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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Rhee, Wooheon & Rich, Robert W., 1995. "Inflation and the asymmetric effects of money on output fluctuations," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 683-702.
- Karras, Georgios, 1996. "Are the Output Effects of Monetary Policy Asymmetric? Evidence from a Sample of European Countries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(2), pages 267-78, May.
- Koenker, Roger & Park, Beum J., 1996. "An interior point algorithm for nonlinear quantile regression," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 265-283.
- Donald P. Morgan, 1993. "Asymmetric effects of monetary policy," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 21-33.
- Cover, James Peery, 1992. "Asymmetric Effects of Positive and Negative Money-Supply Shocks," The Quarterly Journal of Economics, MIT Press, vol. 107(4), pages 1261-82, November.
- Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
- Randall E. Parker & Phillip Rothman & Original: August 2000. This version: June 2003., .
"An Examination of the Asymmetric Effects of Money Supply Shocks in the Pre-World War I and Interwar Periods,"
0011, East Carolina University, Department of Economics.
- Randall E. Parker & Philip Rothman, 2004. "An Examination of the Asymmetric Effects of Money Supply Shocks in the Pre--World War I and Interwar Periods," Economic Inquiry, Western Economic Association International, vol. 42(1), pages 88-100, January.
- Randall E. Parker & Phillip Rothman & Original: August 2000. This version: June 2003., . "An Examination of the Asymmetric Effects of Money Supply Shocks in the Pre-World War I and Interwar Periods," Working Papers 0302, East Carolina University, Department of Economics.
- Sokbae 'Simon' Lee, 2004.
"Endogeneity in quantile regression models: a control function approach,"
CeMMAP working papers
CWP08/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Lee, Sokbae, 2007. "Endogeneity in quantile regression models: A control function approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 1131-1158, December.
- Sokbae Lee, 2004. "Endogeneity in Quantile Regression Models: A Control Function Approach," Econometric Society 2004 North American Summer Meetings 521, Econometric Society.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Zernov, Serguei & Zinde-Walsh, Victoria & Galbraith, John W., 2009. "Asymptotics for estimation of quantile regressions with truncated infinite-dimensional processes," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 497-508, March.
- Victor Chernozhukov & Christian Hansen, 2005. "An IV Model of Quantile Treatment Effects," Econometrica, Econometric Society, vol. 73(1), pages 245-261, 01.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dmitriy Kvasov).
If references are entirely missing, you can add them using this form.