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

Frédéric Karamé

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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: 2010-03
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Citations: View citations in EconPapers (6)

Published in Economics Letters, 2010, 106 (3), pp.162-165. ⟨10.1016/j.econlet.2009.11.009⟩

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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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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02297082

DOI: 10.1016/j.econlet.2009.11.009

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