Microeconomic Origins of Macroeconomic Tail Risks
Microeconomic Origins of Macroeconomic Tail Risks
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DOI：
10.1257/aer.20151086
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发表时间：
2017-01-01
影响因子：
10.7
通讯作者：
Tahbaz-Salehi, Alireza
中科院分区：
文献类型：
--
作者：
Acemoglu, Daron;Ozdaglar, Asuman;Tahbaz-Salehi, Alireza
使用多部门一般均衡模型，我们表明，特殊的微观经济冲击和部门异质性的相互作用，导致相对于正态分布所隐含的可能性，出现大规模经济衰退的可能性出现系统性背离。即使GDP波动大致呈正态分布远离尾部，也可能出现这样的背离，这突显了大规模经济衰退与常规商业周期波动的不同性质。我们进一步证明了投入产出联系在产生尾部效应方面的特殊作用，即大规模衰退不仅涉及GDP的显著收缩，而且还涉及广泛行业的大规模同步下滑。
Using a multisector general equilibrium model, we show that the interplay of idiosyncratic microeconomic shocks and sectoral heterogeneity results in systematic departures in the likelihood of large economic downturns relative to what is implied by the normal distribution. Such departures can emerge even though GDP fluctuations are approximately normally distributed away from the tails, highlighting the different nature of large economic downturns from regular business-cycle fluctuations. We further demonstrate the special role of input-output linkages in generating tail comovements, whereby large recessions involve not only significant GDP contractions, but also large simultaneous declines across a wide range of industries.