Impulse-Response Functions in Markov-Switching Structural Vector AutoRegressions: a Step Further

Frédéric Karamé

No 10-03, Documents de recherche from Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne

Abstract: Ehrmann et al. (2003) proposed an IRF in the frame of Markov- Switching structurally 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)
JEL-codes: C32 C52 C53 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Related works:
Journal Article: 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)
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