Asymmetric Responses of Consumer Spending to Energy Prices: A Threshold VAR Approach
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DOI: 10.26509/frbc-wp-202017
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More about this item
Keywords
consumption; energy prices; asymmetry; multivariate threshold models; nonlinear structural impulse response;JEL classification:
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- 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
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2020-07-20 (Energy Economics)
- NEP-MAC-2020-07-20 (Macroeconomics)
- NEP-ORE-2020-07-20 (Operations Research)
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