Multimodality in Macro-Financial Dynamics

Tobias Adrian, Nina Boyarchenko and Domenico Giannone

No 903, Staff Reports from Federal Reserve Bank of New York

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.

Keywords: nonparametric density estimator; density impulse response; multimodality (search for similar items in EconPapers)
JEL-codes: C14 E17 E37 G01 (search for similar items in EconPapers)
Pages: 52 pages
Date: 2019-11-01
New Economics Papers: this item is included in nep-ecm, nep-fdg, nep-mac and nep-opm
Note: Revised December 2020.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr903.pdf Full text (application/pdf)
https://www.newyorkfed.org/research/staff_reports/sr903.html Summary (text/html)

Related works:
Journal Article: MULTIMODALITY IN MACROFINANCIAL DYNAMICS (2021)
Working Paper: Multimodality in Macro-Financial Dynamics (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fednsr:903

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Staff Reports from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Gabriella Bucciarelli ().