Modeling Quantile Dependence: A New Look at the Money-Output Relationship
AbstractDo 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.
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Bibliographic InfoPaper provided by University of Adelaide, School of Economics in its series School of Economics Working Papers with number 2009-34.
Length: 51 pages
Date of creation: 2009
Date of revision:
monetary policy; output growth; quantile regression; quantile dependence; series estimation.;
Find related papers by JEL classification:
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
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