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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 ...
Shocks, gaps, and monetary policy, Korea-America Economic Association, January 4, 2014, Philadelphia, PA
Presented by Charles I. Plosser, President and Chief Executive Officer, Federal Reserve Bank of Philadelphia KAEA-Maekyung Forum, Korea-America Economic Association, January 4, 2014, Philadelphia, PA President Charles Plosser discusses how some key features of the recent recession and recovery have influenced his views on monetary policymaking. He again advocates that we should think in terms of robust policies that yield good economic outcomes across a variety of models and frameworks.