Microeconomic Origins of Macroeconomic Tail Risks
通过多部门一般均衡模型，研究微观冲击和行业异质性如何导致经济大幅下滑的概率偏离正态分布，并揭示投入产出联系在尾部联动中的特殊作用。
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.