Dario Caldara, Haroon Mumtaz, Molin Zhong
arXiv 6 Aug 2026 · Econometrics
arXiv:2608.05676 · PDF · Extracted main text
We characterize asymmetric tail risk across over one hundred U.S. macroeconomic and financial variables using a dynamic factor model with stochastic volatility. A single mechanism unifies growth-at-risk, inflation-at-risk, and sectoral risk heterogeneity: common factors and their volatilities move together, while heterogeneous loadings transmit the resulting asymmetry unevenly across variables. We find that asymmetric tail risk is pervasive but heterogeneous. The heterogeneity is systematic: factor exposures, especially to financial conditions and inflation, explain over half of the cross-sectional variation in tail asymmetry across variables. These exposures determine where in the economy vulnerabilities concentrate and how the balance of tail risks shifts over time.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Tobias Adrian and Nina Boyarchenko and Domenico Giannone Vulnerable Growth | 1.000 | 7 | 4 | 100% |
| 2 | J.H. Stock and M.W. Watson (2016) Chapter 8 - Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconom… | 0.928 | 4 | 3 | 100% |
| 3 | Jurado, K. and Ludvigson, S. and Ng, S (2015) Measuring Uncertainty | 0.874 | 6 | 2 | 100% |
| 4 | Guerrieri, Veronica and Lorenzoni, Guido (2017) Credit crises, precautionary savings, and the liquidity trap | 0.843 | 3 | 3 | 100% |
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| 6 | Black, Fischer (1976) Studies of Stock Market Volatility Changes | 0.644 | 2 | 2 | 100% |
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| 8 | Christie, Andrew A (1982) The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects | 0.644 | 2 | 2 | 100% |
| 9 | Sydney C. Ludvigson and Sai Ma and Serena Ng (2021) Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? | 0.644 | 2 | 2 | 100% |
| 10 | Markus K. Brunnermeier and Yuliy Sannikov A Macroeconomic Model with a Financial Sector | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 46 scored citations.