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Accounting for the Sources of Macroeconomic Tail Risks

Enghin Atalay (), Thorsten Drautzburg and Zhenting Wang

No 18-8, Working Papers from Federal Reserve Bank of Philadelphia

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: tail risk; business cycles; production networks (search for similar items in EconPapers)
JEL-codes: D5 E2 E3 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2018-02-05, Revised 2018-02-05
New Economics Papers: this item is included in nep-dge and nep-mac
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DOI: 10.21799/frbp.wp.2018.08

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Handle: RePEc:fip:fedpwp:18-8