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Far out in the tails – The historical distributions of macro-financial risk factors in Denmark

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  • Abildgren, Kim

    (Danmarks Nationalbank)

Abstract

The macro stress tests used by the authorities in many countries prior to the most recent financial crisis did not pay sufficient attention to low-probability but high-consequence scenarios. Economic history is rich on extreme events which we illustrate by taking a closer look at the frequency and magnitude of extreme events in the economic history of Denmark. We suggest using distributions of macro-financial risk factors based on long-span historical time series as inspiration in relation to low-probability scenarios in macro stress tests.

Suggested Citation

  • Abildgren, Kim, 2014. "Far out in the tails – The historical distributions of macro-financial risk factors in Denmark," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2014(1), pages 1-31.
    • Handle: RePEc:hhs:jdaecn:0029
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    Keywords

    macro-finance;

    JEL classification:

    • A10 - General Economics and Teaching - - General Economics - - - General

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