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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
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    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

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