熊市和衰退与牛市和扩张
Bear Markets and Recessions versus Bull Markets and Expansions
摘要：
本文使用非对称因果检验检验了世界上最大经济体的实体和金融部门的下跌和上涨市场之间的动态相互作用。这些检验要求将模型中的每个基础变量转换为正负分量的部分和。积极的成分代表上涨的市场，消极的成分代表下跌的市场。样本期涵盖COVID 19大流行的部分时间。由于数据是非正态的，波动率是时变的，为了创建可靠的临界值进行因果关系检验时，杠杆调整的自助模拟。非对称因果检验的结果表明，熊市导致了经济衰退，牛市导致了经济扩张。牛市对经济扩张的因果效应高于熊市对经济衰退的因果效应。此外，研究发现，经济扩张会导致牛市，但经济衰退不会导致熊市。因此，在金融市场下跌时采取的补救政策也可以在经济衰退时起到帮助作用。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
