Permanent and transitory shocks in the presence of asymmetric error correction
This article highlights the potential importance of asymmetries in the loading vector of a set of cointegrated variables for the construction, analysis and interpretation of permanent and transitory shocks using impulse response functions. We derive an asymmetric version of the Permanent–Transitory...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Routledge
2015
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/33803 |