Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 6, 2022 erstellt
Description:
Real GDP and industrial production in the US feature substantial tail risk. While this fact is well documented, several questions remain unanswered. Is this asymmetry driven by a specific structural shock? No. We show that the 10th percentile of the predictive growth distributions responds about three times more than the median to \emph{both} monetary policy and financial shocks. What mechanism can generate this asymmetry in the data? We discuss nonlinear VAR models and a nonlinear equilibrium model that are capable of matching our empirical findings. Furthermore, we provide empirical evidence that allows us to differentiate between two competing theories