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 |
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Routledge
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/33803 |
| _version_ | 1848754047608160256 |
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| author | Chan, Felix MacDonald, Garry |
| author_facet | Chan, Felix MacDonald, Garry |
| author_sort | Chan, Felix |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 decomposition suggested by Gonzalo and Ng (2001) and illustrate the potential importance of such asymmetries using the ‘cay’ data of Lettau and Ludvigson (2004). |
| first_indexed | 2025-11-14T08:34:12Z |
| format | Journal Article |
| id | curtin-20.500.11937-33803 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:34:12Z |
| publishDate | 2015 |
| publisher | Routledge |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-338032017-09-13T16:08:57Z Permanent and transitory shocks in the presence of asymmetric error correction Chan, Felix MacDonald, Garry permanent and transitory shocks asymmetry impulse responses cointegration 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 decomposition suggested by Gonzalo and Ng (2001) and illustrate the potential importance of such asymmetries using the ‘cay’ data of Lettau and Ludvigson (2004). 2015 Journal Article http://hdl.handle.net/20.500.11937/33803 10.1080/00036846.2015.1008765 Routledge fulltext |
| spellingShingle | permanent and transitory shocks asymmetry impulse responses cointegration Chan, Felix MacDonald, Garry Permanent and transitory shocks in the presence of asymmetric error correction |
| title | Permanent and transitory shocks in the presence of asymmetric error correction |
| title_full | Permanent and transitory shocks in the presence of asymmetric error correction |
| title_fullStr | Permanent and transitory shocks in the presence of asymmetric error correction |
| title_full_unstemmed | Permanent and transitory shocks in the presence of asymmetric error correction |
| title_short | Permanent and transitory shocks in the presence of asymmetric error correction |
| title_sort | permanent and transitory shocks in the presence of asymmetric error correction |
| topic | permanent and transitory shocks asymmetry impulse responses cointegration |
| url | http://hdl.handle.net/20.500.11937/33803 |