Macroeconomic tail risk and financial intermediation stress
Christophe M. Boucher – Université de Lorraine & Catherine Lubochinsky – Université Paris-2
& Bertrand B. Maillet – Université La Reunion et Orleans

We examine the “tail risk” of macroeconomic fluctuations, i.e. low probability events with disastrous economic consequences. We estimate Value-at-Risk of macroeconomic fluctuations using quantile regressions while considering various financial stress indicators. We find that the shape of the distribution of real activity evolves over time, in relation with financial intermediation stress, and not only in its location and dispersion.

Christophe Boucher

Pr. Christophe Boucher is an Agrégé Professor in Economics and Finance at the University of Lorraine since 2012. He has published several comments in newspapers and articles in academic journals such as Economics Letters and the Journal of Banking and Finance. His interest mainly concerns predictability of returns and volatility, asset pricing and macroeconomics. He received the “Young Economist Award” in 2006 from the European Economic Association (EEA) and the “Young Researcher in Economics Prize” from the Banque de France Foundation in 2010. To know more…


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