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این مقاله علمی پژوهشی (ISI) به زبان انگلیسی از نشریه الزویر مربوط به سال ۲۰۲۱ دارای ۱۹ صفحه انگلیسی با فرمت PDF می باشد در ادامه این صفحه لینک دانلود رایگان مقاله انگلیسی و بخشی از ترجمه فارسی مقاله موجود می باشد.
کد محصول: H749
سال نشر: ۲۰۲۱
نام ناشر (پایگاه داده): الزویر
نام مجله: Economic Modelling
نوع مقاله: علمی پژوهشی (Research articles)
تعداد صفحه انگلیسی: ۱۹ صفحه PDF
عنوان کامل فارسی:
مقاله انگلیسی ۲۰۲۱ : اثرات نامتقارن شرایط مالی بر رشد تولید ناخالص داخلی در کره: تحلیل رگرسیون چندکی
عنوان کامل انگلیسی:
Asymmetric effects of financial conditions on GDP growth in Korea: A quantile regression analysis
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Abstract
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.
Keywords: Quantile regressions, Financial conditions index, GDP growth
۱.Introduction
The relationship between financial conditions and macro-economic variables has long been an important research topic for economists. In particular, after the global financial crisis, a number of papers have tried not only to find out the causes and results of the crisis but also to develop indexes capturing the financial conditions to warn and prevent financial crisis beforehand. In line with the literature, we construct the Korean financial conditions index and analyze the impact of the financial conditions on future GDP growth. We specifically estimate the distribution of future Korean GDP growth as a function of the current Korean financial conditions index and GDP growth with a quantile regression model. This study basically follows the methodology of Adrian et al. (2019). However, we extend it to consider US spillover effects on Korea by including US GDP growth and a US financial conditions index in the quantile regression model. This study differs from previous studies in that it does not only derive point estimates of future GDP growth but also estimates the distribution itself through quantile regressions. Thereby, we compare the distribution’s shapes in tight and loose financial conditions to locate the economic implications…
۶.Conclusion
This study constructs the KFCI and examines the effects of financial conditions on GDP growth through quantile regression analysis. The main results are summarized as follows. First, the estimated coefficients of KFCI in low and high quantiles are significantly different. In other words, the deterioration of the financial conditions results in a significant decrease in the future GDP growth at low quantiles, but it does not have a significant effect on the GDP growth at high quantiles. Moreover, tight financial conditions make the distribution of next quarter’s GDP growth bimodal. Second, the deterioration of the US financial conditions tends to expand the variance of the distribution of the expected Korean GDP growth for the next quarter, which is significant after the Asian financial crisis possibly due to the financial liberalization in Korea. These results are robust with the out-of-sample predictions and alternative KFCIs constructed with more principal components…
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