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

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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Year of publication:	2010
Authors:	Karamé, F.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 106.2010, 3, p. 162-165
Publisher:	Elsevier
Keywords:	Structural VAR Markov-switching model Impulse-response function State asymmetry Regime-dependent IRF

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008551432