Accounting for the Sources of Macroeconomic Tail Risks

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

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Year of publication:	2020
Authors:	Atalay, Enghin
Other Persons:	Drautzburg, Thorsten (contributor) ; Wang, Zhenting (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Schock \| Shock \| Risiko \| Risk \| Konjunkturtheorie \| Business cycle theory \| Schätzung \| Estimation

Extent:	1 Online-Ressource (10 p)
Series:	FRB of Philadelphia Working Paper ; No. 18-8
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2018-02-05 erstellt
Classification:	D5 - General Equilibrium and Disequilibrium ; E2 - Consumption, Saving, Production, Employment, and Investment ; E3 - Prices, Business Fluctuations, and Cycles
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012852920