Regime-dependent impulse response functions in a Markov-switching vector autoregression model
AbstractIn this paper we introduce identifying restrictions into a Markov-switching vector autoregression model. We define a separate set of impulse responses for each Markov regime to show how fundamental disturbances affect the variables in the model dependent on the regime. We go to illustrate the use of these regime-dependent impulse response functions in a model of the U.S. economy. The regimes we identify come close to the âoldâ and ânew economyâ regimes found in recent research. We provide evidence that oil price shocks are much less contractionary and inflationary than they used to be. We show furthermore that the decoupling of the US economic performance from oil price shocks cannot be explained by âgood luckâ alone, but that structural changes within the US economy have taken place.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 78 (2003)
Issue (Month): 3 (March)
Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Ehrmann , Michael & Ellison, Martin & Valla, Natacha, 2001. "Regime-dependent impulse response functions in a Markov-switching vector autoregression model," Research Discussion Papers 11/2001, Bank of Finland.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Clarida, Richard & Galí, Jordi & Gertler, Mark, 1998.
"Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory,"
CEPR Discussion Papers
1908, C.E.P.R. Discussion Papers.
- Richard Clarida & Jordi Galí & Mark Gertler, 2000. "Monetary Policy Rules And Macroeconomic Stability: Evidence And Some Theory," The Quarterly Journal of Economics, MIT Press, vol. 115(1), pages 147-180, February.
- Richard Clarida & Jordi Gali & Mark Gertler, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," NBER Working Papers 6442, National Bureau of Economic Research, Inc.
- Richard Clarida & Jordi Galí & Mark Gertler, 1997. "Monetary policy rules and macroeconomic stability: Evidence and some theory," Economics Working Papers 350, Department of Economics and Business, Universitat Pompeu Fabra, revised May 1999.
- Clarida, R. & Gali, J. & Gertler, M., 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and some Theory," Working Papers 98-01, C.V. Starr Center for Applied Economics, New York University.
- Olivier Jean Blanchard & Danny Quah, 1990.
"The Dynamic Effects of Aggregate Demand and Supply Disturbances,"
NBER Working Papers
2737, National Bureau of Economic Research, Inc.
- Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September.
- Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Martin Ellison & Natacha Valla, 2000.
"Learning, Uncertainty And Central Bank Activism In An Economy With Strategic Interactions,"
Computing in Economics and Finance 2000
183, Society for Computational Economics.
- Ellison, Martin & Valla, Natacha, 2001. "Learning, uncertainty and central bank activism in an economy with strategic interactions," Journal of Monetary Economics, Elsevier, vol. 48(1), pages 153-171, August.
- Natacha Valla & Martin Ellison, 2000. "Learning, uncertainty and Central Bank activism in an economy with strategic interactions," Working Paper Series 28, European Central Bank.
- Hutchison, Michael M., 1993.
"Structural change and the macroeconomic effects of oil shocks: empirical evidence from the United States and Japan,"
Journal of International Money and Finance,
Elsevier, vol. 12(6), pages 587-606, December.
- Michael M. Hutchison, 1992. "Structural change and the macroeconomic effects of oil shocks: empirical evidence from the United States and Japan," Pacific Basin Working Paper Series 92-06, Federal Reserve Bank of San Francisco.
- Kevin L. Kliesen, 2001. "Rising oil prices and economic turmoil: must they always go hand in hand?," The Regional Economist, Federal Reserve Bank of St. Louis, issue Jan, pages 4-9.
- Michael Ehrmann, 2004.
"Firm Size and Monetary Policy Transmission – Evidence from German Business Survey Data,"
CESifo Working Paper Series
1201, CESifo Group Munich.
- Ehrmann, M., 2000. "Firm Size and Monetary Policy Transmission - Evidence from German Business Survey Data," Economics Working Papers eco2000/12, European University Institute.
- Michael Ehrmann, 2000. "Firm size and monetary policy transmission: evidence from German business survey data," Working Paper Series 21, European Central Bank.
- Krolzig, H.-M. & Toro, J., 1999. "A New Approach to the Analysis of Shocks and the Cycle in a Model of Output and Employment," Economics Working Papers eco99/30, European University Institute.
- Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991.
"Stochastic trends and economic fluctuations,"
Working Paper Series, Macroeconomic Issues
91-4, Federal Reserve Bank of Chicago.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Christopher Sims & Tao Zha, 2002. "Macroeconomic switching," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
- Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statistics
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.