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Jueves 05, julio, 2018

SEMINARIO DE INVESTIGACIN DEL IIEP-BAIRES (UBA-CONICET). Integrantes del IIEP-BAIRES


Fecha: Jueves 05, julio, 2018
Hora: 13:00

Investigador: Gabriel Montes Rojas

Los invitamos al próximo Seminario de Investigación organizado por el IIEP-BAIRES, que se realizará en la Facultad de Ciencias Económicas el jueves 05 de julio de 15 a 17 hs. aula 459,  Edificio Anexo.   

 

 "Multivariate quantile impulse response functions"

Gabriel Montes Rojas

 

A reduced form multivariate quantile autoregressive model is developed to study heterogeneity in the effects of macroeconomic shocks. This framework is used for forecasting and for constructing quantile impulse-response functions that explore dynamic heterogeneity in the response of endogenous variables to different shocks. The methodology allows evaluating different quantile paths, defined as the dynamic effects for a fix collection of quantile indexes. The model is applied to study monetary shocks in a three-variable macroeconomic model (output gap, inflation, Fed Funds rate) for the U.S. for the period 1980q1-2010q1. 

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