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Asymmetric generalized impulse responses and variance decompositions with an application

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  • Hatemi-J, Abdulnasser

Abstract

This paper introduces asymmetric impulse response functions and asymmetric variance decompositions. It is shown how the underlying variables can be transformed into cumulative positive and negative changes in order to estimate the impulses to an asymmetric innovation. An application is provided to demonstrate how the propagation mechanism of these asymmetric impulses and responses operates.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 31700.

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Date of creation: 2011
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Handle: RePEc:pra:mprapa:31700

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Related research

Keywords: VAR modelling; Asymmetric Impulses; Fiscal Policy;

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References

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  1. Abdulnasser Hatemi-J, 2012. "Asymmetric causality tests with an application," Empirical Economics, Springer, vol. 43(1), pages 447-456, August.
  2. Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
  3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  4. Granger, Clive W.J. & Gawon Yoon, 2002. "Hidden Cointegration," Royal Economic Society Annual Conference 2002 92, Royal Economic Society.
  5. Joseph E. Stiglitz, 1973. "Incentives and Risk-Sharing in Sharecropping," Cowles Foundation Discussion Papers 353, Cowles Foundation for Research in Economics, Yale University.
  6. 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.
  7. Akerlof, George A, 1970. "The Market for 'Lemons': Quality Uncertainty and the Market Mechanism," The Quarterly Journal of Economics, MIT Press, vol. 84(3), pages 488-500, August.
  8. Abdulnasser, Hatemi-J, 2011. "Hidden panel cointegration," MPRA Paper 31604, University Library of Munich, Germany.
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Cited by:
  1. Abdulnasser, Hatemi-J, 2011. "Hidden panel cointegration," MPRA Paper 31604, University Library of Munich, Germany.
  2. Wojciech Charemza & Svetlana Makarova & Imran Shah, 2013. "Making the most of High Inflation," Discussion Papers in Economics 13/01, Department of Economics, University of Leicester.

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