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NBER WORKING PAPER SERIESSYSTEMIC RISKS AND THE MACROECONOMYGianni De NicolòMarcella LucchettaWorking Paper 16998http://www.nber.org/papers/w16998NATIONAL BUREAU OF ECONOMIC RESEARCH1050 Massachusetts AvenueCambridge, MA 02138April 2011We thank without implications Fabio Canova, David Romer, Ken West, Hao Zhou, Harry Mamayskyand seminar participants at the IMF and at the November 2009 NBER/Fed Cleveland Research Conferenceon “Quantifying Systemic Risk” for comments and suggestions. The views expressed in this paperare those of the authors and do not necessarily represent the views of the International Monetary Fundor the National Bureau of Economic Research.NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies officialNBER publications.© 2011 by Gianni De Nicolò and Marcella Lucchetta. All rights reserved. Short sections of text, notto exceed two paragraphs, may be quoted without explicit permission provided that full credit, including© notice, is given to the source.