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The Macroeconomics-at-Risk (MaR) approach is based on a two-step semi-parametric estimation procedure that allows to forecast the full conditional distribution of an economic variable at a given horizon, as a function of a set of factors. These density forecasts are then be used to produce coherent forecasts for any downside risk measure, e.g., value-at-risk, expected shortfall, downside entropy. Initially introduced by Adrian et al. (2019) <doi:10.1257/aer.20161923> to reveal the vulnerability of economic growth to financial conditions, the MaR approach is currently extensively used by international financial institutions to provide Value-at-Risk (VaR) type forecasts for GDP growth (Growth-at-Risk) or inflation (Inflation-at-Risk). This package provides methods for estimating these models. Datasets for the US and the Eurozone are available to allow testing of the Adrian et al (2019) model. This package constitutes a useful toolbox (data and functions) for private practitioners, scholars as well as policymakers.
| Version: | 0.1.0 |
| Depends: | R (≥ 2.10) |
| Imports: | stats, quantreg, sn, dfoptim, plot3D |
| Published: | 2023-05-02 |
| DOI: | 10.32614/CRAN.package.matrisk |
| Author: | Quentin Lajaunie [aut, cre], Guillaume Flament [aut], Christophe Hurlin [aut] |
| Maintainer: | Quentin Lajaunie <quentin_lajaunie at hotmail.fr> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| CRAN checks: | matrisk results |
| Reference manual: | matrisk.pdf |
| Package source: | matrisk_0.1.0.tar.gz |
| Windows binaries: | r-devel: matrisk_0.1.0.zip, r-release: matrisk_0.1.0.zip, r-oldrel: matrisk_0.1.0.zip |
| macOS binaries: | r-release (arm64): matrisk_0.1.0.tgz, r-oldrel (arm64): matrisk_0.1.0.tgz, r-release (x86_64): matrisk_0.1.0.tgz, r-oldrel (x86_64): matrisk_0.1.0.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.