Macroeconomic-at-Risk R package matrisk version 0.1.0 The Macroeconomics-at-Risk (MaR) approach is based on a two-step semi-parametric estimation procedure that allows to forecast the full conditional distribution of an economic variable at a given horizon, as a function of a set of factors. These density forecasts are then be used to produce coherent forecasts for any downside risk measure, e.g., value-at-risk, expected shortfall, downside entropy. Initially introduced by Adrian et al. (2019) <doi:10.1257/aer.20161923> to reveal the vulnerability of economic growth to financial conditions, the MaR approach is currently extensively used by international financial institutions to provide Value-at-Risk (VaR) type forecasts for GDP growth (Growth-at-Risk) or inflation (Inflation-at-Risk). This package provides methods for estimating these models. Datasets for the US and the Eurozone are available to allow testing of the Adrian et al (2019) model. This package constitutes a useful toolbox (data and functions) for private practitioners, scholars as well as policymakers. Software Depends: R (>= 2.10) Imports: stats, quantreg, sn, dfoptim, plot3D Quentin Lajaunie <quentin_lajaunie@hotmail.fr> Comprehensive R Archive Network (CRAN) Quentin Lajaunie [aut, cre], Guillaume Flament [aut], Christophe Hurlin [aut] GPL-3 2023-05-02 application/tgz https://CRAN.R-project.org/package=matrisk doi:10.32614/CRAN.package.matrisk