Accounting for the Sources of Macroeconomic Tail Risks

Atalay, Enghin; Drautzburg, Thorsten; Wang, Zhenting

doi:https://doi.org/10.21799/frbp.wp.2018.08

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;

https://doi.org/https://doi.org/10.21799/frbp.wp.2018.08