Macroeconomic and Financial Risks: A Tale of Mean and Volatility

Autor:	Chiara Scotti, Molin Zhong, Dario Caldara
Rok vydání:	2021
Předmět:	Multivariate statistics Shock (economics) Stochastic volatility Financial risk Business cycle Econometrics Economics Tail risk Conditional probability distribution Volatility (finance)
Zdroj:	International Finance Discussion Paper. 2021:1-56
ISSN:	2767-4509 1073-2500
DOI:	10.17016/ifdp.2021.1326
Popis:	We study the joint conditional distribution of GDP growth and corporate credit spreads using a stochastic volatility VAR. Our estimates display significant cyclical co-movement in uncertainty (the volatility implied by the conditional distributions), and risk (the probability of tail events) between the two variables. We also find that the interaction between two shocks--a main business cycle shock as in Angeletos et al. (2020) and a main financial shock--is crucial to account for the variation in uncertainty and risk, especially around crises. Our results highlight the importance of using multivariate nonlinear models to understand the determinants of uncertainty and risk.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::516f43f0d10f5027d4597e1e894874c6 https://doi.org/10.17016/ifdp.2021.1326 Zobrazit plný text záznamu