B0428
Title: Impulse response analysis in Markov switching vector autoregressions
Authors: Maddalena Cavicchioli - University of Modena and Reggio Emilia (Italy) [presenting]
Abstract: The regime-dependent impulse response functions are exactly derived for a Markov switching vector autoregression (VAR) model in terms of neat matrix expressions in closed form. The key is to recognize that the latent first-order Markov switching process in the model has a VAR(1) representation, and that the model can be cast into a state-space form. Using such a representation, the regime-dependent impulse response function analysis can be processed with respect to either an asymmetric discrete shock or to a symmetric continuous shock.
