Reassessing the dependence between economic growth and financial conditions since 1973

Vol: 
30/2022
Author name: 
Chernis T
Coe PJ
Vahey SP
Year: 
2022
Month: 
April
Abstract: 

Adrian, Boyarchenko and Giannone (2019, ABG) adapt Quantile Regression (QR) methods to examine the relationship between U.S. economic growth and financial conditions. We confirm their empirical findings, using their methodology and their pre-2016 sample. Mindful of the importance of the Covid-19 pandemic, we extend the sample to 2021:3 and find attenuation of the key estimated coefficients using ABG’s empirical methods. Given the pandemic observations, we provide robust QR analysis of dependence based on ranked data, and explain the relationship with extant copula modelling methods.

Publication file: 

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