 The role of financial stress in the economic activity: Fresh evidence from a Granger‐causality in quantiles analysis for the UK and GermanyAndisheh Saliminezhad and Pejman Bahramian International Journal of Finance & Economics, 2021, vol. 26, issue 2, 1670-1680 Abstract: This study examines the dynamic causal relationship between financial stress index and economic activity in the UK and Germany for the period from 2003 to 2018. Unlike the previous studies which ignore the consideration of all quantiles of distribution, we employ a Granger causality in quantiles that captures causal links in each quantile of distribution. Hence we are able to disseminate between the causality in the median and the tails of the conditional distribution. Our findings indicate that there is a significant, negative causal relationship running from financial stress to economic activity in both countries. However, the changes in the financial stress level in Germany start influencing the industrial production earlier (when economic activity is at lower levels) than in the UK. Our results highlight the emphasis on the consideration of the entire conditional distribution to avoid the risk of misleading inferences on the causality analysis. Date: 2021 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1670-1680 Ordering information: This journal article can be ordered from Access Statistics for this article International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd. |
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