Domenico Giannone, Federal Reserve Bank – New York

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april, 2019

201909apr2:40 pm4:00 pmDomenico Giannone, Federal Reserve Bank - New York"Macro-Financial Density Impulse Responses" (with Tobias Adrian, International Monetary Fund and Nina Boyarchenko, Federal Reserve Bank of New York)Series:Oskar Morgenstern Memorial Seminar

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We characterize non-linear system dynamics by estimating flexible conditional distributions which are combined via Gibbs sampling to generate joint distributions. Using the term structure of joint distributions, we construct probabilistic forecasts and density impulse responses. In an application to economic and financial conditions, we uncover a bimodal distribution in the medium term during bad times that converge to a unimodal distribution in the long run. These features would be overlooked with commonly used linear methods or Gaussian models. Out of sample tests show that the model produces reliable forecasts indicating that the non-linearities we detect are genuine and robust features of macro-financial dynamics. 



(Tuesday) 2:40 pm - 4:00 pm


217 Julis Romo Rabinowitz Building

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