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Rare Shocks, Great Recessions

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  1. Rare shocks, Great Recessions
    by Christian Zimmermann in NEP-DGE blog on 2013-03-03 06:49:08

Citations

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Cited by:

  1. Delle Monache, Davide & Petrella, Ivan, 2017. "Adaptive models and heavy tails with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
  2. Joshua C. C. Chan, 2024. "BVARs and stochastic volatility," Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 3, pages 43-67, Edward Elgar Publishing.
  3. Andrade, Philippe & Ferroni, Filippo & Melosi, Leonardo, 2024. "Higher-Order Moment Inequality Restrictions for SVARs," The Warwick Economics Research Paper Series (TWERPS) 1537, University of Warwick, Department of Economics.
  4. Ching-Wai Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "VAR Models with Non-Gaussian Shocks," Discussion Papers 1609, Centre for Macroeconomics (CFM).
  5. Dave, Chetan & Malik, Samreen, 2017. "A tale of fat tails," European Economic Review, Elsevier, vol. 100(C), pages 293-317.
  6. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana, 2020. "Uncertainty Shocks and Business Cycle Research," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 118-166, August.
  7. Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013. "Now-Casting and the Real-Time Data Flow," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237, Elsevier.
  8. Linde, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks' Macro Models," CEPR Discussion Papers 11405, C.E.P.R. Discussion Papers.
  9. Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2020. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 17-33, March.
  10. Isoré, Marlène & Szczerbowicz, Urszula, 2017. "Disaster risk and preference shifts in a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 97-125.
  11. Herwartz, Helmut & Lange, Alexander & Maxand, Simone, 2019. "Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle," University of Göttingen Working Papers in Economics 375, University of Goettingen, Department of Economics.
  12. Mutschler, Willi, 2018. "Higher-order statistics for DSGE models," Econometrics and Statistics, Elsevier, vol. 6(C), pages 44-56.
  13. Bin Chen & Jinho Choi & Juan Carlos Escanciano, 2017. "Testing for fundamental vector moving average representations," Quantitative Economics, Econometric Society, vol. 8(1), pages 149-180, March.
  14. Mutschler, Willi, 2015. "Identification of DSGE models—The effect of higher-order approximation and pruning," Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 34-54.
  15. Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2023. "Vector autoregression models with skewness and heavy tails," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
  16. Antolín-Díaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2024. "Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails," Journal of Econometrics, Elsevier, vol. 238(2).
  17. Bougheas, Spiros & Harvey, David I. & Kirman, Alan & Nelson, Douglas, 2024. "Systemic risk in banking, fire sales, and macroeconomic disasters," Journal of Economic Dynamics and Control, Elsevier, vol. 168(C).
  18. Alessandro Cantelmo, 2022. "Rare Disasters, the Natural Interest Rate and Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 473-496, June.
  19. Philippe Andrade & Eric Ghysels & Julien Idier., 2012. "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers 407, Banque de France.
  20. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2024. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," The Review of Economics and Statistics, MIT Press, vol. 106(5), pages 1403-1417, September.
  21. repec:diw:diwwpp:dp1285 is not listed on IDEAS
  22. Nelimarkka, Jaakko, 2017. "Evidence on News Shocks under Information Deficiency," MPRA Paper 80850, University Library of Munich, Germany.
  23. Michele Lenza & Giorgio E. Primiceri, 2022. "How to estimate a vector autoregression after March 2020," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 688-699, June.
  24. Tamás Kiss & Hoang Nguyen & Pär Österholm, 2021. "Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails," JRFM, MDPI, vol. 14(11), pages 1-17, October.
  25. Todd E. Clark & Francesco Ravazzolo, 2012. "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Papers (Old Series) 1218, Federal Reserve Bank of Cleveland.
  26. Dalheimer, Bernhard & Herwartz, Helmut & Lange, Alexander, 2021. "The threat of oil market turmoils to food price stability in Sub-Saharan Africa," Energy Economics, Elsevier, vol. 93(C).
  27. Zhang, Jinyu & Zhang, Qiaosen & Li, Yong & Wang, Qianchao, 2023. "Sequential Bayesian inference for agent-based models with application to the Chinese business cycle," Economic Modelling, Elsevier, vol. 126(C).
  28. Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
  29. Martinoli, Mario & Moneta, Alessio & Pallante, Gianluca, 2024. "Calibration and validation of macroeconomic simulation models by statistical causal search," Journal of Economic Behavior & Organization, Elsevier, vol. 228(C).
