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Les fonctions de réponses aux chocs dans les modèles VAR structurels à changements de régimes markovien

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  • Frédéric Karamé

Abstract

Since the seminal paper by Koop et al. [1996], there has been few papers on Generalized Impulse-Response Function (GIRF) for Markov-Switching structural VARs. This issue is very important for who wants to investigate the presence of asymmetries in the wake of economically-identified shocks. In this paper, I present the different responses functions proposed in the literature since 2000. I discuss their properties and illustrate through an example on aggregate gross job ?ows that results can be affected by the choice of a particular response function.

Suggested Citation

  • Frédéric Karamé, 2012. "Les fonctions de réponses aux chocs dans les modèles VAR structurels à changements de régimes markovien," Revue d'économie politique, Dalloz, vol. 122(6), pages 851-865.
    • Handle: RePEc:cai:repdal:redp_226_0851
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