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Reassessing the Dependence Between Economic Growth and Financial Conditions Since 1973

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  • Tony Chernis
  • Patrick J. Coe
  • Shaun P. Vahey

Abstract

Adrian, Boyarchenko and Giannone (2019, ABG) adapt Quantile Regression (QR) methods to examine the relationship between U.S. 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 2021:3 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.

Suggested Citation

  • Tony Chernis & Patrick J. Coe & Shaun P. Vahey, 2022. "Reassessing the Dependence Between Economic Growth and Financial Conditions Since 1973," CAMA Working Papers 2022-30, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Handle: RePEc:een:camaaa:2022-30
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    File URL: https://crawford.anu.edu.au/sites/default/files/2025-05/30_2022_Chernis_Coe_Vahey.pdf
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    Cited by:

    1. Hilde C. Bjørnland & Roberto Casarin & Marco Lorusso & Francesco Ravazzolo, 2023. "Fiscal Policy Regimes in Resource-Rich Economies," Working Papers No 13/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    2. Ta-Chung Chi & Ting-Han Fan & Raffaele M. Ghigliazza & Domenico Giannone & Zixuan & Wang, 2025. "Macroeconomic Forecasting and Machine Learning," Papers 2510.11008, arXiv.org.
    3. Patrick J. Coe & Shaun P. Vahey, 2025. "Reassessing the Predictive Power of the Yield Spread for Recessions in the United States," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(2), pages 231-236, March.
    4. Aaron Amburgey & Michael W. McCracken, 2023. "Growth-at-Risk is Investment-at-Risk," Working Papers 2023-020, Federal Reserve Bank of St. Louis, revised 14 Aug 2025.

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