Impulse Response Functions
Bootstrapping Structural VARs: Avoiding a Potential Bias in Confidence Intervals for Impulse Response Functions
... for impulse response functions (IRFs) from structural vector autoregression (SVAR) models has become standard practice in empirical macroeconomic ...
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Variation in emission metrics due to variation in CO2 and temperature impulse response functions
... of scenario. Ideal are experiments where the response of the CC-model or AOGCMs gives directly an IRF. This can be easily realized for CC-models when using a pulse emission, as in J07, LTMIP, and J13. However, for ...
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The inflation targeting policy in Tunisia? Between perception and reality
... This study, based on the impulse response functions, can be completed as we have indicated by an analysis of the variance decomposition of the forecast error. The purpose to it is to appreciate the ...
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Testing for Financial Market Integration of the Chinese Market with the US Market
... generalized impulse response functions we find that the financial markets of these two biggest economies in the world are linked interactively when the markets are ...
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Liquidity Creation Through Efficient M&As:A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology
... of impulse response functions (IRFs) and their coefficients analysis, as well as forecast error variance decompositions (FEVDs) that let one examine the impact of innovations or shocks to any ...
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The Sources of Unemployment in Lesotho
... The impulse response functions, forecast error variance de- composition and historical decomposition jointly revealed that unemploy- ment dynamics in Lesotho largely emanate from shocks to ...
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Macroeconomic Aspects of Real Exchange Rate Volatility in the Central European Countries
... and impulse- response functions of selected endogenous variables to positive one standard deviation real exchange rate shock are computed for two models covering time series for two periods - ...
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Impact of fiscal policy shocks on the Indian economy
... on impulse response functions helps in addressing three main difficulties in using vector autoregression: firstly the distinction between systematic discretionary shocks and automatic responses of ...
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An Investigation of Spatial and Temporal Concepts in U.S. Corn and Soybean Markets
... of impulse response functions using the constant threshold model and the asymmetric variable threshold model indicated that the former underestimated the time-to-convergence and the magnitude of the ...
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Impact of oil price volatility on macroeconomic variables (A case study of Pakistan)
... This study examines the impact of oil price volatility on macroeconomic variables of the economy of Pakistan. We employed the Glosten, Jagannathan and Runkle (GJR) and Vector Autoregressive (VAR) models. The outcomes of ...
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Macroeconomic dynamics and inflation regimes in the U S Results from threshold vector autoregressions
... Generalized impulse response functions highlight important across-regime differences in the responses of the economy to monetary policy and inflation ...reaction functions has only very little ...
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Strategic Price Response in the Differentiated U.S. Yogurt Market
... result, impulse-response functions are used to predict the change in the price of a given brand over time as a result of a price shock of other brands, and as an alternative way to address the price ...
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Calculating and interpreting multipliers in the presence of non-Stationary time series: The case of U.S. federal infrastructure spending
... The empirical techniques used by economists in discussions regarding the response of the economy to actions taken by the monetary and fiscal authorities have changed over time. For example, the dynamic multiplier ...
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The Bern Simple Climate Model (BernSCM) v1.0: an extensible and fully documented open-source re-implementation of the Bern reduced-form model for global carbon cycle–climate simulations
... Abstract. The Bern Simple Climate Model (BernSCM) is a free open-source re-implementation of a reduced-form car- bon cycle–climate model which has been used widely in pre- vious scientific work and IPCC assessments. ...
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The role of monetary policy in managing the euro dollar exchange rate
... The US Federal Reserve’s new relaxed monetary policy (the so-called quantitative easing) has triggered controversy among economists and policy makers about its effectiveness. This paper investigates the role of monetary ...
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Evaluating the Impact of Crime on Tourism in Barbados: A Transfer Function Approach
... the impulse functions for specific types of crime (also shown in Figure ...The impulse response functions indicate that it takes the longest time for arrivals to return to normalcy ...
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Sources of exchange rate dynamics in the European transition economies
... variance. Impulse-response functions expressed the responses of NEER and REER to one standard deviation nominal, demand and supply ...the impulse-response function of NEER and REER in ...
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Positron Emission Tomography Compartmental Models
... The paper presents general theory for modelling of tissue data using either a plasma input (Section 2) or a reference tissue input (Section 3). Theory is also presented for the behaviour of the tracer in blood which ...
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The Resource Curse Hypothesis Revisited: Evidence from a Panel VAR
... panel impulse response functions to data on oil abundance vari- ables, economic growth and several political institutional variables in 76 countries classified by different income groupings, level of ...
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The use of SVAR analysis in determining the effects of fiscal shocks in Croatia
... 44 creases infl ation in the short run, while in the medium run, infl ation increases above the initial level, while the interest rate acts in the opposite direction. Such conclusions about infl ation and the interest rate ...
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