Asymmetric generalized impulse responses with an application in finance

C-Tier
Journal: Economic Modeling
Year: 2014
Volume: 36
Issue: C
Pages: 18-22

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Since the seminal work by Sims (1980), the impulse response functions are regularly applied to capture the propagation mechanism of a shock across time. This paper suggests a new approach for allowing asymmetry in the impulse response functions. This is an issue that has been neglected in the existing literature on the estimation of impulses. In the current paper it is shown how the underlying variables can be transformed into cumulative positive and negative changes in order to estimate the impulses to an asymmetric innovation. An application is provided to demonstrate how the propagation mechanism of an asymmetric impulse operates.

Technical Details

RePEc Handle
repec:eee:ecmode:v:36:y:2014:i:c:p:18-22
Journal Field
General
Author Count
1
Added to Database
2026-01-25