Asymmetric Properties of Impulse Response Functions in Markov-Switching Structural Vector AutoRegressions

Frédéric Karamé and Alexandra Olmedo

No 10-04, Documents de recherche from Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne

Abstract: We propose a methodology extending the structural VAR approach to nonlinear Markov-Switching framework. We present the exact IRFs and discuss their properties as regards the different types of asymmetries (sign, size, state) and assumptions on transition probabilities. We propose a statistical methodology for discriminating some asymmetric properties of the system.

Keywords: Structural VAR; Markov-switching model; asymmetries; impulse response function (search for similar items in EconPapers)
JEL-codes: C32 C52 C53 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2010
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Citations: View citations in EconPapers (5)

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