Modeling Quantile Dependence: A New Look at the Money-Output Relationship

Nicholas Sim

No 2009-34, School of Economics and Public Policy Working Papers from University of Adelaide, School of Economics and Public Policy

Abstract: Do money supply shocks influence output growth asymmetrically? At different levels of output growth, would the influence of the same monetary policy stance vary? To address these questions, we propose a series-estimation method that models the quantile of output growth on the quantile of money supply shock, where restrictive (expansive) policies are represented by the left (right) tail of the shockÂ’s distribution. Generally, we find that each quantile of output growth responds more to restrictive than expansive money supply shocks. For M2 money supply, both restrictive and expansive shocks become even more effective when applied to output growth in its tails.

Keywords: monetary policy; output growth; quantile regression; quantile dependence; series estimation. (search for similar items in EconPapers)
JEL-codes: C50 E50 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:adl:wpaper:2009-34

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