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Macroeconomic tail events, nonlinear VARs, generalised impulse response functions, density forecasts
Financial stress index, AUROC, GARCH, threshold VAR
Factor models, FAVAR, latent threshold, MCMC, interpretation of latent factors, shrinkage estimation
financial stability, GDP-at-Risk, macroprudential policy, quantile regressions, local projections
non-linear panel data model, cross-sectional dependence, common correlated effects estimator
technology news shocks, business cycle, identification with external instruments, patent applications
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Business cycle, Information Frictions, Patent applications, SVAR-IV, Technology News Shocks
solvency, funding cost, leverage ratio, CDS premia, panel threshold model, panel smooth
political risk shocks, partisan conflict, identification with external instruments
Predictive regressions, many predictors, cost-of-error function, latent variables, volatility
Access to finance, expenditure, Income, real-time indicators
benefits, Earnings, Heterogeneity, Income, Pandemic, spending
