Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/298470 
Year of Publication: 
2023
Series/Report no.: 
Working Paper No. 3/2023
Publisher: 
Norges Bank, Oslo
Abstract: 
Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast distributions of output and inflation. Since the variance and the asymmetry of the forecast distributions are largely driven by the left tail, financial shocks turn out to play a prominent role for distribution dynamics. Monetary policy shocks also play a role in shaping risk, although its effects are smaller than those of financial shocks. These findings are obtained using a novel econometric approach which combines quantile regressions and Structural VARs.
Subjects: 
Tail Risk
Uncertainty
Skewness
Forecast Distribution
SVAR
Financial shocks
Monetary Policy Shocks
Quantile Regressions
JEL: 
C32
E32
Persistent Identifier of the first edition: 
ISBN: 
978-82-8379-264-5
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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