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...

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Bibliographic Details
Main Authors: Chan, Felix, MacDonald, Garry
Format: Journal Article
Published: Routledge 2015
Subjects:
Online Access:http://hdl.handle.net/20.500.11937/33803