Causal Impulse Responses for Time Series

Leonardo Marinho

No 570, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: I develop the concept of impulse response in a causal fashion, defining analytical tools suitable for different policy analysis. Applications of techniques presented to models containing features like confounders or nonlinearities through Monte Carlo experiments are given. I also apply some of these techniques to practical macroeconomic problems, computing impulse responses of GDP, interest rate, inflation and real exchange rate to monetary policy decisions of Banco Central do Brasil, the Brazilian Central Bank.

Date: 2022-09
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps570.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:570

Access Statistics for this paper

More papers in Working Papers Series from Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().