Using Bayesian neural network local projections, the authors find US macro variables respond strongly to adverse financial shocks, weakly to benign shocks, and proportionally to shock size.
In- vestigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model,
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Machine Learning the Macroeconomic Effects of Financial Shocks
Using Bayesian neural network local projections, the authors find US macro variables respond strongly to adverse financial shocks, weakly to benign shocks, and proportionally to shock size.