Federal Reserve Bank of Philadelphia
Accounting for the Sources of Macroeconomic Tail Risks
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.
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.
- D5 - Microeconomics - - General Equilibrium and Disequilibrium
- E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
Keywords: production networks; business cycles; tail risk
This item with handle RePEc:fip:fedpwp:18-8
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