This paper studies the dynamic responses of the conditional quantiles and their applications in macroeconomics and finance. We build a multi-equation autoregressive conditional quantile model and propose a new construction of quantile impulse response functions (QIRFs). The tool set of QIRFs...

We show that expansionary monetary policy is positively (inversely) associated with household portfolio allocation to high-risk (low-risk) assets, in line with “reaching for yield” behaviour. Our main findings are based on analysis of US household level panel data using alternative measures...