INVESTIGADORES
MONTES ROJAS Gabriel Victorio
congresos y reuniones científicas
Título:
Multivariate quantile impulse response functions
Autor/es:
MONTES ROJAS, GABRIEL VICTORIO
Lugar:
Pisa
Reunión:
Conferencia; 12th International Conference on Computational and Financial Econometrics (CFE 2018); 2018
Institución organizadora:
Computational and Financial Econometrics Network
Resumen:
A reduced form multivariate quantile autoregressive model is developed to studyheterogeneity in the eects of macroeconomic shocks. This framework is used for forecasting and for constructing quantile impulse response functions that explore dynamic heterogeneity in the response of endogenous variables to dierent shocks. The methodology allows evaluating dierent quantile paths, dened as the dynamic effects for a x collection of quantile indexes. The model is applied to study monetary shocks in a three-variable macroeconomic model (output gap, ination, Fed Funds rate) for the U.S. for the period 1980q1-2010q1.