Quantile Impulse Response Analysis with Applications in Macroeconomics and Finance

Whayoung Jung and Ji Hyung Lee

A chapter in Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, 2023, vol. 45B, pp 99-131 from Emerald Group Publishing Limited

Abstract: This chapter studies the dynamic responses of the conditional quantiles and their applications in macroeconomics and finance. The authors build a multi-equation autoregressive conditional quantile model and propose a new construction of quantile impulse response functions (QIRFs). The tool set of QIRFs provides detailed distributional evolution of an outcome variable to economic shocks. The authors show the left tail of economic activity is the most responsive to monetary policy and financial shocks. The impacts of the shocks onGrowth-at-Risk(the 5% quantile of economic activity) during the Global Financial Crisis are assessed. The authors also examine how the economy responds to a hypothetical financial distress scenario.

Keywords: Quantile impulse response; growth-at-risk; monetary policy; financial shocks; downside risk; quantile regressions; C22 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-90532023000045b004

DOI: 10.1108/S0731-90532023000045B004

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