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Modeling Quantile Dependence: A New Look at the Money-Output Relationship

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  • Nicholas C.S. Sim

    (School of Economics, University of Adelaide)

Abstract

Do 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.

Suggested Citation

  • Nicholas C.S. Sim, 2009. "Modeling Quantile Dependence: A New Look at the Money-Output Relationship," School of Economics and Public Policy Working Papers 2009-34, University of Adelaide, School of Economics and Public Policy.
    • Handle: RePEc:adl:wpaper:2009-34
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    File URL: https://media.adelaide.edu.au/economics/papers/doc/wp2009-34.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    monetary policy; output growth; quantile regression; quantile dependence; series estimation.;
    All these keywords.

    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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