摘要翻译：
本文运用非对称因果关系检验方法，对世界上最大经济体的实体和金融部门的市场涨跌之间的动态相互作用进行了检验。这些测试要求将模型中的每个潜在变量转换为正负分量的部分和。积极成分代表上涨的市场，消极成分代表下跌的市场。样本期涵盖了COVID19流行病的一部分。由于数据的非正态性和波动性的时变性，在进行因果关系检验时，采用杠杆调整的bootstrap模拟，以获得可靠的临界值。非对称因果检验的结果表明，熊市导致经济衰退，牛市导致经济扩张。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，还发现经济扩张导致牛市，而衰退不会导致熊市。因此，当经济陷入衰退时，补救金融市场下跌的政策也可以帮助经济。
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英文标题：
《Bear Markets and Recessions versus Bull Markets and Expansions》
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作者：
Abdulnasser Hatemi-J
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最新提交年份：
2020
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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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.
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PDF链接：
https://arxiv.org/pdf/2009.01343