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Relevant bibliographies by topics / Generalized Impulse Response Functions

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Journal articles

Academic literature on the topic 'Generalized Impulse Response Functions'

Author: Grafiati

Published: 11 March 2023

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Journal articles on the topic "Generalized Impulse Response Functions"

1

Karamé, F. "An algorithm for generalized impulse-response functions in Markov-switching structural VAR." Economics Letters 117, no. 1 (2012): 230–34. http://dx.doi.org/10.1016/j.econlet.2012.04.089.

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Bação, Pedro, António Portugal Duarte, Helder Sebastião, and Srdjan Redzepagic. "Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?" Scientific Annals of Economics and Business 65, no. 2 (2018): 97–117. http://dx.doi.org/10.2478/saeb-2018-0013.

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Abstract This paper investigates the information transmission between the most important cryptocurrencies - Bitcoin, Litecoin, Ripple, Ethereum and Bitcoin Cash. We use a VAR modelling approach, upon which the Geweke’s feedback measures and generalized impulse response functions are computed. This methodology allows us to fully characterize the direction, intensity and persistence of information flows between cryptocurrencies. At this data granularity, most of information transmission is contemporaneous. However, it seems that there are some lagged feedback effects, mainly from other cryptocur

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Al-Shayeb, Abdulrahman, and Abdulnasser Hatemi-J. "Trade openness and economic development in the UAE: an asymmetric approach." Journal of Economic Studies 43, no. 4 (2016): 587–97. http://dx.doi.org/10.1108/jes-06-2015-0094.

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Purpose The purpose of this paper is to offer a review of the trade policy in the UAE. It also investigates the dynamic interaction between trade openness and GDP per capita in this emerging economy. Design/methodology/approach The asymmetric generalized impulse response functions and the asymmetric causality tests developed by Hatemi-J are used. Findings The results from asymmetric generalized impulse response functions indicate that a positive permanent shock in the trade openness results in a significant positive response in the cumulative sum of the positive component of the GDP per capita

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Hatemi-J, Abdulnasser, and Youssef El-Khatib. "The nexus of trade-weighted dollar rates and the oil prices: an asymmetric approach." Journal of Economic Studies 47, no. 7 (2020): 1579–89. http://dx.doi.org/10.1108/jes-06-2019-0266.

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PurposeThis paper investigates the dynamic relationship between the trade-weighted dollar exchange rates and the oil prices in the world market. Monthly data during 1980–2017 are used for this purpose.Design/methodology/approachThe symmetric and asymmetric generalized impulse response functions are estimated for these important economic indicators.FindingsThe empirical findings show that if the dollar rate increases (i.e. the dollar depreciates), the oil price will increase. The reverse relationship is also supported empirically meaning that an increase in the oil price will results in a signi

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YANG, Zi-Jiang, Teruo TSUJI, and Takaya SHONO. "Impulse Response Identification of Continuous Systems Using Generalized Radial Basis Function Networks." Transactions of the Society of Instrument and Control Engineers 31, no. 1 (1995): 14–21. http://dx.doi.org/10.9746/sicetr1965.31.14.

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Alvarez, Fernando, Francesco Lippi, and Aleksei Oskolkov. "The Macroeconomics of Sticky Prices with Generalized Hazard Functions." Quarterly Journal of Economics 137, no. 2 (2021): 989–1038. http://dx.doi.org/10.1093/qje/qjab042.

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Abstract We give a full analytic characterization of a large class of sticky-price models where the firm’s price-setting behavior is described by a generalized hazard function. Such a function allows for a vast variety of empirical hazards to be fitted. This setup is microfounded by random adjustment costs, as in Caballero and Engel (1999), or by information frictions, as in Woodford (2009). We establish two main results. First, we show how to identify all the primitives of the model, including the distribution of the fundamental adjustment costs and the implied generalized hazard function, us

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Nuru, Naser Yenus, and Hiluf Techane Gidey. "THE EFFECT OF EXCHANGE RATE UNCERTAINTY ON DOMESTIC INVESTMENT IN ETHIOPIA." INDIAN JOURNAL OF FINANCE AND ECONOMICS 3, no. 1 (2022): 91–102. http://dx.doi.org/10.47509/ijfe.2022.v03i01.07.

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There is no yet clear theoretical and empirical consensus on the relationship between exchange rate uncertainty and domestic investment. The main purpose of this study, therefore, is to examine the effect of real effective exchange rate uncertainty on domestic investment for the Ethiopian economy over the sample period 1992Q1- 2016Q1. To address this objective, Jordà’s (2005) local projection method is employed and generalized impulse response functions are generated in this study. The impulse response functions exhibit that one standard deviation shock in exchange rate uncertainty stimulates

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Rahman, Sajjadur, and Apostolos Serletis. "THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS." Macroeconomic Dynamics 15, S3 (2011): 437–71. http://dx.doi.org/10.1017/s1365100511000204.

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In this paper we investigate the effects of oil price uncertainty and its asymmetry on real economic activity in the United States, in the context of a bivariate vector autoregression with GARCH-in-mean errors. The model allows for the possibilities of spillovers and asymmetries in the variance–covariance structure for real output growth and the change in the real price of oil. Our measure of oil price uncertainty is the conditional variance of the oil price–change forecast error. We isolate the effects of volatility in the change in the price of oil and its asymmetry on output growth and empl

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Dugda, Mulugeta, and Farzad Moazzami. "Generalized Pattern Search Algorithm for Crustal Modeling." Computation 8, no. 4 (2020): 105. http://dx.doi.org/10.3390/computation8040105.

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In computational seismology, receiver functions represent the impulse response for the earth structure beneath a seismic station and, in general, these are functionals that show several seismic phases in the time-domain related to discontinuities within the crust and the upper mantle. This paper introduces a new technique called generalized pattern search (GPS) for inverting receiver functions to obtain the depth of the crust–mantle discontinuity, i.e., the crustal thickness H, and the ratio of crustal P-wave velocity Vp to S-wave velocity Vs. In particular, the GPS technique, which is a direc

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10

Šumichrast, L’Ubomír. "Unified approach to the impulse response and green function in the circuit and field theory, part I: one–dimensional case." Journal of Electrical Engineering 63, no. 5 (2012): 273–80. http://dx.doi.org/10.2478/v10187-012-0040-8.

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In the circuit theory the concept of the impulse response of a linear system due to its excitation by the Dirac delta function ƍ(t) together with the convolution principle is widely used and accepted. The rigorous theory of symbolic functions, sometimes called distributions, where also the delta function belongs, is rather abstract and requires subtle mathematical tools [1], [2], [3], [4]. Nevertheless, the most people intuitively well understand the delta function as a derivative of the (Heaviside) unit step function 1(t) without too much mathematical rigor. The concept of the impulse respons

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