• Corpus ID: 239015908

The elastic origins of tail asymmetry

@inproceedings{Nakano2021TheEO,
  title={The elastic origins of tail asymmetry},
  author={Satoshi Nakano and Kazuhiko Nishimura},
  year={2021}
}
Based on a multisector general equilibrium framework, we show that the sectoral elasticity of substitution plays the key role in the evolution of robustness and the asymmetric tails in the aggregate macroeconomic fluctuations. Non-unitary elasticity of substitution of the production networks renders a nonlinear Domar aggregation where normal sectoral productivity shocks translates into a non-normal aggregated shocks. We estimate 100 sectoral elasticities of substitution, using the time-series… 

Figures and Tables from this paper

References

SHOWING 1-10 OF 26 REFERENCES
Microeconomic Origins of Macroeconomic Tail Risks
We document that even though the normal distribution provides a good approximation to GDP fluctuations, it severely underpredicts "macroeconomic tail risks," that is, the frequency of large economic
Microeconomic Origins of Macroeconomic Tail Risks
We document that even though the normal distribution provides a good approximation to GDP fluctuations, it severely underpredicts “macroeconomic tail risks,” that is, the frequency of large economic
The Macroeconomic Impact of Microeconomic Shocks: Beyond Hulten's Theorem
We provide a nonlinear characterization of the macroeconomic impact of microeconomic TFP shocks in terms of reduced-form non-parametric elasticities for efficient economies. We also provide the
Sectoral Shocks and Aggregate Fluctuations
This paper presents a multisector dynamic general equilibrium model of business cycles with a distinctive feature: aggregate fluctuations are driven by independent sectoral shocks. The model
The Granular Origins of Aggregate Fluctuations
This paper proposes that idiosyncratic firm-level fluctuations can explain an important part of aggregate shocks, and provide a microfoundation for aggregate productivity shocks. Existing research
The Network Origins of Aggregate Fluctuations
This paper argues that in the presence of intersectoral input-output linkages, microeconomic idiosyncratic shocks may lead to aggregate fluctuations. In particular, it shows that, as the economy
The Network Origins of Aggregate Fluctuations
This paper argues that in the presence of intersectoral input-output linkages, microeconomic idiosyncratic shocks may lead to aggregate fluctuations. In particular, it shows that, as the economy
How Important are Sectoral Shocks
I quantify the contribution of sectoral shocks to business cycle fluctuations in aggregate output. I develop a multi-industry general equilibrium model in which each industry employs the material and
Aggregation and irrelevance in multi-sector models
Abstract This paper studies the ability of input–output relationships to generate fluctuations in aggregate output in several multi-sector models, including that of Long and Plosser (1983) . In these
Cyclicality and Sectoral Linkages: Aggregate Fluctuations from Independent Sectoral Shocks
The traditional argument against the relevance of sector-specific shocks for the aggregate phenomenon of business cycles invokes the law of large numbers: positive shocks in some sectors are offset
...
1
2
3
...