Vulnerable Growth

Tobias Adrian, Nina Boyarchenko and Domenico Giannone

American Economic Review, 2019, vol. 109, issue 4, 1263-89

Abstract: 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.

JEL-codes: C53 E23 E27 E32 E44 (search for similar items in EconPapers)
Date: 2019
Note: DOI: 10.1257/aer.20161923
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Citations: View citations in EconPapers (136)

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Related works:
Working Paper: Vulnerable Growth (2018)
Working Paper: Vulnerable Growth (2017)
Working Paper: Vulnerable Growth (2016)
Working Paper: Vulnerable growth (2016)
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