Aubrey Poon
Biographic Data
| ID | 5935643 |
|---|---|
| NAME | Aubrey Poon |
| GIVEN NAMES | Aubrey |
| FAMILY NAME | Poon |
| SIGNATURE | POON A |
| AFFILIATIONS | School of Economics University of Kent Canterbury UK |
| ORCID | 0000-0003-2587-8779 |
| VERIFIED | Yes |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 4 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2020 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 0 |
An international analysis of the trend five‐year government bond rate
Employing an unobserved components stochastic volatility model, we estimate the trend 5‐year government bond rate in Canada, Norway, Sweden, Switzerland, the United Kingdom and the United States. Our results suggest that the estimated trend rate has decreased substantially between 2000 and 2020 in all six countries. In Norway, Switzerland and the United Kingdom, the trend rate has increased non‐negligibly since 2020; in Canada, Sweden and the Uni…
Constructing density forecasts from quantile regressions
Quantile regression methods are increasingly used to forecast tail risks and uncertainties in macroeconomic outcomes. This paper reconsiders how to construct predictive densities from quantile regressions. We compare a popular two‐step approach that fits a specific parametric density to the quantile forecasts with a nonparametric alternative that lets the “data speak.” Simulation evidence and an application revisiting GDP growth uncertainties in …
Reconciled Estimates of Monthly GDP in the United States
In the United States, income and expenditure-side estimates of gross domestic product (GDP) (GDPI and GDPE) measure “true” GDP with error and are available at a quarterly frequency. Methods exist for using these proxies to produce reconciled quarterly estimates of true GDP. In this paper, we extend these methods to provide reconciled historical true GDP estimates at a monthly frequency. We do this using a Bayesian mixed frequency vector autoregre…
Regional output growth in the United Kingdom
Output growth estimates for regions of the UK are currently published at an annual frequency only, released with a long delay, and offer limited historical coverage. To improve the regional database this paper develops a mixed‐frequency multivariate model and uses it to produce consistent estimates of quarterly regional output growth dating back to 1970. We describe how these estimates are updated and evaluated on an ongoing, quarterly basis to p…
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Regional output growth in the United Kingdom
Output growth estimates for regions of the UK are currently published at an annual frequency only, released with a long delay, and offer limited historical coverage. To improve the regional database this paper develops a mixed‐frequency multivariate model and uses it to produce consistent estimates of quarterly regional output growth dating back to 1970. We describe how these estimates are updated and evaluated on an ongoing, quarterly basis to p…
Reconciled Estimates of Monthly GDP in the United States
In the United States, income and expenditure-side estimates of gross domestic product (GDP) (GDPI and GDPE) measure “true” GDP with error and are available at a quarterly frequency. Methods exist for using these proxies to produce reconciled quarterly estimates of true GDP. In this paper, we extend these methods to provide reconciled historical true GDP estimates at a monthly frequency. We do this using a Bayesian mixed frequency vector autoregre…
Constructing density forecasts from quantile regressions
Quantile regression methods are increasingly used to forecast tail risks and uncertainties in macroeconomic outcomes. This paper reconsiders how to construct predictive densities from quantile regressions. We compare a popular two‐step approach that fits a specific parametric density to the quantile forecasts with a nonparametric alternative that lets the “data speak.” Simulation evidence and an application revisiting GDP growth uncertainties in …
An international analysis of the trend five‐year government bond rate
Employing an unobserved components stochastic volatility model, we estimate the trend 5‐year government bond rate in Canada, Norway, Sweden, Switzerland, the United Kingdom and the United States. Our results suggest that the estimated trend rate has decreased substantially between 2000 and 2020 in all six countries. In Norway, Switzerland and the United Kingdom, the trend rate has increased non‐negligibly since 2020; in Canada, Sweden and the Uni…
Econometrics (4 works) · Economics (4 works) · Monetary Policy and Economic Impact (4 works) · Business cycle (2 works) · Computer Science (2 works) · Geography (2 works) · Macroeconomics (2 works) · Market Dynamics and Volatility (2 works) · Mathematics (2 works) · Statistics (2 works)