Estimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles

dc.creatorMontes Rojas, Gabriel Victorio
dc.date2022-07
dc.date.accessioned2023-08-31T00:08:56Z
dc.date.available2023-08-31T00:08:56Z
dc.identifierhttp://hdl.handle.net/11336/204578
dc.identifierMontes Rojas, Gabriel Victorio; Estimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles; De Gruyter; Journal of Time Series Econometrics; 14; 2; 7-2022; 199-225
dc.identifier2194-6507
dc.identifier1941-1928
dc.identifierCONICET Digital
dc.identifierCONICET
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/8543152
dc.descriptionA multivariate vector autoregressive model is used to construct the distribution of the impulse-response functions of macroeconomics shocks. In particular, the paper studies the distribution of the short-, medium-, and long-term effects after a shock. Structural and reduced form quantile vector autoregressive models are developed where heterogeneity in conditional effects can be evaluated through multivariate quantile processes. The distribution of the responses can then be obtained by using uniformly distributed random vectors. An empirical example of exchange rate pass-through in Argentina is presented.
dc.descriptionFil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina
dc.formatapplication/pdf
dc.formatapplication/pdf
dc.languageeng
dc.publisherDe Gruyter
dc.relationinfo:eu-repo/semantics/altIdentifier/doi/10.1515/jtse-2021-0002
dc.relationinfo:eu-repo/semantics/altIdentifier/url/https://www.degruyter.com/document/doi/10.1515/jtse-2021-0002/html
dc.rightsinfo:eu-repo/semantics/restrictedAccess
dc.rightshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subjectIMPULSE-RESPONSE FUNCTIONS
dc.subjectMULTIVARIATE QUANTILES
dc.subjectPASS-THROUGH
dc.subjectVECTOR AUTOREGRESSIVE MODELS
dc.subjecthttps://purl.org/becyt/ford/5.2
dc.subjecthttps://purl.org/becyt/ford/5
dc.titleEstimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:ar-repo/semantics/artículo
dc.typeinfo:eu-repo/semantics/publishedVersion


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