Accounting for the sources of macroeconomic tail risks

Enghin Atalay, Thorsten Drautzburg and Zhenting Wang

Economics Letters, 2018, vol. 165, issue C, 65-69

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.

Keywords: Production networks; Business cycles; Tail risk (search for similar items in EconPapers)
JEL-codes: D5 E2 E3 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (11)

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Working Paper: Accounting for the Sources of Macroeconomic Tail Risks (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:165:y:2018:i:c:p:65-69

DOI: 10.1016/j.econlet.2018.01.032

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