  30. repec:hal:spmain:info:hdl:2441/dcditnq6282sbu1u151qe5p7f is not listed on IDEAS
  31. Helmut Herwartz & Alexander Lange, 2024. "How certain are we about the role of uncertainty in the economy?," Economic Inquiry, Western Economic Association International, vol. 62(1), pages 126-149, January.
  32. Jonathan A. Attey & Casper G. de Vries, 2016. "Monetary Policy in the Presence of Random Wage Indexation," Tinbergen Institute Discussion Papers 16-086/VI, Tinbergen Institute.
  33. Paul Ho & Pierre-Daniel G. Sarte & Felipe Schwartzman, 2022. "Multilateral Comovement in a New Keynesian World: A Little Trade Goes a Long Way," Working Paper 22-10, Federal Reserve Bank of Richmond.
  34. Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pintér, Gábor, 2017. "Forecasting with VAR models: Fat tails and stochastic volatility," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1124-1143.
  35. Dave, Chetan & Sorge, Marco M., 2020. "Sunspot-driven fat tails: A note," Economics Letters, Elsevier, vol. 193(C).
  36. Liu, Xiaochun, 2019. "On tail fatness of macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 62(C).
  37. José A. Carrasco-Gallego, 2020. "Real Estate, Economic Stability and the New Macro-Financial Policies," Sustainability, MDPI, vol. 13(1), pages 1-19, December.
  38. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2022. "An automated prior robustness analysis in Bayesian model comparison," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 583-602, April.
  39. Siddhartha Chib & Minchul Shin & Fei Tan, 2023. "DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 69-111, January.
  40. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2014. "Fat-tails in VAR Models," Working Papers 714, Queen Mary University of London, School of Economics and Finance.
  41. Dave, Chetan & Sorge, Marco M., 2021. "Equilibrium indeterminacy and sunspot tales," European Economic Review, Elsevier, vol. 140(C).
  42. Mertens, Elmar, 2023. "Precision-based sampling for state space models that have no measurement error," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
  43. Giovanni Dosi & Andrea Roventini, 2019. "More is different ... and complex! the case for agent-based macroeconomics," Journal of Evolutionary Economics, Springer, vol. 29(1), pages 1-37, March.
  44. Michael O’Grady, 2019. "Estimating the Output, Inflation and Unemployment Gaps in Ireland using Bayesian Model Averaging," The Economic and Social Review, Economic and Social Studies, vol. 50(1), pages 35-76.
  45. Buch, Claudia M. & Vogel, Edgar & Weigert, Benjamin, 2018. "Evaluating macroprudential policies," ESRB Working Paper Series 76, European Systemic Risk Board.
  46. Lanne Markku, 2015. "Noncausality and inflation persistence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(4), pages 469-481, September.
  47. Franta, Michal, 2017. "Rare shocks vs. non-linearities: What drives extreme events in the economy? Some empirical evidence," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 136-157.
  48. Lanne, Markku & Meitz, Mika & Saikkonen, Pentti, 2017. "Identification and estimation of non-Gaussian structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 196(2), pages 288-304.
  49. Hartwig, Benny, 2022. "Bayesian VARs and prior calibration in times of COVID-19," Discussion Papers 52/2022, Deutsche Bundesbank.
  50. Atalay, Enghin & Drautzburg, Thorsten & Wang, Zhenting, 2018. "Accounting for the sources of macroeconomic tail risks," Economics Letters, Elsevier, vol. 165(C), pages 65-69.
  51. Markku Lanne & Jani Luoto, 2017. "A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(5), pages 969-995, August.
  52. Yoshiyuki ARATA, 2022. "Is empirical granularity high enough to cause aggregate fluctuations? The closeness to Gaussian," Discussion papers 22039, Research Institute of Economy, Trade and Industry (RIETI).
  53. Lianfeng Song & Hongxia Wang & Huanshui Zhang & Hongdan Li, 2023. "Rational Expectations Models with Multiplicative Noise," Journal of Optimization Theory and Applications, Springer, vol. 199(1), pages 233-257, October.
  54. Dave, Chetan & Dressler, Scott J. & Malik, Samreen, 2025. "Cautionary tales of fat tails," Journal of Macroeconomics, Elsevier, vol. 84(C).
