Blar i Norges Banks vitenarkiv på forfatter "Korobilis, Dimitris"
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Monitoring multicountry macroeconomic risk
Korobilis, Dimitris; Schröder, Maximilian (Working paper;9/2023, Working paper, 2023)We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence ...