Asymmetric generalized impulse responses and variance decompositions with an application

Abdulnasser Hatemi-J

MPRA Paper from University Library of Munich, Germany

Abstract: This paper introduces asymmetric impulse response functions and asymmetric variance decompositions. It is shown how the underlying variables can be transformed into cumulative positive and negative changes in order to estimate the impulses to an asymmetric innovation. An application is provided to demonstrate how the propagation mechanism of these asymmetric impulses and responses operates.

Keywords: VAR modelling; Asymmetric Impulses; Fiscal Policy (search for similar items in EconPapers)
JEL-codes: C32 C50 H21 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:31700

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