Microeconomic Origins of Macroeconomic Tail Risks

• 成果类型: Article
• 署名作者: Acemoglu, Daron; Ozdaglar, Asuman; Tahbaz-Salehi, Alireza
• 署名单位: Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Columbia University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20151086
• 发表日期: 2017
• 页码: 54-108
• 关键词: rare disasters; shocks; diversification; distributions; micro

摘要

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.