameters
Bayesianshrinkage
Horseshoe
euro area
ination tail risks
JEL: 
C11
C22
C52
C53
C55
E31
E37
E51
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4853-1
Document Type: 
Working Paper

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