کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098043 | 1478670 | 2017 | 37 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Rare shocks vs. non-linearities: What drives extreme events in the economy? Some empirical evidence
ترجمه فارسی عنوان
شوکهای نادر در مقابل خطرات غیر خطی: چه اتفاقاتی در اقتصاد رخ می دهد؟ برخی شواهد تجربی
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
چکیده انگلیسی
A small-scale vector autoregression (VAR) is used to shed some light on the roles of extreme shocks and non-linearities during stress events observed in the economy. The model focuses on the link between credit/financial markets and the real economy and is estimated on US quarterly data for the period 1984-2013. Extreme shocks are accounted for by assuming t-distributed reduced-form shocks. Non-linearity is allowed by the possibility of regime switch in the shock propagation mechanism. Strong evidence for fat tails in error distributions is found. Moreover, the results suggest that accounting for extreme shocks rather than explicit modeling of non-linearity contributes to the explanatory power of the model. Finally, it is shown that the accuracy of density forecasts improves if non-linearities and shock distributions with fat tails are considered.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 75, February 2017, Pages 136-157
Journal: Journal of Economic Dynamics and Control - Volume 75, February 2017, Pages 136-157
نویسندگان
Michal Franta,