Estimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles

Gabriel Montes-Rojas ()

Journal of Time Series Econometrics, 2022, vol. 14, issue 2, 199-225

Abstract: A multivariate vector autoregressive model is used to construct the distribution of the impulse-response functions of macroeconomics shocks. In particular, the paper studies the distribution of the short-, medium-, and long-term effects after a shock. Structural and reduced form quantile vector autoregressive models are developed where heterogeneity in conditional effects can be evaluated through multivariate quantile processes. The distribution of the responses can then be obtained by using uniformly distributed random vectors. An empirical example of exchange rate pass-through in Argentina is presented.

Keywords: impulse-response functions; vector autoregressive models; multivariate quantiles; pass-through (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1515/jtse-2021-0002

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