Accounting for the Sources of Macroeconomic Tail Risks

10 Pages Posted: 10 Feb 2018 Last revised: 29 Apr 2020

See all articles by Enghin Atalay

Enghin Atalay

University of Wisconsin - Madison

Thorsten Drautzburg

Federal Reserve Banks - Federal Reserve Bank of Philadelphia

Zhenting Wang

Tianhong Asset Management

Date Written: 2018-02-05

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 risk

JEL Classification: D5, E2, E3

Suggested Citation

Atalay, Enghin and Drautzburg, Thorsten and Wang, Zhenting, Accounting for the Sources of Macroeconomic Tail Risks (2018-02-05). FRB of Philadelphia Working Paper No. 18-8, Available at SSRN: https://ssrn.com/abstract=3119600 or http://dx.doi.org/https://doi.org/10.21799/frbp.wp.2018.08

Enghin Atalay (Contact Author)

University of Wisconsin - Madison

716 Langdon Street
Madison, WI 53706-1481
United States

Thorsten Drautzburg

Federal Reserve Banks - Federal Reserve Bank of Philadelphia ( email )

Ten Independence Mall
Philadelphia, PA 19106-1574
United States

Zhenting Wang

Tianhong Asset Management

20F Building A, Yuetan Mansion
No.2 North Yuetan St.
Xicheng District, Beijing 100045
China

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