MULTIMODALITY IN MACROFINANCIAL DYNAMICS

• 成果类型: Article
• 署名作者: Adrian, Tobias; Boyarchenko, Nina; Giannone, Domenico
• 署名单位: International Monetary Fund; Federal Reserve System - USA; Federal Reserve Bank - New York; Amazon.com; Center for Economic & Policy Research (CEPR)
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12501
• 发表日期: 2021
• 页码: 861-886
• 关键词: model

摘要

We estimate the evolution of the conditional joint distribution of economic and financial conditions. Although the joint distribution is approximately Gaussian during normal periods, sharp tightenings of financial conditions lead to the emergence of additional modes. The U.S. economy has historically resolved quickly to the good mode, but we conjecture that poor policy choices could lead to prolonged periods of multimodality. We argue that multimodality arises naturally in a macrofinancial intermediary model with occasionally binding financial constraints.