Christophe Boucher Bertrand Maillet
نویسندگان
چکیده
Since at least Engle (1982) and Stock and Watson (2002), we know that the conditional variance of future output and inflation evolves over time. However, in these seminal contributions, the risk of real activity and inflation is implicitly considered as symmetric. In this paper, we investigate the time evolution of the conditional distribution of macroeconomics variables with a special interest on the extreme tails of the output. The conduct of monetary policy has been recently associated to a risk management practice both in monetary policy statements (Greenspan, 2003; Mishkin, 2008) and in academic research (Kilian and Manganelli, 2008). This risk management perspective of the monetary policy is directly inspired by the literature on robust
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