Vulnerable growth

Tobias Adrian, Nina Boyarchenko and Domenico Giannone

No 794, Staff Reports from Federal Reserve Bank of New York

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.

Keywords: entropy; quantile regressions; Downside risk (search for similar items in EconPapers)
JEL-codes: C22 E17 E37 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2016-09-29
New Economics Papers: this item is included in nep-for and nep-mac
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Citations: View citations in EconPapers (44)

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Related works:
Journal Article: Vulnerable Growth (2019)
Working Paper: Vulnerable Growth (2018)
Working Paper: Vulnerable Growth (2017)
Working Paper: Vulnerable Growth (2016)
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