Measuring Macroeconomic Tail Risk
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Roberto Marfè & Julien Pénasse, 2020. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 621, Collegio Carlo Alberto.
References listed on IDEAS
- Hannes Mueller & Christopher Rauh, 2022.
"The Hard Problem of Prediction for Conflict Prevention,"
Journal of the European Economic Association, European Economic Association, vol. 20(6), pages 2440-2467.
- Hannes Mueller & Christopher Rauh, 2019. "The hard problem of prediction for conflict prevention," Cahiers de recherche 2019-02, Universite de Montreal, Departement de sciences economiques.
- Mueller, H. & Rauh, C., 2020. "The Hard Problem of Prediction for Conflict Prevention," Cambridge Working Papers in Economics 2015, Faculty of Economics, University of Cambridge.
- Hannes Mueller & Christopher Rauh, 2021. "The Hard Problem of Prediction for Conflict Prevention," Working Papers 1244, Barcelona School of Economics.
- Mueller, H. & Rauh, C., 2021. "The Hard Problem of Prediction for Conflict Prevention," Cambridge Working Papers in Economics 2103, Faculty of Economics, University of Cambridge.
- Hannes Mueller & Christopher Rauh, 2019. "The Hard Problem of Prediction for Conflict Prevention," Cahiers de recherche 02-2019, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Mueller, Hannes & Rauh, Christopher, 2019. "The Hard Problem of Prediction for Conflict Prevention," CEPR Discussion Papers 13748, C.E.P.R. Discussion Papers.
- Matthew Baron & Wei Xiong, 2017.
"Credit Expansion and Neglected Crash Risk,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(2), pages 713-764.
- Matthew Baron & Wei Xiong, 2016. "Credit Expansion and Neglected Crash Risk," NBER Working Papers 22695, National Bureau of Economic Research, Inc.
- Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2017.
"Macrofinancial History and the New Business Cycle Facts,"
NBER Macroeconomics Annual, University of Chicago Press, vol. 31(1), pages 213-263.
- Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2016. "Macrofinancial History and the New Business Cycle Facts," NBER Chapters, in: NBER Macroeconomics Annual 2016, Volume 31, pages 213-263, National Bureau of Economic Research, Inc.
- Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2016. "Macrofinancial History and the New Business Cycle Facts," NBER Working Papers 22743, National Bureau of Economic Research, Inc.
- Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2016. "Macrofinancial History and the New Business Cycle Facts," Working Paper Series 2016-23, Federal Reserve Bank of San Francisco.
- Taylor, Alan M. & Jordà , Òscar & Schularick, Moritz, 2016. "Macrofinancial History and the New Business Cycle Facts," CEPR Discussion Papers 11587, C.E.P.R. Discussion Papers.
- Barro, Robert J. & Liao, Gordon Y., 2021. "Rare disaster probability and options pricing," Journal of Financial Economics, Elsevier, vol. 139(3), pages 750-769.
- Atif Mian & Amir Sufi & Emil Verner, 2017.
"Household Debt and Business Cycles Worldwide,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(4), pages 1755-1817.
- Atif R. Mian & Amir Sufi & Emil Verner, 2015. "Household Debt and Business Cycles Worldwide," NBER Working Papers 21581, National Bureau of Economic Research, Inc.
- Emil Verner & Amir Sufi & Atif Mian, 2017. "Household Debt and Business Cycles Worldwide," 2017 Meeting Papers 673, Society for Economic Dynamics.
- Reinhart, Karmen & Rogoff, Kenneth, 2009.
""This time is different": panorama of eight centuries of financial crises,"
Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 77-114, March.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," CEMA Working Papers 595, China Economics and Management Academy, Central University of Finance and Economics.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," NBER Working Papers 13882, National Bureau of Economic Research, Inc.
- Officer, R R, 1973. "The Variability of the Market Factor of the New York Stock Exchange," The Journal of Business, University of Chicago Press, vol. 46(3), pages 434-453, July.
- Mayer, Thierry & Zignago, Soledad, 2006.
"Notes on CEPII’s distances measures,"
MPRA Paper
26469, University Library of Munich, Germany.
- Thierry Mayer & Soledad Zignago, 2011. "Notes on CEPII’s distances measures: The GeoDist database," Working Papers 2011-25, CEPII research center.
- Nicholas Bloom, 2009.
"The Impact of Uncertainty Shocks,"
Econometrica, Econometric Society, vol. 77(3), pages 623-685, May.
- Nicholas Bloom, 2007. "The Impact of Uncertainty Shocks," NBER Working Papers 13385, National Bureau of Economic Research, Inc.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2014.
