Arbeitspapier
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 dependent on the regime.We go to illustrate the use of these regime-dependent 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.
- ISBN
-
951-686-723-5
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Finland Discussion Papers ; No. 11/2001
- Klassifikation
-
Wirtschaft
- Thema
-
vector autoregression
regime switching
shocks
new economy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ehrmann, Michael
Ellison, Martin
Valla, Natacha
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Ehrmann, Michael
- Ellison, Martin
- Valla, Natacha
- Bank of Finland
Entstanden
- 2001
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