Impulse-Response Analysis in Markov Switching Vector Autoregressive Models
نویسنده
چکیده
By utilizing the state-space representation of Markov-switching vector autoregressive models, we develop impulse response functions with regards to shocks to variables of the system The proposed analysis in related to the concept of generalized impulse responses introduced by Koop, Pesaran and Potter (1996) but characterizes the properties of the model dynamics in a more concise form. In contrast to the impulse response functions proposed by Ehrmann, Ellison and Valla (2003) the analysis here fully reflects the Markov property of the switching regimes. Empirical illustrations of the approach suggested here include the univariate Hamilton (1989) model and two Markovswitching vector autoregressions of output growth, employment growth and the term structure.
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