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Modeling the relati...
Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations
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- Kiss, Tamás, 1988- (författare)
- Örebro universitet,Handelshögskolan vid Örebro Universitet,School of Business, Örebro University, Sweden
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- Mazur, Stepan (författare)
- Örebro universitet,Linnéuniversitetet,Institutionen för nationalekonomi och statistik (NS),School of Business, Örebro University, Sweden; School of Business and Economics,Linnaeus University, Växjö, Sweden,DISA;DSM,Handelshögskolan vid Örebro Universitet,School of Business and Economics, Linnaeus University, Växjö, Sweden
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- Nguyen, Hoang, 1989- (författare)
- Örebro universitet,Handelshögskolan vid Örebro Universitet,School of Business, Örebro University, Sweden
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- Österholm, Pär, 1974- (författare)
- Örebro universitet,Handelshögskolan vid Örebro Universitet,School of Business, Örebro University, Sweden; National Institute of Economic Research, Stockholm, Sweden,Örebro University, Sweden;National Institute of Economic Research, Sweden
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(creator_code:org_t)
- 2022-09-30
- 2023
- Engelska.
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Ingår i: Journal of Forecasting. - : John Wiley & Sons. - 0277-6693 .- 1099-131X. ; 42:2, s. 347-368
- Relaterad länk:
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https://doi.org/10.1...
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https://urn.kb.se/re...
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https://doi.org/10.1...
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https://urn.kb.se/re...
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https://urn.kb.se/re...
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Abstract
Ämnesord
Stäng
- In this paper, we analyze how skewness and heavy tails affect the estimated relationship between the real economy and the corporate bond-yield spread-a popular predictor of real activity. We use quarterly US data to estimate Bayesian VAR models with stochastic volatility and various distributional assumptions regarding the innovations. In-sample, we find that-after controlling for stochastic volatility-innovations in GDP growth can be well described by a Gaussian distribution. In contrast, the yield spread appears to benefit from being modeled using non-Gaussian innovations. When it comes to real-time forecasting performance, we find that the yield spread is a relevant predictor of GDP growth at the one-quarter horizon. Having controlled for stochastic volatility, gains in terms of forecasting performance from flexibly modeling the innovations appear to be limited and are mostly found for the yield spread.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Bayesian VAR
- generalized hyperbolic skew Student's t-distribution
- stochastic volatility
- Economics
- Nationalekonomi
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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