Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Macroeconomic risk 

Working Paper
Assessing Macroeconomic Tail Risk

What drives macroeconomic tail risk? To answer this question, we borrow a definition of macroeconomic risk from Adrian et al. (2019) by studying (left-tail) percentiles of the forecast distribution of GDP growth. We use local projections (Jord, 2005) to assess how this measure of risk moves in response to economic shocks to the level of technology, monetary policy, and financial conditions. Furthermore, by studying various percentiles jointly, we study how the overall economic outlook-as characterized by the entire forecast distribution of GDP growth-shifts in response to shocks. We find that ...
Finance and Economics Discussion Series , Paper 2019-026

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

C21 1 items

C53 1 items

E17 1 items

E37 1 items

FILTER BY Keywords

PREVIOUS / NEXT