Related papers: A Structural Approach to Growth-at-Risk
Over the last decade, nonparametric methods have gained increasing attention for modeling complex data structures due to their flexibility and minimal structural assumptions. In this paper, we study a general multivariate nonparametric…
We introduce a new identification strategy for uncertainty shocks to explain macroeconomic volatility in financial markets. The Chicago Board Options Exchange Volatility Index (VIX) measures market expectations of future volatility, but…
Case-control designs are an important tool in contrasting the effects of well-defined treatments. In this paper, we reconsider classical concepts, assumptions and principles and explore when the results of case-control studies can be…
Dynamic input-output models are standard tools for understanding inter-industry dependencies and how economies respond to shocks like disasters and pandemics. However, traditional approaches often assume fixed prices, limiting their ability…
This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with…
Can uncertainty about credit availability trigger a slowdown in real activity? This question is answered by using a novel method to identify shocks to uncertainty in access to credit. Time-variation in uncertainty about credit availability…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
Growth-at-Risk is vital for empirical macroeconomics but is often suspect to quantile crossing due to data limitations. While existing literature addresses this through post-processing of the fitted quantiles, these methods do not correct…
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical…
This paper introduces a novel concept of impulse response decomposition to disentangle the dynamic contributions of the mediator variables in the transmission of structural shocks. We justify our decomposition by drawing on causal mediation…
In recent years, multi-factor strategies have gained increasing popularity in the financial industry, as they allow investors to have a better understanding of the risk drivers underlying their portfolios. Moreover, such strategies promise…
Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot be fully captured by mean-based models. We propose a…
The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been…
It has recently become popular to define treatment effects for subsets of the target population characterized by variables not observable at the time a treatment decision is made. Characterizing and estimating such treatment effects is…
Discontinuities can be fairly arbitrary but also cause a significant impact on outcomes in larger systems. Indeed, their arbitrariness is why they have been used to infer causal relationships among variables in numerous settings. Regression…
We give methods for the construction of designs for linear models, when the purpose of the investigation is the estimation of the conditional quantile function and the estimation method is quantile regression. The designs are robust against…
A burgeoning literature in economics studies how people form beliefs about the causal structures linking economic variables, and what happens when those beliefs are mistaken. We survey this research and connect it to a rich literature in…
We introduce a semiparametric approach for forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) by modeling the conditional scale of financial returns, defined as the difference between two specified quantiles, via restricted…
External-instrument identification leads to biased responses when the shock is not invertible and the measurement error is present. We propose to use this identification strategy in a structural Dynamic Factor Model, which we call Proxy…
We present an econometric framework that adapts tools for scenario analysis, such as variants of conditional forecasts and generalized impulse responses, for use with dynamic nonparametric models. The proposed algorithms are based on…