Impulse response analysis in nonlinear multivariate models
From MaRDI portal
(Redirected from Publication:1126497)
Recommendations
Cites work
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 1051726 (Why is no real title available?)
- scientific article; zbMATH DE number 1168350 (Why is no real title available?)
- scientific article; zbMATH DE number 3992765 (Why is no real title available?)
- Are output fluctuations transitory?
- Bayesian long-run prediction in time series models
- Cointegration and speed of convergence to equilibrium
- Nonlinear Dynamic Structures
- Nonlinear impulse response functions
- Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth
- Persistence, cointegration, and aggregation. A disaggregated analysis of output fluctuations in the U.S. economy
Cited in
(only showing first 100 items - show all)- Origins of monetary policy shifts: a new approach to regime switching in DSGE models
- A reconsideration of money growth rules
- BUSINESS FAILURES AND MACROECONOMIC FACTORS IN THE UK
- Structural changes in the US economy: is there a role for monetary policy?
- On a matrix-valued autoregressive model
- Sovereign bond market shock spillover over different maturities: a journey from normal to Covid-19 period
- Do monetary policy shocks generate TAR or STAR dynamics in output?
- High-dimensional VARs with common factors
- Dynamic credit default swap curves in a network topology
- On the non-negative impulse response of multi-dimensional systems
- Estimating a banking-macro model using a multi-regime VAR
- Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach
- Bayesian nonparametric vector autoregressive models
- Dividend suspensions and cash flows during the Covid-19 pandemic: a dynamic econometric model
- Interest rate dynamics and commodity prices
- Consistent causal inference for high-dimensional time series
- Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
- State-dependent local projections
- Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
- Moments, shocks and spillovers in Markov-switching VAR models
- Forecasting the US unemployment rate
- Beyond spreads: measuring sovereign market stress in the Euro area
- Noncausality and inflation persistence
- On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness
- 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
- Uncertainty and the real effects of monetary policy shocks in the euro area
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Monetary policy regimes and the term structure of interest rates
- A method for solving and estimating heterogeneous agent macro models
- Quantile-based fuzzy \(C\)-means clustering of multivariate time series: robust techniques
- Do monetary policy shocks have asymmetric effects on stock market?
- Bayesian variable selection for matrix autoregressive models
- The role of systemic risk spillovers in the transmission of euro area monetary policy
- In search of a new economic model determined by logistic growth
- A consistent nonparametric test of ergodicity for time series with applications
- Short-memory and the PPP hypothesis
- Volatility analysis during the Asia crisis: a multivariate GARCH-M model for stock returns in the U. S., Germany and Japan
- Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach
- Impact factors
- Predictability and habit persistence
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Digital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness
- Tax‐and‐transfer progressivity and business cycles
- Exchange rate and stock prices volatility connectedness and spillover during pandemic induced-crises: evidence from BRICS countries
- Twisted probabilities, uncertainty, and prices
- Uncertainty-dependent effects of monetary policy shocks: a new-Keynesian interpretation
- Enhancing dominant modes in nonstationary time series by means of the symbolic resonance analysis
- Identification of vector autoregressive models with nonlinear contemporaneous structure
- Vector error correction models to measure connectedness of bitcoin exchange markets
- Estimating nonlinear dynamic equilibrium models by matching impulse responses
- Uncertainty shocks and the great recession: nonlinearities matter
- Large Spillover Networks of Nonstationary Systems
- Bayesian Dynamic Tensor Regression
- Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
- Matrix exponential GARCH
- Yield curve in an estimated nonlinear macro model
- Time series experiments and causal estimands: exact randomization tests and trading
- A nonlinear long memory model, with an application to US unemployment.
- 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 effect of monetary and fiscal credibility on exchange rate pass-through in an emerging economy
- The nonlinear effects of uncertainty shocks
- Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles
- Dynamic Vector Mode Regression
- Generalized impulse response analysis in linear multivariate models
- Matrix autoregressive models: generalization and Bayesian estimation
- Are generalized spillover indices overstating connectedness?
- The fiscal state-dependent effects of capital income tax cuts
- Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk
- Large shocks vs. small shocks. (Or does size matter? May be so.)
- Macroeconomic environment, money demand and portfolio choice
- Stationary bubble equilibria in rational expectation models
- Reprint of: On the network topology of variance decompositions: measuring the connectedness of financial firms
- Solving DSGE models with a nonlinear moving average
- Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction
- Quantiles dependence and dynamic connectedness between distributed ledger technology and sectoral stocks: enhancing the supply chain and investment decisions with digital platforms
- Life-cycle consumption under social interactions
- UNCERTAINTY AND MONETARY POLICY DURING THE GREAT RECESSION
- On the speed of adjustment in ESTAR models when allowance is made for bias in estimation
- Nonlinearities, smoothing and countercyclical monetary policy
- Unit root tests in three‐regime SETAR models
- Cross-category, trans-pacific spillovers of policy uncertainty and financial market volatility
- 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
- Speed of adjustment in cointegrated systems
- Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes
- Changes in the effects of monetary policy on disaggregate price dynamics
- Nonlinear dynamics in Nasdaq dealer quotes
- State-dependent effects of fiscal policy
- Monetary policy when wages are downwardly rigid: Friedman meets Tobin
- Interest rate swaps and the transmission mechanism of monetary policy: a quantile connectedness approach
- Debt-deflation, financial market stress and regime change -- evidence from Europe using MRVAR
- Asymmetric effects of exogenous tax changes
- The macroeconomic effects of uncertainty shocks: the role of the financial channel
- Debt dynamics in Europe: a network general equilibrium GVAR approach
This page was built for publication: Impulse response analysis in nonlinear multivariate models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1126497)
