Vulnerable Growth

• 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
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20161923
• 发表日期: 2019
• 页码: 1263-1289
• 关键词: rare disasters; time-series; output; MODEL; distributions; regression; inflation; RISK

摘要

We study the conditional distribution of GDP growth as a function of economic and financial conditions. Deteriorating financial conditions are associated with an increase in the conditional volatility and a decline in the conditional mean of GDP growth, leading the lower (pantiles of GDP growth to vary with, financial conditions and the upper (pantiles' to he stable over time. Upside risks to GDP growth are low in most periods while downside risks increase as financial conditions become tighter. We argue that amplification mechanisms in the financial sector generate the observed growth vulnerability dynamics. (JEL C53, E23, E27, E32, E44)