Macroprudential framework: quantile var forecasting applied to the Portuguese economy

Detalhes bibliográficos
Autor(a) principal: Aguiar, Nuno Duarte Melo
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/142254
Resumo: This work project explores the potentialities of Quantile VAR forecasting to study the entire probabilistic distribution of the Portuguese economy, with particular focus on its left tail and associated downside risks. It resorts to Chavleish viliet al. (2019) to confirm the nonlinearities and left tail downside skewness of the portuguese growth distribution, as well as the suitability and usefulness of using this method to enlarge the macroprudential policymaking strategy portfolio. It also compares Portugal’s framework to the original model’s Euro Area’s one and suggests further extensions and paths this field can follow to strengthen Economic’s role on bringing credibility and reform and to stimulate the economy’s underlying growth potential.
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spelling Macroprudential framework: quantile var forecasting applied to the Portuguese economyGrowthForecastingQuantileMacroeconometricsDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis work project explores the potentialities of Quantile VAR forecasting to study the entire probabilistic distribution of the Portuguese economy, with particular focus on its left tail and associated downside risks. It resorts to Chavleish viliet al. (2019) to confirm the nonlinearities and left tail downside skewness of the portuguese growth distribution, as well as the suitability and usefulness of using this method to enlarge the macroprudential policymaking strategy portfolio. It also compares Portugal’s framework to the original model’s Euro Area’s one and suggests further extensions and paths this field can follow to strengthen Economic’s role on bringing credibility and reform and to stimulate the economy’s underlying growth potential.Rodrigues, Paulo M. M.RUNAguiar, Nuno Duarte Melo2022-07-21T14:28:09Z2022-01-142021-12-162022-01-14T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/142254TID:202975096enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:19:50Zoai:run.unl.pt:10362/142254Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:50:13.987212Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Macroprudential framework: quantile var forecasting applied to the Portuguese economy
title Macroprudential framework: quantile var forecasting applied to the Portuguese economy
spellingShingle Macroprudential framework: quantile var forecasting applied to the Portuguese economy
Aguiar, Nuno Duarte Melo
Growth
Forecasting
Quantile
Macroeconometrics
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Macroprudential framework: quantile var forecasting applied to the Portuguese economy
title_full Macroprudential framework: quantile var forecasting applied to the Portuguese economy
title_fullStr Macroprudential framework: quantile var forecasting applied to the Portuguese economy
title_full_unstemmed Macroprudential framework: quantile var forecasting applied to the Portuguese economy
title_sort Macroprudential framework: quantile var forecasting applied to the Portuguese economy
author Aguiar, Nuno Duarte Melo
author_facet Aguiar, Nuno Duarte Melo
author_role author
dc.contributor.none.fl_str_mv Rodrigues, Paulo M. M.
RUN
dc.contributor.author.fl_str_mv Aguiar, Nuno Duarte Melo
dc.subject.por.fl_str_mv Growth
Forecasting
Quantile
Macroeconometrics
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Growth
Forecasting
Quantile
Macroeconometrics
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This work project explores the potentialities of Quantile VAR forecasting to study the entire probabilistic distribution of the Portuguese economy, with particular focus on its left tail and associated downside risks. It resorts to Chavleish viliet al. (2019) to confirm the nonlinearities and left tail downside skewness of the portuguese growth distribution, as well as the suitability and usefulness of using this method to enlarge the macroprudential policymaking strategy portfolio. It also compares Portugal’s framework to the original model’s Euro Area’s one and suggests further extensions and paths this field can follow to strengthen Economic’s role on bringing credibility and reform and to stimulate the economy’s underlying growth potential.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-16
2022-07-21T14:28:09Z
2022-01-14
2022-01-14T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/142254
TID:202975096
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identifier_str_mv TID:202975096
dc.language.iso.fl_str_mv eng
language eng
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dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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