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Asymmetric generalized impulse responses with an application in finance


  • Hatemi-J, Abdulnasser


Since the seminal work by Sims (1980), the impulse response functions are regularly applied to capture the propagation mechanism of a shock across time. This paper suggests a new approach for allowing asymmetry in the impulse response functions. This is an issue that has been neglected in the existing literature on the estimation of impulses. In the current paper 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 an asymmetric impulse operates.

Suggested Citation

  • Hatemi-J, Abdulnasser, 2014. "Asymmetric generalized impulse responses with an application in finance," Economic Modelling, Elsevier, vol. 36(C), pages 18-22.
  • Handle: RePEc:eee:ecmode:v:36:y:2014:i:c:p:18-22
    DOI: 10.1016/j.econmod.2013.09.014

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    References listed on IDEAS

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    7. Hatemi-J, Abdulnasser, 2013. "A New Asymmetric GARCH Model: Testing, Estimation and Application," MPRA Paper 45170, University Library of Munich, Germany.
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    Cited by:

    1. Nouira, Ridha & Hadj Amor, Thouraya & Rault, Christophe, 2019. "Oil price fluctuations and exchange rate dynamics in the MENA region: Evidence from non-causality-in-variance and asymmetric non-causality tests," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 159-171.
    2. Ozcelebi, Oguzhan, 2019. "Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 498-513.
    3. Bala Dahiru Abdullahi, 2016. "Time-Varying VAR with Stochastic Volatility and Monetary Policy Dynamics in Nigeria," Economics Bulletin, AccessEcon, vol. 36(4), pages 2237-2249.
    4. Wojciech Charemza & Svetlana Makarova & Imran Shah, 2015. "Making the most of high inflation," Applied Economics, Taylor & Francis Journals, vol. 47(34-35), pages 3723-3739, July.
    5. Abdulnasser Hatemi-J & Ahdi N. Ajmi & Ghassen El Montasser & Roula Inglesi-Lotz & Rangan Gupta, 2016. "Research output and economic growth in G7 countries: new evidence from asymmetric panel causality testing," Applied Economics, Taylor & Francis Journals, vol. 48(24), pages 2301-2308, May.
    6. Abdulnasser Hatemi-J & Abdulrahman Al Shayeb & Eduardo Roca, 2017. "The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests," Applied Economics, Taylor & Francis Journals, vol. 49(16), pages 1584-1592, April.
    7. Awartani, Basel & Maghyereh, Aktham & Ayton, Julie, 2020. "Oil price changes and industrial output in the MENA region: Nonlinearities and asymmetries," Energy, Elsevier, vol. 196(C).
    8. Abdulnasser Hatemi-J, 2014. "On the interaction between government spending and economic performance in Sweden: an asymmetric approach," Applied Economics Letters, Taylor & Francis Journals, vol. 21(15), pages 1099-1103, October.
    9. Hatemi-J, Abdulnasser & Mustafa, Alan, 2016. "A MS-Excel Module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with and without Deterministic Trend Parts," MPRA Paper 73813, University Library of Munich, Germany.
    10. Abdulnasser Hatemi-J & Tsangyao Chang & Wen-Yi Chen & Feng-Li Lin & Rangan Gupta, 2018. "Asymmetric causality between military expenditures and economic growth in top six defense spenders," Quality & Quantity: International Journal of Methodology, Springer, vol. 52(3), pages 1193-1207, May.
    11. Hatemi-J, Abdulnasser & Mustafa, Alan, 2016. "Testing for Financial Market Integration of the Chinese Market with the US Market," MPRA Paper 72733, University Library of Munich, Germany.
    12. Chang, Tsangyao & Chen, Wen-Yi, 2017. "Revisiting the relationship between suicide and unemployment: Evidence from linear and nonlinear cointegration," Economic Systems, Elsevier, vol. 41(2), pages 266-278.
    13. Abdulnasser Hatemi-J & Youssef El-Khatib, 2016. "An extension of the asymmetric causality tests for dealing with deterministic trend components," Applied Economics, Taylor & Francis Journals, vol. 48(42), pages 4033-4041, September.
    14. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2015. "Modelling Asymmetry in Oil, Gold and Stock Markets by a Hidden Cointegration Technique. - Modelli di asimmetria nel mercato del petrolio, dell’oro e nei mercati azionari attraverso una tecnica di coin," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 68(2), pages 213-228.
    15. Asif, Muhammad & Khan, Khan Burhan & Anser, Muhammad Khalid & Nassani, Abdelmohsen A. & Abro, Muhammad Moinuddin Qazi & Zaman, Khalid, 2020. "Dynamic interaction between financial development and natural resources: Evaluating the ‘Resource curse’ hypothesis," Resources Policy, Elsevier, vol. 65(C).

    More about this item


    VAR modeling; Asymmetric impulses; Stock market;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • H21 - Public Economics - - Taxation, Subsidies, and Revenue - - - Efficiency; Optimal Taxation


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