Structural scenario analysis with SVARs

• 成果类型: Article
• 署名作者: Antolin-Diaz, Juan; Petrella, Ivan; Rubio-Ramirez, Juan F.
• 署名单位: University of London; London Business School; University of Warwick; University of Warwick; Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2020.06.001
• 发表日期: 2021
• 关键词: Conditional forecasts; SVARs; Bayesian methods; Forward guidance; Stress testing

摘要

Macroeconomists constructing conditional forecasts often face a choice between taking a stand on the details of a fully-specified structural model or relying on correlations from VARs and remaining silent about underlying causal mechanisms. This paper develops tools for constructing economically meaningful scenarios with structural VARs, and proposes a metric to assess and compare their plausibility. We provide a unified treatment of conditional forecasting and structural scenario analysis, relating them to entropic tilting. A careful treatment of uncertainty makes our methods suitable for density forecasting and risk assessment. Two applications illustrate our methods: assessing interest-rate forward guidance and stress-testing bank profitability. (C) 2020 Elsevier B.V. All rights reserved.