Working Paper

Accounting for the Sources of Macroeconomic Tail Risks

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 risks;

JEL Classification: D5; E2; E3;

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Bibliographic Information

Provider: Federal Reserve Bank of Philadelphia

Part of Series: Working Papers

Publication Date: 2018-02-05

Number: 18-8

Pages: 10 pages