Impulse response analysis in nonlinear multivariate models

DOI10.1016/0304-4076(95)01753-4zbMATH Open0865.62086OpenAlexW1969610664WikidataQ130493926 ScholiaQ130493926MaRDI QIDQ1126497FDOQ1126497

Gary Koop, Simon Potter, M. Hashem Pesaran

Publication date: 14 July 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01753-4

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zbMATH Keywords

linear modelsmultivariate modelsnonlinear modelspersistencethreshold autoregressive modelsunemployment rateunified approachimpulse response analysisasymmetric effects of shocksgeneralized impulse response functionmeasures of shock persistencenonlinear vector autoregressionsUS output

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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• Enhancing dominant modes in nonstationary time series by means of the symbolic resonance analysis
• Large Spillover Networks of Nonstationary Systems
• Bayesian Dynamic Tensor Regression
• Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
• Estimating nonlinear dynamic equilibrium models by matching impulse responses
• Uncertainty shocks and the great recession: nonlinearities matter
• The effect of monetary and fiscal credibility on exchange rate pass-through in an emerging economy
• Dynamic Vector Mode Regression
• Matrix autoregressive models: generalization and Bayesian estimation
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• Macroeconomic environment, money demand and portfolio choice
• Reprint of: On the network topology of variance decompositions: measuring the connectedness of financial firms
• Quantiles dependence and dynamic connectedness between distributed ledger technology and sectoral stocks: enhancing the supply chain and investment decisions with digital platforms
• Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction
• Modelling nonlinearities in equity returns: the mean impact curve analysis
• The dynamic volatility connectedness of major environmental, social, and governance (ESG) stock indices: evidence based on DCC-GARCH model
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• “CONVENTIONAL” MONETARY POLICY IN OLG MODELS: REVISITING THE ASSET‐SUBSTITUTION CHANNEL
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• BUSINESS FAILURES AND MACROECONOMIC FACTORS IN THE UK
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• Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach
• Interest rate dynamics and commodity prices
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• State-dependent local projections
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• Dynamics between the budget deficit and the government debt in the United States: a nonlinear analysis
• Macroeconomic uncertainty and forecasting macroeconomic aggregates
• The non-linear effects of the Fed asset purchases
• When is discretionary fiscal policy effective?
• Technological leaders, laggards and spillovers: a network GVAR analysis
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
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• The role of systemic risk spillovers in the transmission of euro area monetary policy
• Quantile-based fuzzy \(C\)-means clustering of multivariate time series: robust techniques
• In search of a new economic model determined by logistic growth
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• Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Tax‐and‐transfer progressivity and business cycles
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• Predictability and habit persistence
• Uncertainty-dependent effects of monetary policy shocks: a new-Keynesian interpretation
• A nonlinear long memory model, with an application to US unemployment.
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• Non performing loans (NPLs) in a crisis economy: long-run equilibrium analysis with a real time VEC model for Greece (2001--2015)
• Interdependencies between CDS spreads in the European union: is Greece the black sheep or black swan?
• The case for Divisia monetary statistics: a Bayesian time-varying approach
• The nonlinear effects of uncertainty shocks
• Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles
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• Nonlinearities, smoothing and countercyclical monetary policy
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• Changes in the effects of monetary policy on disaggregate price dynamics
• Nonlinear dynamics in Nasdaq dealer quotes

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