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Estimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles

Author

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  • Montes-Rojas Gabriel

    (Instituto Interdisciplinario de Economía Política de Buenos Aires (IIEP-BAIRES-UBA), Facultad de Ciencias Económicas, Universidad de Buenos Aires, Av. Córdoba 2122 2do piso, C1120AAQ, Ciudad Autónoma de Buenos Aires, Argentina)

Abstract

A 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.

Suggested Citation

  • Montes-Rojas Gabriel, 2022. "Estimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles," Journal of Time Series Econometrics, De Gruyter, vol. 14(2), pages 199-225, July.
    • Handle: RePEc:bpj:jtsmet:v:14:y:2022:i:2:p:199-225:n:1
    DOI: 10.1515/jtse-2021-0002
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    Cited by:

    1. Bochmann, Paul & Dieckelmann, Daniel & Fahr, Stephan & Ruzicka, Josef, 2023. "Financial stability considerations in the conduct of monetary policy," Working Paper Series 2870, European Central Bank.

    More about this item

    Keywords

    impulse-response functions; vector autoregressive models; multivariate quantiles; pass-through;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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