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Identifier

000440871

Title

Multivariate quantile impulse response functions applied in microeconomic data

Alternative Title

Πολυμεταβλητές συναρτήσεις quantile αιφνιδίων αντιδράσεων εφαρμοσμένες σε μικροοικονομικά δεδομένα

Author

Τσαλούπης, Νικόλαος

Author

Τσιώτας Γεώργιος

Reviewer

Γιανέλλης Νικόλαος
Παπαδόπουλος Αθανάσιος

Abstract

In this dissertation a simple multivariate quantile autoregressive model is being used to study heterogeneity in the effects of macroeconomic shocks. In the first half we present a theoretical base as far as quantile regression is concerned. In the second half, we estimate the 𝑉𝐴𝑅𝑄 and perform 𝑄𝐼𝑅𝐹 analysis using a three-variable macroeconomic model (with output gap, inflation and Fed Funds rate) for different countries that are part of the E.U (Finland, Germany, Greece and Italy), for a set period of 20 years (1995𝑞ଵ-2015𝑞ଵ). We use quantile impulse response functions in order to explore dynamic heterogeneity in the response of endogenous variables to different shocks. The evaluation of the different quantile paths as the dynamic effects for a fixed collection of quantile indexes shows as a result that, some countries have the same response in a given shock, some don’t follow the same pattern as others and others can have the exact opposite behavior or their own unique response to the shock. The reason why these differences in the responses of the different counties occur may lay in the unique characteristics of each county’s economic structure.

Language

English

Subject

Impulse response functions

Multivariate quantile

Quantile functions

Πολυμεταβλητά Quantile

Συναρτήσεις Quantile

Συναρτήσεις αιφνιδίων αντιδράσεων

Issue date

2020

Collection