欧洲央行：风险增长的结构性驱动因素：来自VAR量化回归方法的见解（英文版）

We investigate the impact of structural shocks on the joint distribution of future real GDP growth and inflation in the euro area. We model the conditional mean of these variables, along with selected financial indicators, using a VAR and perform quantile regressions on the VAR residuals to estimate their time-varying variance as a function of macroeconomic and financial variables. Through impulse response analysis, we find that demand and financial shocks reduce expected GDP growth and incre