Accounting for the sources of macroeconomic tail risks

摘要

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. (C) 2018 Elsevier B.V. All rights reserved.