7 papers
Macroprudential Policy and Downside Risk: Regime-Dependent Effects of Capital Regulation
Vivien Czofa, Tibor Szendrei, Katalin Varga
This paper employs a Threshold Bayesian Vector Autoregression (TBVAR) to estimate the regime-dependent macroeconomic effects of capital regulation in Hungary. Using the Factor-base…
A Roof Over Risk: A House Price-at-Risk Framework for Hungary
Tibor Szendrei, Nikolett Vágó, Katalin Varga
This paper develops a House Price-at-Risk framework to examine how housing subsidies, credit conditions, and supply factors influence the distribution of house price growth in Hung…
Joint Quantile Shrinkage: A State-Space Approach toward Non-Crossing Bayesian Quantile Models
David Kohns, Tibor Szendrei
Crossing of fitted conditional quantiles is a prevalent problem for quantile regression models. We propose a new Bayesian modelling framework that penalises multiple quantile regre…
Fused LASSO as Non-Crossing Quantile Regression
Tibor Szendrei, Arnab Bhattacharjee, Mark E. Schaffer
Growth-at-Risk is vital for empirical macroeconomics but is often suspect to quantile crossing due to data limitations. While existing literature addresses this through post-proces…
Crossing penalised CAViaR
Tibor Szendrei
Dynamic quantiles, or Conditional Autoregressive Value at Risk (CAViaR) models, have been extensively studied at the individual level. However, efforts to estimate multiple dynamic…
Momentum Informed Inflation-at-Risk
Tibor Szendrei, Arnab Bhattacharjee
Growth-at-Risk has recently become a key measure of macroeconomic tail-risk, which has seen it be researched extensively. Surprisingly, the same cannot be said for Inflation-at-Ris…