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Browsing by Author "EHRMANN, Michael"
Now showing items 1-6 of 6
Title:Regime-Dependent Impulse Response Functions in a Markov-Switching Vector Autoregression Model
Author(s):EHRMANN, Michael; ELLISON, Martin; VALLA, NatachaDate:2003Type of Publication:ArticleAbstract:This paper combines both Markov-switching and structural identifying restrictions in a vector autoregression model. The resulting regime-dependent impulse response functions show how the reaction of variables in the model ...
Title:The Exchange Rate - A Shock-Absorber or Source of Shocks? A Study of Four Open Economies
Author(s):ARTIS, Michael J.; EHRMANN, MichaelDate:2000Type of Publication:Working PaperSeries/Report no.:CEPR Discussion PaperAbstract:The paper provides SVAR estimates for four open economies: the UK, Canada, Sweden and Denmark, making explicit a monetary policy reaction function and taking account of exchange rate targeting practices. The object of the ...
