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Identification strategies and structural quantile impulse response functions are derived as generalization of the VAR model. The model is estimated using real and financial variables for the euro area. The dynamic properties of the system change across quantiles. This is relevant for stress testing exercises, whose goal is to forecast the tail behavior of the economy when hit by large financial and real shocks.<\/jats:p>","DOI":"10.1002\/jae.3009","type":"journal-article","created":{"date-parts":[[2023,10,27]],"date-time":"2023-10-27T04:12:45Z","timestamp":1698379965000},"page":"66-85","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":62,"title":["Forecasting and stress testing with quantile vector autoregression"],"prefix":"10.1002","volume":"39","author":[{"given":"Sulkhan","family":"Chavleishvili","sequence":"first","affiliation":[{"name":"Department of Economics and Business Economics Aarhus University  Aarhus Denmark"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Simone","family":"Manganelli","sequence":"additional","affiliation":[{"name":"DG\u2010Research, European Central Bank  Frankfurt am Main Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2023,10,26]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20161923"},{"key":"e_1_2_8_3_1","first-page":"1","article-title":"Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models","author":"Arias J. 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