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econ.EM2024
Inflation Target at Risk: A Time-varying Parameter Distributional Regression
Yunyun Wang, Tatsushi Oka, Dan Zhu
Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot…
econ.EM2023
Distributional Vector Autoregression: Eliciting Macro and Financial Dependence
Yunyun Wang, Tatsushi Oka, Dan Zhu
Vector autoregression is an essential tool in empirical macroeconomics and finance for understanding the dynamic interdependencies among multivariate time series. In this study, we…