Asymmetric effects of financial conditions on GDP growth in Korea: A quantile regression analysis
- 주제(키워드) 도움말 Quantile regressions , Financial conditions index , GDP growth
- 발행기관 ELSEVIER
- 발행년도 2021
- 총서유형 Journal
- 본문언어 영어
초록/요약 도움말
With growing interest in the effects of financial conditions on the real economy after the global financial crisis, this study constructs a Korean financial conditions index and examines the effects of the Korean and the US financial conditions on future Korean GDP growth using quantile regression models. We find that the impact of Korean financial conditions on the future GDP growth of Korea is asymmetric in quantiles. The deterioration of financial conditions expands only the left tail of the distribution of next quarter's GDP growth and sometimes makes the distribution bimodal, implying the existence of multiple equilibria of bank runs and no bank runs distributions. The extended quantile regression model with US variables shows that the deterioration of US financial conditions expands both of the left and right tails of the distribution of the Korean GDP growth, increasing its variance.
more