| Title: |
Assessing Macroeconomic Tail Risk. |
| Authors: |
Loria, Francesca1 (AUTHOR); Matthes, Christian2 (AUTHOR); Zhang, Donghai3 (AUTHOR) |
| Source: |
Economic Journal. Jan2025, Vol. 135 Issue 665, p264-284. 21p. |
| Subject Terms: |
*INVESTMENT risk; *GROSS domestic product; *INDUSTRIAL goods; VECTOR autoregression model; QUANTILE regression |
| Abstract: |
Real gross domestic product and industrial production in the United States display substantial asymmetry and tail risk. Is this asymmetry driven by a specific structural shock? Our empirical approach, based on quantile regressions and local projections, suggests otherwise. We find that the tenth percentile of predictive growth distributions responds between three and six times more than the median to monetary policy shocks, financial shocks, uncertainty shocks, and oil price shocks, indicating a common transmission mechanism. We present two data-generating processes that are capable of matching this finding: a threshold vector autoregression model and a non-linear equilibrium model. [ABSTRACT FROM AUTHOR] |
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| Database: |
Business Source Premier |