matrisk
Macroeconomic-at-Risk
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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.0 |
rolling linux/jammy R-4.5 | matrisk_0.1.0.tar.gz |
34.7 KiB |
0.1.0 |
rolling linux/noble R-4.5 | matrisk_0.1.0.tar.gz |
34.6 KiB |
0.1.0 |
rolling source/ R- | matrisk_0.1.0.tar.gz |
10.0 KiB |
0.1.0 |
latest linux/jammy R-4.5 | matrisk_0.1.0.tar.gz |
34.7 KiB |
0.1.0 |
latest linux/noble R-4.5 | matrisk_0.1.0.tar.gz |
34.6 KiB |
0.1.0 |
latest source/ R- | matrisk_0.1.0.tar.gz |
10.0 KiB |
0.1.0 |
2026-04-26 source/ R- | matrisk_0.1.0.tar.gz |
10.0 KiB |
0.1.0 |
2026-04-23 source/ R- | matrisk_0.1.0.tar.gz |
10.0 KiB |
0.1.0 |
2026-04-09 windows/windows R-4.5 | matrisk_0.1.0.zip |
38.2 KiB |
0.1.0 |
2025-04-20 source/ R- | matrisk_0.1.0.tar.gz |
10.0 KiB |