We document asymmetric responses of consumer spending to energy price shocks: Using a multiple-regime threshold vector autoregressive model estimated with Bayesian methods on US data, we find that positive energy price shocks have a larger negative effect on consumption compared with the...

Discrete Markov chains can be useful to approximate vector autoregressive processes for economists doing computational work. One such approximation method first presented by Tauchen (1986) operates under the general theoretical assumption of a transformed VAR with diagonal covariance structure...