Macroprudential framework: quantile var forecasting applied to the Portuguese economy

• 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
• topic: Growth; Forecasting; Quantile; Macroeconometrics; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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.