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Reassessing the dependence between economic growth and financial conditions since 1973
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Chernis, Tony, Coe, Patrick J. and Vahey, Shaun P. (2023) Reassessing the dependence between economic growth and financial conditions since 1973. Journal of Applied Econometrics, 38 (2). pp. 260-267. doi:10.1002/jae.2937
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Official URL: http://dx.doi.org/10.1002/jae.2937
Abstract
Adrian, Boyarchenko and Giannone ((2019), ABG) adapt quantile regression (QR) methods to examine the relationship between US 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 2021Q3 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.
Item Type: | Journal Item | ||||||||
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
Journal or Publication Title: | Journal of Applied Econometrics | ||||||||
Publisher: | Wiley-Blackwell Publishing, Inc | ||||||||
ISSN: | 0883-7252 | ||||||||
Official Date: | March 2023 | ||||||||
Dates: |
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Volume: | 38 | ||||||||
Number: | 2 | ||||||||
Number of Pages: | 8 | ||||||||
Page Range: | pp. 260-267 | ||||||||
DOI: | 10.1002/jae.2937 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Reuse Statement (publisher, data, author rights): | This is the peer reviewed version of the following article: Chernis, T., Coe, P. J., & Vahey, S. P. (2022). Reassessing the dependence between economic growth and financial conditions since 1973. Journal of Applied Econometrics, 1- 8. https://doi.org/10.1002/jae.2937, which has been published in final form at https://doi.org/10.1002/jae.2937. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Copyright Holders: | John Wiley & Sons Ltd | ||||||||
Date of first compliant deposit: | 10 October 2022 |
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