Permanent and transitory shocks in the presence of asymmetric error correction
Access Status
Open access
Authors
Chan, Felix
MacDonald, Garry
Date
2015Type
Journal Article
Metadata
Show full item recordCitation
Chan, F. and MacDonald, G. 2015. Permanent and transitory shocks in the presence of asymmetric error correction. Applied Economics. 47 (25): pp. 2642-2648.
Source Title
Applied Economics
ISSN
School
School of Economics and Finance
Collection
Abstract
This article highlights the potential importance of asymmetries in the loading vector of a set of cointegrated variables for the construction, analysis and interpretation of permanent and transitory shocks using impulse response functions. We derive an asymmetric version of the Permanent–Transitory decomposition suggested by Gonzalo and Ng (2001) and illustrate the potential importance of such asymmetries using the ‘cay’ data of Lettau and Ludvigson (2004).
Related items
Showing items related by title, author, creator and subject.
-
Fraser, Patricia; Hoesli, M.; McAlevey, L. (2009)This paper specifies a two-variable system of house prices and income for N.Z., U.K. and the U.S., covering periods from 1973:4 through 2008:2. The analysis allows the identification of differences in house price-income ...
-
Chiswick, B.; Miller, Paul (2007)This paper uses the concept of a computer as a public good within the household to model the demand for computers at home. It also investigates the determinants, and consequences for earnings, of computer use. The equations ...
-
Arrow, Peter G. (1997)Caries of the pits and fissures of permanent teeth continues to be a problem for children. Newly erupted permanent molars are particularly at risk. Oral hygiene measures have been shown to be able to reduce the incidence ...