[Todos CMAT] Martes 7 de Mayo, Seminario del IESTA (SIESTA)

[gillanes en cmat.edu.uy]

Distribuyo la info del seminario del IESTA.
Saludos! 
El próximo seminario organizado por el IESTA será el Martes 7 de Mayo a las 14:00 horas en la sala de reuniones (Eduardo Acevedo 1139). 
Recuerden que todas las presentaciones y el programa tentativo de las próximas charlas está disponible en https://github.com/natydasilva/SIESTA (https://github.com/natydasilva/SIESTA)

El seminario estará a cargo de Gabriel Montes-Rojas
UBA, quién presentará:

 On the distribution of impulse-response functions in macroeconomic shocks

Abstract

A multivariate vector autoregressive model is used to construct the distribution
of the impulse-response functions of macroeconomics shocks. In particular, the paper
studies the distribution of the short-, medium and long-term effects of shocks and
evaluate the occurrence of extreme events. The model considers a reduced form quantile
vector autoregressive model where heterogeneity in conditional effects can be evaluated
using a simulation of uniformly distributed random vectors each period. Note that this
is different from computing the variance-covariance matrix of the mean-based impulse-
response functions (with asymptotic analysis or bootstrapping) and then evaluating the
probability of occurrence of events based on this. The reason is that this corresponds to
evaluate the uncertainty the econometrician has about the point estimator of the mean-
based impulse-responses and not about the heterogeneity of the responses themselves.
The proposed model provides point estimation of the entire distribution of potential
events. An empirical example on evaluating monetary shocks is presented.

Se agradece la difusión y esperamos puedan participar.

Saludos,
Natalia
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