Replication data for: Vulnerable Growth

Name: Replication data for: Vulnerable Growth
Published: 2019-04-01
License: This work is licensed under an Other license created by the data depositor. Please refer to the LICENSE file, which should be located alongside the project data and documentation.
Keywords: Statistical

Principal Investigator(s): View help for Principal Investigator(s) Tobias Adrian; Nina Boyarchenko; Domenico Giannone

Version: View help for Version V1

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skt_cumulants.m	text/plain	4.6 KB	10/12/2019 02:52:AM

Project Description

Summary: 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.

Scope of Project

Subject Terms: Statistical

JEL Classification:
      C53 Forecasting Models; Simulation Methods
      E23 Macroeconomics: Production
      E27 Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
      E32 Business Fluctuations; Cycles
      E44 Financial Markets and the Macroeconomy

Geographic Coverage: United States

Universe: Real GDP growth and ficial conditions for the U.S.

Data Type(s): aggregate data

Methodology

Data Source: St. Louis FRED

Related Publications

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Published Versions

V1 [2019-10-12]

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DDI 2.5

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