全球智库信息集成服务系统(G2TT): DP15964 Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

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来源类型	Discussion paper
规范类型	论文
来源ID	DP15964
	DP15964 Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
	Massimiliano Marcellino; Todd Clark; Andrea Carriero; Elmar Mertens
发表日期	2021-03-25
出版年	2021
语种	英语
摘要	Incoming data in 2020 posed sizable challenges for the use of VARs in economic analysis: Enormous movements in a number of series have had strong effects on parameters and forecasts constructed with standard VAR methods. We propose the use of VAR models with time-varying volatility that include a treatment of the COVID extremes as outlier observations. Typical VARs with time-varying volatility assume changes in uncertainty to be highly persistent. Instead, we adopt an outlier-adjusted stochastic volatility (SV) model for VAR residuals that combines transitory and persistent changes in volatility. In addition, we consider the treatment of outliers as missing data. Evaluating forecast performance over the last few decades in quasi-real time, we find that the outlier-augmented SV scheme does at least as well as a conventional SV model, while both out-perform standard homoskedastic VARs. Point forecasts made in 2020 from heteroskedastic VARs are much less sensitive to outliers in the data, and the outlier-adjusted SV model generates more reasonable gauges of forecast uncertainty than a standard SV model. At least pre-COVID, a close alternative to the outlier-adjusted model is an SV model with t-distributed shocks. Treating outliers as missing data also generates better-behaved forecasts than the conventional SV model. However, since uncertainty about the incidence of outliers is ignored in that approach, it leads to strikingly tight predictive densities.
主题	Monetary Economics and Fluctuations
关键词	Bayesian vars stochastic volatility Outliers Pandemics forecasts
URL	https://cepr.org/publications/dp15964
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/544954
推荐引用方式 GB/T 7714	Massimiliano Marcellino,Todd Clark,Andrea Carriero,et al. DP15964 Addressing COVID-19 Outliers in BVARs with Stochastic Volatility. 2021.