Large shocks vs. small shocks. (Or does size matter? May be so.)

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dc.contributor.author Gonzalo, Jesús
dc.contributor.author Martínez, Oscar
dc.date.accessioned 2008-12-03T10:38:03Z
dc.date.available 2008-12-03T10:38:03Z
dc.date.issued 2006
dc.identifier.bibliographicCitation Journal of Econometrics, n. 135, 2006, p. 311-347
dc.identifier.issn 0304-4076
dc.identifier.uri http://hdl.handle.net/10016/3229
dc.description.abstract What are the shocks that drive economic fluctuations? The answer to this question requires as a first step solving the shock identification issue. This paper proposes a new identification scheme based on two aspects: the long-run effect of the shock (permanent or transitory), and the size of the shock (Large or small). This is done by using a threshold integrated moving average model (TIMA) previously introduced in the literature by the authors. Based on this model we develop a testing strategy to determine whether Large and small shocks have different long-run effects, as well as whether one of them is purely transitory. The paper analyzes the impulse response function of both types of shocks, and provides the asymptotic results sufficient to implement the above testing strategy. Based on these results we develop a new nonlinear permanent–transitory decomposition, that is applied to US stock prices to analyze the quality ofthe stock market, and to US GNP to investigate the asymmetric behavior of its shocks.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier
dc.subject.other Asymmetries
dc.subject.other Nonlinear permanent-transitory decomposition
dc.subject.other Persistence
dc.subject.other Shocks
dc.subject.other Threshold models
dc.title Large shocks vs. small shocks. (Or does size matter? May be so.)
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://www.sciencedirect.com/science?_ob=MImg&_imagekey=B6VC0-4HG6B1D-1-1&_cdi=5940&_user=143961&_orig=browse&_coverDate=12%2F31%2F2006&_sk=998649998&view=c&wchp=dGLbVlb-zSkWA&_valck=1&md5=0fd259982216b264cf34d8a6c52a71e9&ie=/sdarticle.pdf
dc.subject.jel C22
dc.subject.jel C51
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
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