  55. Joshua C. C. Chan, 2020. "Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 68-79, January.
  56. repec:spo:wpmain:info:hdl:2441/dcditnq6282sbu1u151qe5p7f is not listed on IDEAS
  57. Giorgio Fagiolo & Andrea Roventini, 2017. "Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 20(1), pages 1-1.
  58. Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 67-116.
  59. Gergely Akos Ganics, 2017. "Optimal density forecast combinations," Working Papers 1751, Banco de España.
  60. Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Birkbeck Working Papers in Economics and Finance 1409, Birkbeck, Department of Economics, Mathematics & Statistics.
  61. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
  62. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "Bayesian Vector Autoregressions with Non-Gaussian Shocks," CReMFi Discussion Papers 5, CReMFi, School of Economics and Finance, QMUL.
  63. Bobeica, Elena & Hartwig, Benny, 2023. "The COVID-19 shock and challenges for inflation modelling," International Journal of Forecasting, Elsevier, vol. 39(1), pages 519-539.
  64. Cem Çakmakli & Selva Demi̇ralp & Gökhan Şahi̇n Güneş, 2024. "Do Financial Markets Respond to Populist Rhetoric?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 541-567, June.
  65. Bobeica, Elena & Hartwig, Benny, 2021. "The COVID-19 shock and challenges for time series models," Working Paper Series 2558, European Central Bank.
  66. Markus Brunnermeier & Darius Palia & Karthik A. Sastry & Christopher A. Sims, 2021. "Feedbacks: Financial Markets and Economic Activity," American Economic Review, American Economic Association, vol. 111(6), pages 1845-1879, June.
  67. Angelini, Giovanni & Gorgi, Paolo, 2018. "DSGE Models with observation-driven time-varying volatility," Economics Letters, Elsevier, vol. 171(C), pages 169-171.
  68. Siddhartha Chib & Srikanth Ramamurthy, 2014. "DSGE Models with Student- t Errors," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 152-171, June.
  69. Chen, Ji & Yang, Xinglin & Liu, Xiliang, 2022. "Learning, disagreement and inflation forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  70. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhuang, Xin-Tian, 2019. "Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles," Chaos, Solitons & Fractals, Elsevier, vol. 121(C), pages 129-136.
  71. repec:diw:diwwpp:dp1636 is not listed on IDEAS
  72. Helmut Herwartz & Alexander Lange & Simone Maxand, 2022. "Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 668-693, April.
  73. Yoshihiro Ohtsuka, 2018. "Large Shocks and the Business Cycle: The Effect of Outlier Adjustments," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 143-178, April.
  74. Chetan Dave & Marco M. Sorge, 2025. "Fat‐tailed DSGE models: A survey and new results," Journal of Economic Surveys, Wiley Blackwell, vol. 39(1), pages 146-171, February.
  75. Koloch, Grzegorz, 2016. "Plausibility of big shocks within a linear state space setting with skewness," MPRA Paper 69001, University Library of Munich, Germany.
  76. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
  77. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DGSE and Agent-Based Models Redux," Working Papers hal-03459348, HAL.
  78. Lindé, J. & Smets, F. & Wouters, R., 2016. "Challenges for Central Banks’ Macro Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2185-2262, Elsevier.
  79. Chetan Dave & Marco Sorge, 2020. "Equilibrium Indeterminacy and Extreme Outcomes: A Fat Sunspot Ta(i)l(e)," Working Papers 2020-12, University of Alberta, Department of Economics.
  80. Sascha A. Keweloh & Mathias Klein & Jan Pruser, 2023. "Estimating Fiscal Multipliers by Combining Statistical Identification with Potentially Endogenous Proxies," Papers 2302.13066, arXiv.org, revised Aug 2025.
  81. Ferrentino, Rosa & Vota, Luca, 2024. "The development planning of the Italian Mezzogiorno: A statistical-mathematical analysis by a Real Business Cycle model," Socio-Economic Planning Sciences, Elsevier, vol. 96(C).
  82. Franziska Bremus & Thomas Krause & Felix Noth, 2017. "Bank-Specific Shocks and House Price Growth in the U.S," Discussion Papers of DIW Berlin 1636, DIW Berlin, German Institute for Economic Research.
  83. Marco Del Negro & Giorgio E. Primiceri, 2015. "Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1342-1345.
  84. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2014. "Fat-tails in VAR Models," Working Papers 714, Queen Mary University of London, School of Economics and Finance.
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