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Article Dans Une Revue Economics Letters Année : 2010

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

Résumé

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.
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Dates et versions

hal-02297082 , version 1 (25-09-2019)

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Frédéric Karamé. Impulse–response functions in Markov-switching structural vector autoregressions: A step further. Economics Letters, 2010, 106 (3), pp.162-165. ⟨10.1016/j.econlet.2009.11.009⟩. ⟨hal-02297082⟩

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