Updating Wilkie’s Economic Scenario Generator for U.S. Applications

November 27, 2021 Siddhant Goyal

Date of Publication: Feb 08, 2019

Author: Saisai Zhang , Mary Hardy and David Saunders

Summary:

The Wilkie economic scenario generator has had a significant influence on economic scenario generators since the first formal publication in 1986 by Wilkie. In this article we update the model parameters using U.S. data to 2014, and review the model performance. In particular, we consider stationarity assumptions, parameter stability, and structural breaks.

Link to Full Reading:

https://www.tandfonline.com/doi/full/10.1080/10920277.2018.1466713