{"id":10558,"date":"2024-05-27T14:43:03","date_gmt":"2024-05-27T12:43:03","guid":{"rendered":"https:\/\/www.uni.lu\/fdef-en\/?post_type=news&p=10558"},"modified":"2024-08-08T11:03:28","modified_gmt":"2024-08-08T09:03:28","slug":"measuring-macroeconomic-tail-risk","status":"publish","type":"news","link":"https:\/\/www.uni.lu\/fdef-en\/news\/measuring-macroeconomic-tail-risk\/","title":{"rendered":"Measuring macroeconomic tail risk"},"content":{"rendered":"\n
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Dr. Julien P\u00e9nasse<\/a>, Associate Professor in Banking and Corporate Finance, within the Department of Finance at the Faculty of Law, Economics and Finance has recently published an article entitled \u201cMeasuring macroeconomic tail risk\u201d in the well known Journal of Financial Economics.<\/p>\n\n\n\n

Co-authored with Roberto Marf\u00e8 from the Univeristy of Turin, the paper deals with the dynamics of consumption and GDP tail risks spanning over a century, estimating these dynamics from 1900 to 2020 across 42 countries.<\/p>\n\n\n\n

The 2 authors advance a method to measure long-term macroeconomic tail risk, capturing predictable variations in consumption growth without depending on structural suppositions or asset pricing data. <\/p>\n\n\n\n

This approach uses different predictive variables to measure country crisis probabilities, aligning with economic and political distress periods. Calibrating a rare disaster model with these appraisals produces a high and volatile equity premium, supporting previous models. This framework can also expand to other economic measures and help connect macroeconomic aggregates with asset prices, warranting further research.<\/p>\n\n\n\n