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Regime-dependent impulse response functions in a Markov-switching vector autoregression model.

Abstract:

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...

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Volume:
11
Series:
Bank of Finland Discussion Papers
Publication date:
2001-01-01
URN:
uuid:15d1b338-aef6-49ca-be64-bbb3ce0aedf3
Local pid:
oai:economics.ouls.ox.ac.uk:15141
Language:
English

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