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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.

Suggested Citation

  • Hatemi-J, Abdulnasser, 2011. "Asymmetric generalized impulse responses and variance decompositions with an application," MPRA Paper 31700, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:31700
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    File URL: https://mpra.ub.uni-muenchen.de/31700/1/MPRA_paper_31700.pdf
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    References listed on IDEAS

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    3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    4. Abdulnasser Hatemi-J, 2012. "Asymmetric causality tests with an application," Empirical Economics, Springer, vol. 43(1), pages 447-456, August.
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    8. Granger, Clive W.J. & Gawon Yoon, 2002. "Hidden Cointegration," Royal Economic Society Annual Conference 2002 92, Royal Economic Society.
    9. 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, 2015. "Making the most of high inflation," Applied Economics, Taylor & Francis Journals, vol. 47(34-35), pages 3723-3739, July.
    3. Wojciech Charemza & Svetlana Makarova & Imran Shah, 2013. "Frequent episoded of high inflation and real effects," EcoMod2013 5478, EcoMod.

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    More about this item

    Keywords

    VAR modelling; Asymmetric Impulses; Fiscal Policy;
    All these keywords.

    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
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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