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Quantile Impulse Response Analysis with Applications in Macroeconomics and Finance

In: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications

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  • Whayoung Jung
  • Ji Hyung Lee

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.

Suggested Citation

  • Whayoung Jung & Ji Hyung Lee, 2023. "Quantile Impulse Response Analysis with Applications in Macroeconomics and Finance," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 99-131, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-90532023000045b004
    DOI: 10.1108/S0731-90532023000045B004
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    More about this item

    Keywords

    Quantile impulse response; growth-at-risk; monetary policy; financial shocks; downside risk; quantile regressions; C22;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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