论文标题
熊市和衰退与牛市和扩张
Bear Markets and Recessions versus Bull Markets and Expansions
论文作者
论文摘要
本文研究了使用不对称的因果关系测试，研究了世界上最大经济体的真实经济体和金融部门的下落和上升市场之间的动态互动。这些测试要求将模型中的每个基本变量转换为正分量和负分量的部分总和。积极的组成部分代表了上升的市场，负面组成部分体现了下降的市场。样本期涵盖了Covid19大流行的一部分。由于数据是非正常的，并且波动率的时间变化，因此使用带有杠杆调整的引导程序模拟在进行因果关系测试时创建可靠的临界值。不对称因果测试的结果揭示了熊市正在导致衰退以及牛市导致经济增长。与熊市对经济衰退的因果关系相比，牛市对经济扩张的因果影响更高。此外，发现经济扩张会导致牛市，但衰退不会导致熊市。因此，弥补下跌金融市场的政策也可以在经济衰退时帮助经济。
This paper examines the dynamic interaction between falling and rising markets for both the real and the financial sectors of the largest economy in the world using asymmetric causality tests. These tests require that each underlying variable in the model be transformed into partial sums of the positive and negative components. The positive components represent the rising markets and the negative components embody the falling markets. The sample period covers some part of the COVID19 pandemic. Since the data is non normal and the volatility is time varying, the bootstrap simulations with leverage adjustments are used in order to create reliable critical values when causality tests are conducted. The results of the asymmetric causality tests disclose that the bear markets are causing the recessions as well as the bull markets are causing the economic expansions. The causal effect of bull markets on economic expansions is higher compared to the causal effect of bear markets on economic recessions. In addition, it is found that economic expansions cause bull markets but recessions do not cause bear markets. Thus, the policies that remedy the falling financial markets can also help the economy when it is in a recession.
