Show simple item record

dc.contributor.authorChan, Felix
dc.contributor.authorMacDonald, Garry
dc.date.accessioned2017-01-30T13:39:28Z
dc.date.available2017-01-30T13:39:28Z
dc.date.created2015-07-14T20:00:44Z
dc.date.issued2015
dc.identifier.citationChan, F. and MacDonald, G. 2015. Permanent and transitory shocks in the presence of asymmetric error correction. Applied Economics. 47 (25): pp. 2642-2648.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/33803
dc.identifier.doi10.1080/00036846.2015.1008765
dc.description.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).

dc.publisherRoutledge
dc.subjectpermanent and transitory shocks
dc.subjectasymmetry
dc.subjectimpulse responses
dc.subjectcointegration
dc.titlePermanent and transitory shocks in the presence of asymmetric error correction
dc.typeJournal Article
dcterms.source.volume47
dcterms.source.number25
dcterms.source.startPage2642
dcterms.source.endPage2648
dcterms.source.issn0003-6846
dcterms.source.titleApplied Economics
curtin.departmentSchool of Economics and Finance
curtin.accessStatusOpen access


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record