Accounting for the Sources of Macroeconomic Tail Risks
10 Pages Posted: 10 Feb 2018 Last revised: 29 Apr 2020
Date Written: February, 2018
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.
JEL Classification: D5, E2, E3
Suggested Citation: Suggested Citation