Federal Reserve Bank of New York
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 quantiles of GDP growth to vary with financial conditions and the upper quantiles to be 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.
Cite this item
Tobias Adrian & Nina Boyarchenko & Domenico Giannone, Vulnerable growth, Federal Reserve Bank of New York, Staff Reports 794, 29 Sep 2016, revised 01 Nov 2017.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
Keywords: Downside risk; entropy; quantile regressions
This item with handle RePEc:fip:fednsr:794
is also listed on EconPapers
For corrections, contact Amy Farber ()