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Asymmetric generalized impulse responses and variance decompositions with an application

Hatemi-J, Abdulnasser (2011): Asymmetric generalized impulse responses and variance decompositions with an application.

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Abstract

This paper introduces asymmetric impulse response functions and asymmetric variance decompositions. It is shown how the underlying variables can be transformed into cumulative positive and negative changes in order to estimate the impulses to an asymmetric innovation. An application is provided to demonstrate how the propagation mechanism of these asymmetric impulses and responses operates.

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