"This Time is Different: A Panoramic View of Eight Centuries of Financial Crises,"
Annals of Economics and Finance, Society for AEF, vol. 15(2), pages 215-268, November.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," NBER Working Papers 13882, National Bureau of Economic Research, Inc.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," CEMA Working Papers 595, China Economics and Management Academy, Central University of Finance and Economics.
- Inklaar, Robert & de Jong, Harmen & Bolt, Jutta & van Zanden, Jan, 2018. "Rebasing 'Maddison': new income comparisons and the shape of long-run economic development," GGDC Research Memorandum GD-174, Groningen Growth and Development Centre, University of Groningen.
- Hui Zou & Trevor Hastie, 2005. "Addendum: Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 768-768, November.
- Itamar Drechsler & Amir Yaron, 2011. "What's Vol Got to Do with It," The Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 1-45.
- Hui Zou & Trevor Hastie, 2005. "Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(2), pages 301-320, April.
- Manela, Asaf & Moreira, Alan, 2017. "News implied volatility and disaster concerns," Journal of Financial Economics, Elsevier, vol. 123(1), pages 137-162.
- Berkman, Henk & Jacobsen, Ben & Lee, John B., 2011. "Time-varying rare disaster risk and stock returns," Journal of Financial Economics, Elsevier, vol. 101(2), pages 313-332, August.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Sönksen, Jantje & Grammig, Joachim, 2021.
"Empirical asset pricing with multi-period disaster risk: A simulation-based approach,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 805-832.
- Sönksen, Jantje & Grammig, Joachim, 2020. "Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach," CFR Working Papers 14-06, University of Cologne, Centre for Financial Research (CFR), revised 2020.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bora Durdu & Alex Martin & Ilknur Zer, 2019. "The Role of U.S. Monetary Policy in Global Banking Crises," Finance and Economics Discussion Series 2019-039, Board of Governors of the Federal Reserve System (U.S.).
- C. Bora Durdu & Alex Martin & Ilknur Zer, 2020. "The Role of US Monetary Policy in Banking Crises Across the World," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 68(1), pages 66-107, March.
- Vincenzo Cuciniello & Nicola di Iasio, 2020.
"Determinants of the credit cycle: a flow analysis of the extensive margin,"
Temi di discussione (Economic working papers)
1266, Bank of Italy, Economic Research and International Relations Area.
- Cuciniello, Vincenzo & di Iasio, Nicola, 2021. "Determinants of the credit cycle: a flow analysis of the extensive margin," ESRB Working Paper Series 125, European Systemic Risk Board.
- Cuciniello, Vincenzo & di Iasio, Nicola, 2020. "Determinants of the credit cycle: a flow analysis of the extensive margin," Working Paper Series 2445, European Central Bank.
- Maximilian Grimm & Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2023.
"Loose Monetary Policy and Financial Instability,"
Working Paper Series
2023-06, Federal Reserve Bank of San Francisco.
- Taylor, Alan M. & Grimm, Maximilian & Jordà , Òscar & Schularick, Moritz, 2023. "Loose monetary policy and financial instability," CEPR Discussion Papers 17896, C.E.P.R. Discussion Papers.
- Maximilian Grimm & Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2023. "Loose Monetary Policy and Financial Instability," NBER Working Papers 30958, National Bureau of Economic Research, Inc.
- João F. Gomes & Marco Grotteria & Jessica Wachter, 2018. "Foreseen Risks," NBER Working Papers 25277, National Bureau of Economic Research, Inc.
- Gomes, João F. & Grotteria, Marco & Wachter, Jessica A., 2023. "Foreseen risks," Journal of Economic Theory, Elsevier, vol. 212(C).
- Fang, Tong & Lee, Tae-Hwy & Su, Zhi, 2020.
"Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection,"
Journal of Empirical Finance, Elsevier, vol. 58(C), pages 36-49.
- Tong Fang & Tae-Hwy Lee & Zhi Su, 2020. "Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection," Working Papers 202009, University of California at Riverside, Department of Economics.
- Wix, Carlo, 2017.
"The long-run real effects of banking crises: Firm-level investment dynamics and the role of wage rigidity,"
SAFE Working Paper Series
189, Leibniz Institute for Financial Research SAFE.
- Carlo Wix, 2023. "The Long-Run Real Effects of Banking Crises: Firm-Level Investment Dynamics and the Role of Wage Rigidity," Finance and Economics Discussion Series 2023-019, Board of Governors of the Federal Reserve System (U.S.).
- Björn Richter & Moritz Schularick & Paul Wachtel, 2021.
"When to Lean against the Wind,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(1), pages 5-39, February.
- Schularick, Moritz & Wachtel, Paul & Richter, Björn, 2017. "When to Lean Against the Wind," CEPR Discussion Papers 12188, C.E.P.R. Discussion Papers.
