• Title of article

    Regime-dependent impulse response functions in a Markov-switching vector autoregression model

  • Author/Authors

    Michael Ehrmann، نويسنده , , Martin Ellison، نويسنده , , Natacha Valla، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2003
  • Pages
    5
  • From page
    295
  • To page
    299
  • Abstract
    This paper combines both Markov-switching and structural identifying restrictions in a vector autoregression model. The resulting regime-dependent impulse response functions show how the reaction of variables in the model to fundamental disturbances differs across regimes.
  • Keywords
    Impulse Response , Markov-switching , Vector autoregression
  • Journal title
    Economics Letters
  • Serial Year
    2003
  • Journal title
    Economics Letters
  • Record number

    435119

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=435119