Constructing bootstrap confidence intervals for impulse response functions (IRFs) from structural vector autoregression (SVAR) models has become standard practice in empirical macroeconomic research. The accuracy of such confidence intervals can deteriorate severely, however, if the bootstrap...

Ehrmann et al. (2003) proposed an IRF in the frame of Markov- Switching structurally 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.

We propose a methodology extending the structural VAR approach to nonlinear Markov-Switching framework. We present the exact IRFs and discuss their properties as regards the different types of asymmetries (sign, size, state) and assumptions on transition probabilities. We propose a statistical...

This paper compares impulse responses to monetary policy shocks in the euro area countries before the EMU and in the New Member States (NMS) from central-eastern Europe. We mitigate the small sample problem, which is especially acute for the NMS, by using a Bayesian estimation that combines...

The basic assumption of a structural VARMA model (SVARMA) is that it is driven by a white noise whose components are uncorrelated (or independent) and are interpreted as economic shocks, called "structural" shocks. These models have to face two kinds of identification problems. The first...