What drives macroeconomic tail risk? To answer this question, we borrow a definition of macroeconomic risk from Adrian … (Jordà , 2005) to assess how this measure of risk moves in response to economic shocks to the level of technology, monetary … contractionary shocks disproportionately increase downside risk, independently of what shock we look at …

growth and real exchange rate changes, a key measure of international risk-sharing …

Real GDP and industrial production in the US feature substantial tail risk. While this fact is well documented, several …