Impulse response analysis in conditional quantile models with an application to monetary policy

DOI10.1016/j.jedc.2021.104102zbMath1475.91210OpenAlexW3135804506MaRDI QIDQ2246585

Tae-Hwan Kim, Dongjin Lee, Paul Mizen

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://www.nottingham.ac.uk/cfcm/documents/papers/2020/cfcm-2020-08.pdf

zbMATH Keywords

structural vector autoregressionquantile vector autoregressionmonetary policy shockquantile impulse response function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (1)

The stock implied volatility and the implied dividend volatility

Uses Software

• CAViaR

Cites Work

• Unnamed Item
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• Quantile Autoregression

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