Regime-dependent impulse response functions in a Markov-switching vector autoregression model

被引：98
|
作者：
Ehrmann, M
Ellison, M
Valla, N
机构：
[1] European Cent Bank, Directorate Gen Res, D-60311 Frankfurt, Germany
[2] Univ Warwick, Warwick, England
[3] CEPR, Warwick, England
[4] European Univ Inst, Frankfurt, Germany
来源：
ECONOMICS LETTERS | 2003年 / 78卷 / 03期
关键词：
impulse response; Markov-switching; vector autoregression;
D O I：
10.1016/S0165-1765(02)00256-2
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper combines both Markov-switching and structural identifying restrictions in a vector autoregression model. The resulting regime-dependent impulse response functions show how the reaction of variables in the model to fundamental disturbances differs across regimes. (C) 2002 Elsevier Science B.V. All rights reserved.
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页码：295 / 299
页数：5
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