OeNB Freitagsseminar with Aubrey Poon

Climate Volatility and International Macroeconomic Tail Risk

OeNB Freitagsseminar with Aubrey Poon, University of Kent

Abstract
We develop a hierarchical Bayesian panel quantile regression model in which unit-specific coefficient paths are smoothed across quantiles by Gaussian processes, while a common time effect absorbs aggregate shocks. Componentwise-monotone Bernstein polynomials, perturbed by unit-specific deviations, deliver soft noncrossing, and we provide identification conditions together with a bound on the crossing probability. Applying the model to 33 countries over 1979--2023, we find that global temperature shocks generate a systemic, non-diversifiable downside risk to output growth. These are concentrated in the lower tail and disproportionately affect emerging markets. Finally, we apply our framework to risk analysis and show that the model reduces out-of-sample tail-risk forecast loss by roughly one-third relative to country-specific quantile regressions.

Date
Friday, 18 September 2026 | Start: 11:00 AM | End: 12:30 PM              

Venue
The event is planned to be held online via Webex and on site at the Oesterreichische Nationalbank, Otto-Wagner-Platz 3, 1090 Wien, Veranstaltungssaal, Ground Floor.

Join us by registering by 16 September 2026 at the latest.

Registration