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

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  • Ehrmann, Michael
  • Ellison, Martin
  • Valla, Natacha

Abstract

Replicates results from Ehrmann, Ellison, Valla (2003), "Regime-dependent impulse response functions in a Markov-switching vector autoregression model", Economics Letters, Vol. 78, pp. 295-299. The data set is a reconstruction rather than the authors' original data set.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 78 (2003)
Issue (Month): 3 (March)
Pages: 295-299

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Handle: RePEc:eee:ecolet:v:78:y:2003:i:3:p:295-299

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Web page: http://www.elsevier.com/locate/ecolet

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References

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  1. Ellison, Martin & Valla, Natacha, 2000. "Learning, uncertainty and central bank activism in an economy with strategic interactions," Working Paper Series 0028, European Central Bank.
  2. 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.
  3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  4. Christopher Sims & Tao Zha, 2002. "Macroeconomic switching," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  5. 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.
  6. Ehrmann, Michael, 2000. "Firm size and monetary policy transmission: evidence from German business survey data," Working Paper Series 0021, European Central Bank.
  7. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
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