Title: On the distribution of impulse-response functions in macroeconomic shocks
Authors: Gabriel Montes-Rojas - Universidad de Buenos Aires (Argentina) [presenting]
Abstract: A multivariate vector autoregressive model is used to construct the distribution of the impulse-response functions of macroeconomics shocks. In particular, the aim is to study the distribution of the short, medium and long term effects of shocks and evaluate the occurrence of extreme events. The model considers a reduced form quantile vector autoregressive model where heterogeneity in conditional effects can be evaluated using a simulation of uniformly distributed random vectors each period. The proposed model provides point estimation of the entire distribution of potential events. An empirical example on evaluating monetary shocks is presented.