Pass-Through Impulse Response Functions (PT-IRFs)

Impulse response functions (IRFs) offer little insight regarding the channels by which a shock propagates through a dynamical system. I formulate the concept of a pass-through impulse response function (PT-IRF), which measures the passage of a structural shock through specific sets of variables in a given system. I demonstrate the applicability of PT-IRFs by measuring the strength of the effect of a monetary policy shock on unemployment through the credit channel of monetary transmission using a structural vector autoregression

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Year of publication:	2023
Authors:	Nikolaishvili, Giorgi
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| VAR-Modell \| VAR model \| Exchange Rate Pass-Through \| Exchange rate pass-through \| Schock \| Shock \| Zeitreihenanalyse \| Time series analysis

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