Assessing Macroeconomic Tail Risks in a Data-Rich Environment
نویسندگان
چکیده
منابع مشابه
Microeconomic Origins of Macroeconomic Tail Risks
We document that even though the normal distribution is a good approximation to the nature of aggregate fluctuations, it severely underpredicts the frequency of large economic downturns. We then provide a model that can explain these facts simultaneously. Our model shows that the propagation of microeconomic shocks through input-output linkages can fundamentally reshape the distribution of aggr...
متن کاملSectoral networks and macroeconomic tail risks in an emerging economy
This paper aims to explain the macroeconomic volatility due to microeconomic shocks to one or several sectors, recognizing the non-symmetrical relation in the interaction among the Ecuadorian economic sectors. To grasp the economic structure of this emerging economy, a statistical analysis of network data is applied to the respective input-output matrix of Ecuador from 1975 until 2012. We find ...
متن کاملAssessing Shocks to Inflation Expectations in a Data Rich Environment
We carry out a semi-structural analysis aiming at estimating the macroeconomic effects of shocks to inflation expectations. We estimate a Structural Factor Model for the euro area, which includes more than 200 quarterly variables. By using such a wide information set we are able to: 1) identify structural shocks which a small-scale VAR would not be able to retrieve; 2) avoid any variable select...
متن کاملThe Effect of Monetary Shocks on Disaggregated Prices in a Data Rich Environment: a Bayesian FAVAR Approach
Price stability has been the foremost task of monetary policy. The information relating to the response of prices to monetary policy shocks is essential for conducting monetary policy in general and for inflation targeting of central banks in particular. Most of the published empirical studies analyze the response of an aggregate price index like CPI or a consumption deflator and their r...
متن کاملDSGE Models in a Data-Rich Environment∗
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However, recent empirical research on factor models has shown that information contained in large data sets i...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2019
ISSN: 1556-5068
DOI: 10.2139/ssrn.3494412