A0490
Title: Quantile structural vector autoregression
Authors: Josef Ruzicka - Nazarbayev University (Kazakhstan) [presenting]
Abstract: Standard impulse response functions measure the effects of shocks on the expectation of response variables. A framework is introduced to measure the effects of shocks on the entire distribution of response variables, not just on the mean. Various identification schemes are considered: short-run and long-run restrictions, external instruments, and their combinations. The asymptotic distribution of the estimators is established. Simulations show the method is robust to heavy tails. Empirical applications reveal causal effects that cannot be captured by the standard approach. For example, the effect of oil price shock on GDP growth is statistically significant only in the left part of GDP growth distribution, so a spike in oil price may cause a recession, but there is no evidence that a drop in oil price may cause an expansion. Another application reveals that real activity shocks reduce stock market volatility.
