Growth-at-Risk Is Investment-at-Risk
研究发现美国增长风险主要源于投资下降，消费仅在极端金融压力下起作用，政府支出和净出口无影响，杠杆是关键驱动因素，支持金融加速器理论。
Abstract We investigate the role financial conditions play in the composition of U.S. growth-at-risk. We document that, by a wide margin, growth-at-risk is investment-at-risk. That is, if financial conditions indicate U.S. real GDP growth will be in the lower tail of its conditional distribution, we know that quantitatively, the main contributor is a decline in investment. Consumption contributes under extreme financial stress. Government spending and net exports do not play a role. We show that leverage plays a key role in determining both consumption- and investment-at-risk, which provides support to the financial accelerator mechanism proposed by Bernanke et al. (1999).