TY  - GEN
AB  - Adrian, Boyarchenko and Giannone ((2019), ABG) adapt quantile regression (QR) methods to examine the relationship between US 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 2021Q3 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. <p> <p> Replication data for peer-reviewed article published in Journal of Applied Econometrics. Paper published online August 30, 2022.
AD  - Bank of Canada
AD  - Carleton University
AD  - University of Warwick
AU  - Chernis, Tony
AU  - Coe, Patrick J.
AU  - Vahey, Shaun P.
DA  - 2022
DO  - 10.15456/jae.2022327.1159105575
DO  - DOI
ID  - 2418
LA  - eng
N2  - Adrian, Boyarchenko and Giannone ((2019), ABG) adapt quantile regression (QR) methods to examine the relationship between US 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 2021Q3 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. <p> <p> Replication data for peer-reviewed article published in Journal of Applied Econometrics. Paper published online August 30, 2022.
PB  - ZBW - Leibniz Informationszentrum Wirtschaft
PY  - 2022
T1  - Reassessing the dependence between economic growth and financial conditions since 1973 (replication data)
TI  - Reassessing the dependence between economic growth and financial conditions since 1973 (replication data)
Y1  - 2022
ER  -