Multimodality in macro-financial dynamics

Arbeitspapier

We estimate the evolution of the conditional joint distribution of economic and financial conditions in the United States, documenting a novel empirical fact: while the joint distribution is approximately Gaussian during normal periods, sharp tightenings of financial conditions lead to the emergence of additional modes-that is, multiple economic equilibria. Although the U.S. economy has historically reverted quickly to a "good" equilibrium after a tightening of financial conditions, we conjecture that poor policy choices under these circumstances could also open a pathway to a "bad" equilibrium for a prolonged period. We argue that such multimodality arises naturally in a macro-financial intermediary model with occasionally binding intermediary constraints.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Staff Report ; No. 903

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; General Aggregative Models: Forecasting and Simulation: Models and Applications ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ; Financial Crises
• Thema: density impulse response ; multimodality ; nonparametric density estimator

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Adrian, Tobias ; Boyarchenko, Nina ; Giannone, Domenico
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of New York
• (wo): New York, NY
• (wann): 2019

Weitere Informationen

• Handle: http://hdl.handle.net/10419/210755
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