DOCUMENT DE RECHERCHE EPEE CENTRE D’ETUDES DES POLITIQUES ECONOMIQUES DE L’UNIVERSITE D’EVRY Impulse-Response Functions in Markov-Switching Structural Vector AutoRegressions: a Step Further

  • Frédéric Karamé, F. Karamé
  • Published 2010

Abstract

Ehrmann et al. (2003) proposed an IRF in the frame of MarkovSwitching 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.

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Cite this paper

@inproceedings{Karam2010DOCUMENTDR, title={DOCUMENT DE RECHERCHE EPEE CENTRE D’ETUDES DES POLITIQUES ECONOMIQUES DE L’UNIVERSITE D’EVRY Impulse-Response Functions in Markov-Switching Structural Vector AutoRegressions: a Step Further}, author={Fr{\'e}d{\'e}ric Karam{\'e} and F. Karam{\'e}}, year={2010} }