INVESTIGADORES
MONTES ROJAS Gabriel Victorio
artículos
Título:
Estimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles
Autor/es:
MONTES ROJAS, GABRIEL VICTORIO
Revista:
Journal of Time Series Econometrics
Editorial:
De Gruyter Open Ltd
Referencias:
Año: 2022 vol. 14 p. 199 - 225
ISSN:
2194-6507
Resumen:
A multivariate vector autoregressive model is used to construct the distribution of the impulse-response functions of macroeconomics shocks. In particular, the paper studies the distribution of the short-, medium-, and long-term effects after a shock. Structural and reduced form quantile vector autoregressive models are developed where heterogeneity in conditional effects can be evaluated through multivariate quantile processes. The distribution of the responses can then be obtained by using uniformly distributed random vectors. An empirical example of exchange rate pass-through in Argentina is presented.
