Vulnerable Growth

被引：323

作者：

Adrian, Tobias ^{[1
]}

Boyarchenko, Nina ^{[2
]}

Giannone, Domenico ^{[2
]}

机构：

[1] Int Monetary Fund, 700 19th St NW, Washington, DC 20431 USA

[2] Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA

来源：

AMERICAN ECONOMIC REVIEW | 2019年 / 109卷 / 04期

关键词：

RARE DISASTERS; TIME-SERIES; OUTPUT; MODEL; DISTRIBUTIONS; REGRESSION; INFLATION; RISK;

D O I：

10.1257/aer.20161923

中图分类号：

F [经济];

学科分类号：

02 ;

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)

引用

页码：1263 / 1289

页数：27

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