Impulse-response functions in Markov-switching structural vector autoregressions: A step further

Frédéric Karamé

Economics Letters, 2010, vol. 106, issue 3, 162-165

Abstract: Ehrmann et al. (2003) proposed an IRF in the frame of Markov-switching structural VARs. Their IRF provides insights on the dynamics within the regime in which the shock occurs. We propose an IRF that captures the global response of the system and illustrate its use with examples.

Keywords: Structural; VAR; Markov-switching; model; Impulse-response; function; State; asymmetry; Regime-dependent; IRF (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165-1765(09)00371-1
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Impulse-Response Functions in Markov-Switching Structural Vector AutoRegressions: a Step Further (2010)
Working Paper: Impulse–response functions in Markov-switching structural vector autoregressions: A step further (2010)
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:eee:ecolet:v:106:y:2010:i:3:p:162-165

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().