Natural disasters as macroeconomic tail risks

Sulkhan Chavleishvili, Emanuel Moench*

*Corresponding author af dette arbejde

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

Abstract

We introduce quantile and moment impulse response functions for structural quantile vector autoregressive models. We use them to study how climate-related natural disasters affect the predictive distribution of output growth and inflation. Disasters strongly shift the forecast distribution particularly in the tails. They result in an initial sharp increase of the downside risk for growth, followed by a temporary rebound. Upside risk to inflation increases markedly for a few months and then subsides. As a result, natural disasters have a persistent impact on the conditional variance and skewness of macroeconomic aggregates which standard linear models estimating conditional mean dynamics fail to match. We perform a scenario analysis to evaluate the hypothetical effects of more frequent large disasters on the macroeconomy due to increased atmospheric carbon concentration. Our results indicate a substantially higher conditional volatility of growth and inflation as well as increased upside risk to inflation particularly in a scenario where only currently pledged climate policies are implemented.

OriginalsprogEngelsk
Artikelnummer105914
TidsskriftJournal of Econometrics
Vol/bind247
ISSN0304-4076
DOI
StatusUdgivet - jan. 2025

Fingeraftryk

Dyk ned i forskningsemnerne om 'Natural disasters as macroeconomic tail risks'. Sammen danner de et unikt fingeraftryk.

Citationsformater