IDEAS home Printed from https://ideas.repec.org/a/cai/recosp/reco_pr2_0045.html
   My bibliography  Save this article

La macroéconomie-en-risque

Author

Listed:
  • Christophe Boucher
  • Bertrand Maillet

Abstract

We propose to gauge the macroeconomic extreme risks from a measure so far dedicated to financial risk : the VaR. We dynamically evaluate, based on quantile regressions, extreme risks of the real economic activity. Using monthly time series of the us economy over the 1975M3-2012M7 period, our results suggest that financial intermediation stress indicators impact the risk of economic disaster that captures the possibility of a very large recession. Classification JEL : C31, C53, E3, G2

Suggested Citation

  • Christophe Boucher & Bertrand Maillet, 2015. "La macroéconomie-en-risque," Revue économique, Presses de Sciences-Po, vol. 66(4), pages 769-782.
    • Handle: RePEc:cai:recosp:reco_pr2_0045
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=RECO_PR2_0045
    Download Restriction: free
    File URL: http://www.cairn.info/revue-economique-2015-4-page-769.htm
    Download Restriction: free
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chiu, Ching-Wai (Jeremy) & Hacioglu Hoke, Sinem, 2016. "Macroeconomic tail events with non-linear Bayesian VARs," Bank of England working papers 611, Bank of England.

    More about this item

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • G2 - Financial Economics - - Financial Institutions and Services

    Statistics

    Access and download statistics

    Corrections

    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:cai:recosp:reco_pr2_0045. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Jean-Baptiste de Vathaire (email available below). General contact details of provider: https://www.cairn.info/revue-economique.htm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.