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Assessing Macroeconomic Tail Risk

Citations

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Cited by:

  1. Chen, Guojin & Liu, Yanzhen & Zhang, Yu, 2020. "Can systemic risk measures predict economic shocks? Evidence from China," China Economic Review, Elsevier, vol. 64(C).
  2. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2024. "Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(5), pages 1099-1127, August.
  3. Òscar Jordà & Martin Kornejew & Moritz Schularick & Alan M Taylor, 2022. "Zombies at Large? Corporate Debt Overhang and the Macroeconomy," The Review of Financial Studies, Society for Financial Studies, vol. 35(10), pages 4561-4586.
  4. Artemova, Mariia, 2025. "An order-invariant score-driven dynamic factor model," Journal of Econometrics, Elsevier, vol. 251(C).
  5. Luke Hartigan & Michelle Wright, 2021. "Financial Conditions and Downside Risk to Economic Activity in Australia," RBA Research Discussion Papers rdp2021-03, Reserve Bank of Australia.
  6. Marc Schmitt, 2026. "Algorithmic Monitoring: Measuring Market Stress with Machine Learning," Papers 2602.07066, arXiv.org.
  7. Hyejin Yang & Jin Lee, 2025. "Response of tail risks of Euro-dollar exchange rate to monetary policy shocks in the US and the Euro area using penalized local projections," SN Business & Economics, Springer, vol. 5(6), pages 1-21, June.
  8. Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2021. "Expecting the unexpected: economic growth under stress," Working Papers 202106, University of California at Riverside, Department of Economics.
  9. De Santis, Roberto A. & Van der Veken, Wouter, 2020. "Forecasting macroeconomic risk in real time: Great and Covid-19 Recessions," Working Paper Series 2436, European Central Bank.
  10. Deng, Chuang & Wu, Jian, 2023. "Macroeconomic downside risk and the effect of monetary policy," Finance Research Letters, Elsevier, vol. 54(C).
  11. Chuliá, Helena & Garrón, Ignacio & Uribe, Jorge M., 2024. "Vulnerable funding in the global economy," Journal of Banking & Finance, Elsevier, vol. 169(C).
  12. Wang, Bo & Li, Haoran, 2021. "Downside risk, financial conditions and systemic risk in China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  13. De Polis, Andrea & Fernández-Gallardo, Álvaro & Rosas, José Nicolás, 2026. "Oil supply shocks and inflation tail risks," Economics Letters, Elsevier, vol. 267(C).
  14. Korobilis, Dimitris & Schröder, Maximilian, 2025. "Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach," Journal of Econometrics, Elsevier, vol. 249(PC).
  15. Eraslan, Sercan & Schröder, Maximilian, 2023. "Nowcasting GDP with a pool of factor models and a fast estimation algorithm," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1460-1476.
  16. Gabriel Pino & Jose Barrales-Ruiz, 2026. "Heterogeneous impact of consumer confidence on US aggregate consumption over the business cycle," Empirical Economics, Springer, vol. 70(1), pages 1-15, January.
  17. Luciano de Castro & Antonio Galvao & David Hong, 2026. "A DSGE Model of Downside Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 61, August.
  18. Boni, Sara & Iseringhausen, Martin & Petrella, Ivan & Theodoridis, Konstantinos, 2026. "A survey-based measure of asymmetric macroeconomic risk in the euro area," European Economic Review, Elsevier, vol. 188(C).
  19. Schüler, Yves S., 2020. "The impact of uncertainty and certainty shocks," Discussion Papers 14/2020, Deutsche Bundesbank.
  20. Fabio Anobile & Francesco Frangiamore & Marco Maria Matarrese & Jamel Saadaoui, 2025. "Investment-at-Risk of Geopolitical Tensions," Working Papers 2025.19, International Network for Economic Research - INFER.
  21. Shengliang Ou & Donghai Zhang, 2025. "Quantifying the Federal Reserve's objectives using a structural vector autoregressive model," Economica, London School of Economics and Political Science, vol. 92(366), pages 351-367, April.
  22. Beutel, Johannes & Emter, Lorenz & Metiu, Norbert & Prieto, Esteban & Schüler, Yves, 2025. "The global financial cycle and macroeconomic tail risks," Journal of International Money and Finance, Elsevier, vol. 156(C).
  23. Chua, Yeow Hwee & Hong, Zu Yao, 2026. "Tail risk and expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 242(C).
  24. Carboni, Giacomo & Fonseca, Luís & Fornari, Fabio & Urrutia, Leonardo, 2026. "Structural drivers of growth at risk: insights from a VAR-quantile regression approach," Working Paper Series 3171, European Central Bank.
  25. Moritz Schularick, 2021. "Corporate indebtedness and macroeconomic stabilisation from a long-term perspective," ECONtribute Policy Brief Series 024, University of Bonn and University of Cologne, Germany.
  26. Michal Franta & Jan Libich, 2024. "Holding the economy by the tail: analysis of short- and long-run macroeconomic risks," Empirical Economics, Springer, vol. 66(4), pages 1443-1489, April.
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