Multivariate Quantile Impulse Response Functions

A reduced form multivariate quantile autoregressive model is developed to study heterogeneity in the effects 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 varia...

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Bibliographic Details
Published inJournal of time series analysis Vol. 40; no. 5; pp. 739 - 752
Main Author Montes‐Rojas, Gabriel
Format Journal Article
LanguageEnglish
Published Oxford, UK John Wiley & Sons, Ltd 01.09.2019
Blackwell Publishing Ltd
Subjects
Autoregressive models
Economic models
Endogenous
Forecasting
Heterogeneity
Impulse response
impulse response functions
Inflation
Macroeconomics
Multivariate analysis
Multivariate quantiles
multivariate time‐series
Regression analysis
Response functions
Time series
vector autoregression
United States > US
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Summary:A reduced form multivariate quantile autoregressive model is developed to study heterogeneity in the effects 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 different shocks. The methodology allows evaluating different quantile paths, defined as the dynamic effects for a fix collection of quantile indexes. The model is applied to study monetary shocks in a three‐variable macroeconomic model (output gap, inflation, Fed Funds rate) for the USA for the period 1980q1–2010q1.
Bibliography:STATA codes and data to apply the procedures in the empirical application and the Appendix are available at the permanent link
Data Availability Statement
http://gabrielmontes.com.ar/qirf.zip
ISSN:0143-9782
1467-9892
DOI:10.1111/jtsa.12452