Extreme Events in Micro- and Macroeconomic Dynamics: Theory and Empirical Evidence

Abstract

The dynamics of real-world economies are characterized by various types of extreme events, which are typically more relevant than what is predicted by a Gaussian distribution. The talk will present recent evidence about the importance of these extreme events for the dynamics of countries’ GDP and the dynamics of firms and asset prices. It will also show how agent-based models, emphasizing network interactions of heterogeneous agents can be used to explain the emergence of extreme events in various economic domains. These models can also be useful to study which policies can be more appropriate to deal with extreme economic risk and to improve the resilience of real-world economies and markets.