Authors: Tobias Adrian, Nina Boyarchenko, and Domenico Giannone
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Staff Reports
Multimodality in Macro-Financial Dynamics
Number 903
November 2019 Revised December 2020
November 2019 Revised December 2020
JEL classification: C14, E17, E37, G01
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.
Author Disclosure Statement(s)
Tobias Adrian
I declare that I have no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Nina Boyarchenko
I declare that I have no relevant or material financial interests that relate to the research described in this paper.
Domenico Giannone
I declare that I have no relevant or material financial interests that relate to the research described in this paper.
I declare that I have no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Nina Boyarchenko
I declare that I have no relevant or material financial interests that relate to the research described in this paper.
Domenico Giannone
I declare that I have no relevant or material financial interests that relate to the research described in this paper.
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