Replication data for: Vulnerable Growth

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

Version:  View help for Version V1

Name File Type Size Last Modified
  FigAlternativeApproaches 10/20/2021 09:47:AM
  FigAlternativeMeasures 10/20/2021 09:47:AM
  FigExploratory 10/20/2021 09:47:AM
  FigInference 10/20/2021 09:47:AM
  FigMainResults 10/20/2021 09:47:AM
  FigOOS 10/20/2021 09:47:AM
  Tatevik 10/20/2021 09:47:AM
  azzalini 10/20/2021 09:47:AM
  cgm 10/20/2021 09:47:AM
  nonpar 10/20/2021 09:47:AM

Project Citation: 

Adrian, Tobias, Boyarchenko, Nina, and Giannone, Domenico. Replication data for: Vulnerable Growth. Nashville, TN: American Economic Association [publisher], 2019. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113169V1

Project Description

Summary:  View help for 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:  View help for Subject Terms Statistical
JEL Classification:  View help for 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:  View help for Geographic Coverage United States
Time Period(s):  View help for Time Period(s) 1/1973 – 3/1973 (Q1 1973)
Universe:  View help for Universe Real GDP growth and ficial conditions for the U.S.
Data Type(s):  View help for Data Type(s) aggregate data

Methodology

Data Source:  View help for Data Source St. Louis FRED

Related Publications

Download this project

Published Versions

V1 [2019-10-12]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.