Home About Latest Browse RSS Advanced Search

Federal Reserve Bank of Philadelphia
Working Papers
Accounting for the Sources of Macroeconomic Tail Risks
Enghin Atalay
Thorsten Drautzburg
Zhenting Wang
Abstract

Using a multi-industry real business cycle model, we empirically examine the microeconomic origins of aggregate tail risks. Our model, estimated using industry-level data from 1972 to 2016, indicates that industry-specific shocks account for most of the third and fourth moments of GDP growth.


Download Full text
Cite this item
Enghin Atalay & Thorsten Drautzburg & Zhenting Wang, Accounting for the Sources of Macroeconomic Tail Risks, Federal Reserve Bank of Philadelphia, Working Papers 18-8, 05 Feb 2018.
More from this series
JEL Classification:
Subject headings:
Keywords: production networks; business cycles; tail risk
DOI: https://doi.org/10.21799/frbp.wp.2018.08
For corrections, contact Beth Paul ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal