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La macroéconomie-en-risque

Christophe Boucher and Bertrand Maillet

Revue économique, 2015, vol. 66, issue 4, 769-782

Abstract: We propose to gauge the macroeconomic extreme risks from a measure so far dedicated to financial risk : the VaR. We dynamically evaluate, based on quantile regressions, extreme risks of the real economic activity. Using monthly time series of the us economy over the 1975M3-2012M7 period, our results suggest that financial intermediation stress indicators impact the risk of economic disaster that captures the possibility of a very large recession. Classification JEL : C31, C53, E3, G2

JEL-codes: C31 C53 E3 G2 (search for similar items in EconPapers)
Date: 2015
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Working Paper: La macroéconomie-en-risque (2015)
Working Paper: La macroéconomie-en-risque (2015)
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