Reassessing the dependence between economic growth and financial conditions since 1973

Tony Chernis, Patrick Coe and Shaun Vahey

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

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.

Keywords: Vulnerable Growth; Quantile Regression; Copula Modelling (search for similar items in EconPapers)
Pages: 18 pages
Date: 2022-04
New Economics Papers: this item is included in nep-fdg
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Reassessing the dependence between economic growth and financial conditions since 1973 (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2022-30

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