data_US

data_euro contains:
- Quarterly annualized GDP, from 1973:Q1 to 2022:Q3
- National Financial Condition Index of the US, from 1973:Q1 to 2022:Q3
Sources : https://www.chicagofed.org/research/data/nfci/current-data https://fred.stlouisfed.org/series/A191RL1Q225SBEA

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.

Quentin Lajaunie

matrisk

Macroeconomic-at-Risk

Guillaume Flament

Christophe Hurlin

data_US function

A data frame with 200 observations on the following 4 variables.<dl>
 <dt><code>DATE</code></dt>
<dd>Vector of dates.</dd> <dt><code>GDP</code></dt>
<dd>Vector of annualized PIB.</dd> <dt><code>NFCI</code></dt>
<dd>Historical values of the National Financial Condition Index (NFCI).</dd>
</dl>

Format

Historical data for the US (GDP and Financial Conditions) from 1973:Q1 to 2022:Q3 — data_US

A data frame with 200 observations on the following 4 variables.<dl>
 <dt><code>DATE</code></dt>
<dd>Vector of dates.</dd>

 <dt><code>GDP</code></dt>
<dd>Vector of annualized PIB.</dd>

 <dt><code>NFCI</code></dt>
<dd>Historical values of the National Financial Condition Index (NFCI).</dd>


</dl>

data_US: Historical data for the US (GDP and Financial Conditions) from 1973:Q1 to 2022:Q3

Description

Usage

Arguments

Format