Multimodality in Macro-Financial Dynamics

Nina Boyarchenko, Tobias Adrian and Domenico Giannone

No 15088, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We estimate the evolution of the conditional joint distribution of economic and financial conditions. While 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 macro-financial intermediary model with occasionally binding intermediary constraints.

Date: 2020-07
New Economics Papers: this item is included in nep-cwa, nep-fdg and nep-mac
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: MULTIMODALITY IN MACROFINANCIAL DYNAMICS (2021)
Working Paper: Multimodality in Macro-Financial Dynamics (2019)
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