Accounting for the Sources of Macroeconomic Tail Risks
Enghin Atalay (),
Thorsten Drautzburg and
No 18-8, Working Papers from Federal Reserve Bank of Philadelphia
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
References: Add references at CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed
Downloads: (external link)
https://www.philadelphiafed.org/-/media/research-a ... ers/2018/wp18-08.pdf Full text (text/plain)
Journal Article: Accounting for the sources of macroeconomic tail risks (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:fip:fedpwp:18-8
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in Working Papers from Federal Reserve Bank of Philadelphia Contact information at EDIRC.
Bibliographic data for series maintained by ().