Check out the nice new paper here, by Hee Soo Kim, Christian Matthes, and Toan Phan. Clever and nicely-controlled use of the Actuaries Climate Index (ACI) in an Auerbach-Gorodnichenko (AG, 2012) style smooth-transition VAR. Much bigger effects of extreme weather in more recent years! I look forward to learning/thinking more about assumptions embedded in the AG framework, and the role that they may play in conjunction with the new ACI data in producing the result.
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