arXiv 22 Sep 2026 · Econometrics
arXiv:2609.26994 · PDF · Extracted main text
The tails of macroeconomic outcomes can respond differently from the centre of their distribution: shocks with modest effects on median growth or inflation can shift downside growth or upside inflation risk. We develop a threshold stochastic-volatility-in-mean VAR with regime-dependent leverage to study their structural drivers. The model allows endogenous interactions between outcomes and volatility, contemporaneous level-volatility dependence, and regime-specific propagation. In nearly 150 years of U.S. data, predictive model selection supports three inflation-defined regimes. We identify business-cycle, financial, macroeconomic-uncertainty, and financial-uncertainty shocks and decompose their contributions to growth- and inflation-at-risk. The structural composition of tail risk differs from that of the predictive median. Business-cycle shocks dominate the median response of GNP growth but account for a substantially smaller share of growth-at-risk. Macroeconomic uncertainty makes a material contribution to both growth- and inflation-at-risk, with its share of growth-at-risk increasing with the magnitude of a positive macroeconomic-uncertainty impulse, despite its limited role at the median. In high-inflation states, the contribution of financial uncertainty to inflation-at-risk rises with the magnitude of positive financial-uncertainty impulses.
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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 | |
|---|---|---|---|---|---|
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| 3 | Barnard, J., R. McCulloch, and X.-L. Meng (2000) Modeling Covariance Matrices in Terms of Standard Deviations and Correlations, with Application to Shrinkage | 0.644 | 4 | 2 | 50% |
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| 10 | Alessandri, P. and H. Mumtaz (2019) Financial Regimes and Uncertainty Shocks | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 33 scored citations.