IDEAS home Printed from https://ideas.repec.org/a/taf/emetrv/v44y2025i6p696-714.html
   My bibliography  Save this article

The application of multiple-output quantile regression to the US financial cycle

Author

Listed:
  • Michal Franta

Abstract

The paper demonstrates the benefits of multiple-output quantile regression for macroeconomic analysis. The domestic financial cycle, which is characterized by the co-movement of credit and property prices, is a natural subject of such methodology. More precisely, I examine the tails of the joint distribution of US house price growth and household credit growth since the late 1970s to shed some light on the evolution of systemic risk and its links to various economic and financial factors. The analysis finds that the crucial indicators include the banking sector’s exposure to household credit, household leverage, house price misalignment, and financial market volatility. This contrasts with the negligible role of real-economy factors. In addition, the estimated effect of monetary policy shocks on systemic risk suggests rejecting the “leaning against the wind” strategy. Finally, it is shown that the multiple-output quantile regression framework is a useful tool for forecasting and tracking systemic risk over time. The sustainable growth of house prices and credit can be distinguished from their growth accompanied by the rise in systemic risk to guide policymakers on an appropriate response.

Suggested Citation

  • Michal Franta, 2025. "The application of multiple-output quantile regression to the US financial cycle," Econometric Reviews, Taylor & Francis Journals, vol. 44(6), pages 696-714, July.
  • Handle: RePEc:taf:emetrv:v:44:y:2025:i:6:p:696-714
    DOI: 10.1080/07474938.2025.2454410
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/07474938.2025.2454410
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/07474938.2025.2454410?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:44:y:2025:i:6:p:696-714. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: http://www.tandfonline.com/LECR20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.