economically relevant magnitude of about 60 percent. We also find evidence of aversion against political and macroeconomic risk as …

and real shocks, and the credibility component depends on the mean and risk of real asset returns. Thus, observed booms …

This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic … financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard … of out-of sample forecasting power for tail risk realizations of real activity for several countries, suggesting the …