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We compare a popular two\u2010step approach that fits a specific parametric density to the quantile forecasts with a nonparametric alternative that lets the \u201cdata speak.\u201d Simulation evidence and an application revisiting GDP growth uncertainties in the United States demonstrate the flexibility of the nonparametric approach when constructing density forecasts from both frequentist and Bayesian quantile regressions. They identify its ability to unmask deviations from symmetrical and unimodal densities. The dominant macroeconomic narrative becomes one of the evolution, over the business cycle, of multimodalities rather than asymmetries in the predictive distribution of GDP growth when conditioned on financial conditions.<\/jats:p>","DOI":"10.1002\/jae.3049","type":"journal-article","created":{"date-parts":[[2024,4,18]],"date-time":"2024-04-18T19:56:00Z","timestamp":1713470160000},"page":"790-812","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":9,"title":["Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-0532-4568","authenticated-orcid":false,"given":"James","family":"Mitchell","sequence":"first","affiliation":[{"name":"Federal Reserve Bank of Cleveland  Cleveland Ohio USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2587-8779","authenticated-orcid":false,"given":"Aubrey","family":"Poon","sequence":"additional","affiliation":[{"name":"University of Kent  Canterbury UK"},{"name":"\u00d6rebro University  \u00d6rebro Sweden"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Dan","family":"Zhu","sequence":"additional","affiliation":[{"name":"Monash University  Clayton Australia"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2024,4,18]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/acrefore\/9780190625979.013.381"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20161923"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/iere.12501"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2943"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00391"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.99.4.1636"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2020.11.003"},{"key":"e_1_2_8_9_1","doi-asserted-by":"crossref","unstructured":"Caldara D. 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