Assessing Macroeconomic Tail Risk

Francesca Loria, Christian Matthes and Donghai Zhang ()

The Economic Journal, 2025, vol. 135, issue 665, 264-284

Abstract: Real gross domestic product and industrial production in the United States display substantial asymmetry and tail risk. Is this asymmetry driven by a specific structural shock? Our empirical approach, based on quantile regressions and local projections, suggests otherwise. We find that the tenth percentile of predictive growth distributions responds between three and six times more than the median to monetary policy shocks, financial shocks, uncertainty shocks, and oil price shocks, indicating a common transmission mechanism. We present two data-generating processes that are capable of matching this finding: a threshold vector autoregression model and a non-linear equilibrium model.

Date: 2025
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1093/ej/ueae066 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Assessing Macroeconomic Tail Risk (2019)
Working Paper: Assessing Macroeconomic Tail Risk (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:econjl:v:135:y:2025:i:665:p:264-284.

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

The Economic Journal is currently edited by Francesco Lippi

More articles in The Economic Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press () and ().