Les fonctions de réponses aux chocs dans les modèles VAR structurels à changements de régimes markovien

Frédéric Karamé

Revue d'économie politique, 2012, vol. 122, issue 6, 851-865

Abstract: Since the seminal paper by Koop et al. [1996], there has been few papers on Generalized Impulse-Response Function (GIRF) for Markov-Switching structural VARs. This issue is very important for who wants to investigate the presence of asymmetries in the wake of economically-identified shocks. In this paper, I present the different responses functions proposed in the literature since 2000. I discuss their properties and illustrate through an example on aggregate gross job ?ows that results can be affected by the choice of a particular response function.

Keywords: Structural VAR; Markov-switching regimes; generalized impulse-response function (search for similar items in EconPapers)
Date: 2012
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Working Paper: Les fonctions de réponses aux chocs dans les modèles VAR structurels à changements de régimes markovien (2012)
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