Regime-dependent impulse response functions in a Markov-switching vector autoregression model.
In this paper we introduce identifying restrictions into a Markov-switching vector autoregression model. We define a separate set of impulse responses for each Markov regime to show how fundamental disturbances affect the variables in the model on the regime. We go to illustrate the use of these re...
| Main Authors: | , , |
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| Format: | Working paper |
| Language: | English |
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Bank of Finland
2001
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| _version_ | 1797055238138494976 |
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| author | Ehrmann, M Ellison, M Valla, N |
| author_facet | Ehrmann, M Ellison, M Valla, N |
| author_sort | Ehrmann, M |
| collection | OXFORD |
| description | In this paper we introduce identifying restrictions into a Markov-switching vector autoregression model. We define a separate set of impulse responses for each Markov regime to show how fundamental disturbances affect the variables in the model on the regime. We go to illustrate the use of these regimedependent impulse response functions in a model of the U.S. economy. The regimes we identify come close to the “old” and “new economy” regimes found in recent research. We provide evidence that oil price shocks are much less contractionary and inflationary than they used to be. We show furthermore that the decoupling of the US economic performance from oil price shocks cannot be explained by “good luck” alone, but that structural changes within the US economy have taken place. |
| first_indexed | 2024-03-06T19:08:00Z |
| format | Working paper |
| id | oxford-uuid:15d1b338-aef6-49ca-be64-bbb3ce0aedf3 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T19:08:00Z |
| publishDate | 2001 |
| publisher | Bank of Finland |
| record_format | dspace |
| spelling | oxford-uuid:15d1b338-aef6-49ca-be64-bbb3ce0aedf32022-03-26T10:27:40ZRegime-dependent impulse response functions in a Markov-switching vector autoregression model.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:15d1b338-aef6-49ca-be64-bbb3ce0aedf3EnglishDepartment of Economics - ePrintsBank of Finland2001Ehrmann, MEllison, MValla, NIn this paper we introduce identifying restrictions into a Markov-switching vector autoregression model. We define a separate set of impulse responses for each Markov regime to show how fundamental disturbances affect the variables in the model on the regime. We go to illustrate the use of these regimedependent impulse response functions in a model of the U.S. economy. The regimes we identify come close to the “old” and “new economy” regimes found in recent research. We provide evidence that oil price shocks are much less contractionary and inflationary than they used to be. We show furthermore that the decoupling of the US economic performance from oil price shocks cannot be explained by “good luck” alone, but that structural changes within the US economy have taken place. |
| spellingShingle | Ehrmann, M Ellison, M Valla, N Regime-dependent impulse response functions in a Markov-switching vector autoregression model. |
| title | Regime-dependent impulse response functions in a Markov-switching vector autoregression model. |
| title_full | Regime-dependent impulse response functions in a Markov-switching vector autoregression model. |
| title_fullStr | Regime-dependent impulse response functions in a Markov-switching vector autoregression model. |
| title_full_unstemmed | Regime-dependent impulse response functions in a Markov-switching vector autoregression model. |
| title_short | Regime-dependent impulse response functions in a Markov-switching vector autoregression model. |
| title_sort | regime dependent impulse response functions in a markov switching vector autoregression model |
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