 A matrix unified framework for deriving various impulse responses in Markov switching VAR: Evidence from oil and gas marketsMaddalena Cavicchioli The Journal of Economic Asymmetries, 2024, vol. 29, issue C Abstract: We propose a new method to compute various impulse response functions (IRF) for a Markov switching VAR model in terms of neat matrix expressions in closed form. The key is to derive a suitable closed form representation for Markov switching VAR models using a state-space representation. By this representation, the IRF analysis can be processed with respect to either an asymmetric discrete or a symmetric continuous shocks. A simulation study demonstrates the actual advantages of the proposed matrix methodology. To illustrate the feasibility and the usefulness of our approach, we present empirical applications to oil and natural gas markets showing the relevance of accommodating asymmetries in the relationship between their price shocks and economic activities. Keywords: Impulse response function; Markov switching; Natural gas market; Oil price shocks; State-space representation; Vector autoregression (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:29:y:2024:i:c:s1703494923000610 DOI: 10.1016/j.jeca.2023.e00349 Access Statistics for this article The Journal of Economic Asymmetries is currently edited by A.G. Malliaris More articles in The Journal of Economic Asymmetries from Elsevier |
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