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Vulnerable Growth
DOI:10.1257/aer.20161923.png)
摘要
En 中文
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 (pantiles of GDP growth to vary with, financial conditions and the upper (pantiles' to he 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. (JEL C53, E23, E27, E32, E44)
Keyword:
RARE DISASTERS
TIME-SERIES
OUTPUT
MODEL
DISTRIBUTIONS
REGRESSION
INFLATION
RISK
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期刊
IF:
11.6
论文数:
5.0K
被引数:
7.5W
机构
引用论文
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A NEW APPROACH TO THE ECONOMIC-ANALYSIS OF NONSTATIONARY TIME-SERIES AND THE BUSINESS-CYCLE一种非平稳时间序列和商业周期经济分析的新方法
ECONOMETRICA
IF7.1

