Estimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Gabriel Montes-Rojas
Keyword(s):  
Impulse Response ◽  
Reduced Form ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Long Term Effects ◽  
Vector Autoregressive ◽  
Conditional Effects ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Multivariate Quantile

Abstract A multivariate vector autoregressive model is used to construct the distribution of the impulse-response functions of macroeconomics shocks. In particular, the paper studies the distribution of the short-, medium-, and long-term effects after a shock. Structural and reduced form quantile vector autoregressive models are developed where heterogeneity in conditional effects can be evaluated through multivariate quantile processes. The distribution of the responses can then be obtained by using uniformly distributed random vectors. An empirical example of exchange rate pass-through in Argentina is presented.

scholarly journals Exchange rate pass-through to domestic prices in Namibia: SVAR evidence

2014 ◽  
Vol 7 (1) ◽  
pp. 89-102 ◽  
Author(s):  
Johannes Sheefeni ◽  
Matthew Ocran
Keyword(s):  
Exchange Rate ◽  
Impulse Response ◽  
Price Level ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Domestic Prices ◽  
Variance Decompositions ◽  
The Exchange Rate ◽  
Pass Through ◽  
Exchange Rate Pass Through

This article investigates exchange rate pass-through to domestic prices in Namibia. The study covers the period of 1993:Q1 – 2011:Q4, and employed the impulse response functions and variance decompositions obtained from a structural vector autoregressive model. The results from the impulse response functions show that there is a high and long-lasting effect from changes in exchange rates to inflation in Namibia, or high exchange rate pass-through into domestic inflation. The results from the forecast error variance decompositions also reflect that changes in the price level evolve endogenously with changes in the exchange rate. The results are in agreement with the findings of the impulse response functions regarding the significant effect of the exchange rate variable on domestic prices (inflation). The results confirm an incomplete pass-through, indicating that the purchasing power parity theory does not hold, with regard to the price level, in the context of Namibia.

Results and Discussion 2

2014 ◽  
pp. 180-225
Keyword(s):  
Financial Development ◽  
Impulse Response ◽  
Productivity Growth ◽  
Variance Decomposition ◽  
Dynamic Responses ◽  
Response Analysis ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Vector Autoregressive ◽  
The Empirical Analysis

The empirical analysis of this chapter provides insights into the functioning of the economies of three selected countries. Later in the chapter, the dynamic responses of the model to shocks in indicators of financial development are investigated. To obtain credible impulse response analysis, economic theory is used to set the required identifying restrictions instead of using an “unrestricted” vector autoregressive model. The structural form of the model then is summarised in the chapter by the variance decomposition and impulse response functions. The general results from impulse response functions advocate the theory of financial intermediation arguing that the development of the financial market helps to promote economic growth. Furthermore, the results of variance decomposition shows that different measures of financial development influence the variation of growth variables, particularly investment, savings, and productivity growth.

Study of Short-Run Grain Movements on the Inland Waterway System

2005 ◽  
Vol 1909 (1) ◽  
pp. 8-16 ◽  
Author(s):  
Mark A. Thoma ◽  
Wesley W. Wilson
Keyword(s):  
Time Series ◽  
Impulse Response ◽  
Important Variable ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Vector Autoregressive ◽  
Planning Models ◽  
Long Run ◽  
Short Run ◽  
Variance Decompositions

Time series techniques—particularly impulse–response functions and variance decompositions—are used to characterize the short-run relationships between 17 variables in a vector autoregressive model designed to trace the short-run interconnections among variables affecting lockages on the Mississippi and Illinois Rivers. The model contains five categories of variables: lockages, barge rates, grain bids, rail rates, and rail deliveries. Variance decompositions are constructed that identify barge rates as the most important variable affecting lockages at both short and long horizons. Barge rates are, in turn, explained largely by lockages and rail rates, indicating two-way feedback or bidirectional causality between lockages and barge rates. Impulse–response functions are also examined. The variance decompositions indicate that barge rates are important in explaining lockages, and the impulse–response functions show how lockages and other variables respond to such shocks. In general, there is a substitution away from barge transportation and toward rail transportation when barge rates increase. The results are useful for illuminating the causal relationships among variables in the model and for understanding behavioral relationships present in the data and can be used to guide short- and long-run planning models. For example, many planning models assume that barge traffic does not respond significantly to changes in barge rates; however, results obtained here imply that barge traffic and rail deliveries do respond to such changes. This potentially important implication illustrates the usefulness of the time series techniques used.

The Utility of Impulse Response Functions in Regional Analysis: Some Critical Issues

1993 ◽  
Vol 15 (2) ◽  
pp. 199-222 ◽  
Author(s):  
Jeff B. Cromwell ◽  
Michael J. Hannan
Keyword(s):  
Impulse Response ◽  
Regional Analysis ◽  
Model Specification ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Vector Autoregressive ◽  
Critical Issues ◽  
Order Determination ◽  
Selection Order ◽  
Actual Size

Regional scientists have long been interested in measuring the effects of various external and internal stimuli on a regional economy. Measuring the actual size and timing of exogenous and endogenous impacts has been of special interest, as numerical or estimation techniques allow regional actors (governments, business, and others) to make policy-type probability statements and actions in response to changes to these stimuli. Recently, the use of vector autoregressive (VAR) models and, consequently, impulse response functions has become increasingly popular. This paper will closely examine the VAR methodology and its assumptions and will address the types of empirical issues that arise from actual regional implementation. The issues of stationarity, model specification and selection, order determination, and impulse responses are discussed.

scholarly journals Exchange Rate Pass-Through to Prices in Mexico: A Study of the Main Border and Non-Border Cities

2021 ◽  
Vol 16 (2) ◽  
pp. 1-24
Author(s):  
Eduardo Saucedo ◽  
Jorge Gonzalez
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Service Sector ◽  
Consumer Price Index ◽  
Commodity Prices ◽  
Impulse Response Functions ◽  
Vector Autoregressive ◽  
Employment Share ◽  
Pass Through ◽  
Exchange Rate Pass Through

This study analyzes the exchange rate pass-through effect on the Consumer Price Index (CPI) in Mexico's main border and 27 non-border metropolitan cities. The period examined includes monthly data from January 2002 to December 2019. A vector autoregressive model (VAR) is used, which includes formal employment at the city level as a proxy to economic development, interest rates, nominal exchange rates, each analyzed city’s CPI, U.S. consumer prices, energy commodity prices and control variables such as service sector employment share and large firm employment share. Impulse response functions are constructed. Results for the 2002-2016 period indicate that exchange rate changes primarily affect border cities. Different arguments are included to justify such results. Pass-through values are also found to increase in general for all cities when the period 2017-2019 (January 2017 when important gasoline price shocks started previous its price liberalization in December 2017) is included in the regressions.

Impulse-response functions and anthropogenic CO2

1995 ◽  
Vol 22 (4) ◽  
pp. 413-416 ◽  
Author(s):  
Francesco N. Tubiello ◽  
Michael Oppenheimer
Keyword(s):  
Impulse Response ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Anthropogenic Co2
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