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dc.contributor.author
Montes Rojas, Gabriel Victorio  
dc.date.available
2020-12-02T14:18:48Z  
dc.date.issued
2019-08  
dc.identifier.citation
Montes Rojas, Gabriel Victorio; Multivariate Quantile Impulse Response Functions; Wiley Blackwell Publishing, Inc; Journal Of Time Series Analysis; 40; 5; 8-2019; 739-752  
dc.identifier.issn
0143-9782  
dc.identifier.uri
http://hdl.handle.net/11336/119577  
dc.description.abstract
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.  
dc.format
application/pdf  
dc.language.iso
eng  
dc.publisher
Wiley Blackwell Publishing, Inc  
dc.rights
info:eu-repo/semantics/restrictedAccess  
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/  
dc.subject
IMPULSE RESPONSE FUNCTIONS  
dc.subject
MULTIVARIATE QUANTILES  
dc.subject
MULTIVARIATE TIME-SERIES  
dc.subject
VECTOR AUTOREGRESSION  
dc.subject.classification
Economía, Econometría  
dc.subject.classification
Economía y Negocios  
dc.subject.classification
CIENCIAS SOCIALES  
dc.title
Multivariate Quantile Impulse Response Functions  
dc.type
info:eu-repo/semantics/article  
dc.type
info:ar-repo/semantics/artículo  
dc.type
info:eu-repo/semantics/publishedVersion  
dc.date.updated
2020-11-18T20:07:51Z  
dc.journal.volume
40  
dc.journal.number
5  
dc.journal.pagination
739-752  
dc.journal.pais
Reino Unido  
dc.journal.ciudad
Londres  
dc.description.fil
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina  
dc.journal.title
Journal Of Time Series Analysis  
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1111/jtsa.12452  
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://onlinelibrary.wiley.com/doi/abs/10.1111/jtsa.12452  

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