- Bjorn Richter & Moritz Schularick & Paul Wachtel, 2018. "When to Lean Against the Wind," Working Papers 18-10, New York University, Leonard N. Stern School of Business, Department of Economics.
- Dieckelmann, Daniel, 2021. "Market sentiment, financial fragility, and economic activity: The role of corporate securities issuance," Discussion Papers 2021/6, Free University Berlin, School of Business & Economics.
- José Daniel Aromí, 2021. "Large Current Account Deficits and Neglected Vulnerabilities," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 69(4), pages 597-623, December.
- Jon Danielsson & Marcela Valenzuela & Ilknur Zer, 2018.
"Learning from History: Volatility and Financial Crises,"
The Review of Financial Studies, Society for Financial Studies, vol. 31(7), pages 2774-2805.
- Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur, 2016. "Learning from history: volatility and financial crises," LSE Research Online Documents on Economics 66046, London School of Economics and Political Science, LSE Library.
- Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur, 2018. "Learning from history: volatility and financial crises," LSE Research Online Documents on Economics 91136, London School of Economics and Political Science, LSE Library.
- Jón Daníelsson & Marcela Valenzuela & Ilknur Zer, 2016. "Learning from History : Volatility and Financial Crises," Finance and Economics Discussion Series 2016-093, Board of Governors of the Federal Reserve System (U.S.).
- Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur, 2018. "Learning from history: volatility and financial crises," LSE Research Online Documents on Economics 118942, London School of Economics and Political Science, LSE Library.
- Laeven, Luc & Baron, Matthew & Penasse, Julien & Usenko, Yevhenii, 2021.
"Investing in Crises,"
CEPR Discussion Papers
15858, C.E.P.R. Discussion Papers.
- Baron, Matthew & Laeven, Luc & Pénasse, Julien & Usenko, Yevhenii, 2021. "Investing in crises," Working Paper Series 2548, European Central Bank.
- Jon Danielsson & Marcela Valenzuela & Ilknur Zer, 2023.
"The Impact of Risk Cycles on Business Cycles: A Historical View,"
The Review of Financial Studies, Society for Financial Studies, vol. 36(7), pages 2922-2961.
- Jón Daníelsson & Marcela Valenzuela & Ilknur Zer, 2022. "The impact of risk cycles on business cycles: a historical view," International Finance Discussion Papers 1358, Board of Governors of the Federal Reserve System (U.S.).
- Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur, 2022. "The impact of risk cycles on business cycles: a historical view," LSE Research Online Documents on Economics 117384, London School of Economics and Political Science, LSE Library.
- Atkeson, Andrew G. & Eisfeldt, Andrea L. & Weill, Pierre-Olivier, 2017.
"Measuring the financial soundness of U.S. firms, 1926–2012,"
Research in Economics, Elsevier, vol. 71(3), pages 613-635.
- Andrew Atkeson & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2013. "Measuring the financial soundness of U.S. firms, 1926-2012," Staff Report 484, Federal Reserve Bank of Minneapolis.
- Andrew G. Atkeson & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2013. "Measuring the Financial Soundness of U.S. Firms, 1926-2012," NBER Working Papers 19204, National Bureau of Economic Research, Inc.
- Enrico Perotti & Magdalena Rola-Janicka, 2022. "The Good, the Bad, and the Missed Boom," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5025-5056.
- Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017.
"The price of variance risk,"
Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
- Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
- Loayza,Norman V. & Ouazad,Amine & Ranciere,Romain, 2017.
"Financial development, growth, and crisis: is there a trade-off ?,"
Policy Research Working Paper Series
8237, The World Bank.
- Norman Loayza & Amine Ouazad & Romain Ranciere, 2017. "Financial Development, Growth, and Crisis: Is There a Trade-Off?," Working Papers 114, Peruvian Economic Association.
- Norman Loayza & Amine Ouazad & Romain Rancière, 2018. "Financial Development, Growth, and Crisis: Is There a Trade-Off?," NBER Working Papers 24474, National Bureau of Economic Research, Inc.
- Roy, Saktinil, 2022. "What drives the systemic banking crises in advanced economies?," Global Finance Journal, Elsevier, vol. 54(C).
- Müller, Karsten, 2019. "Electoral cycles in macroprudential regulation," ESRB Working Paper Series 106, European Systemic Risk Board.
More about this item
Keywords
rare disasters; equity premium; return predictability;All these keywords.
JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FDG-2024-03-25 (Financial Development and Growth)
- NEP-RMG-2024-03-25 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cca:wpaper:715. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Giovanni Bert (email available below). General contact details of provider: https://edirc.repec.org/data/fccaait.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.