Regime-Dependent Impulse Response Functions in A Markov-Switching Vector Autoregression Model

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NONLINEARITIES IN THE DYNAMICS OF THE EURO AREA DEMAND FOR M1 (2008, unknown): “Following Ehrmann et al. (2003), we compute regime-dependent impulse responses, namely, responses conditional on a given regime prevailing at the time of the shock and throughout the horizon.”
Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013 (2014, unknown): “11 Refer to Ehrmann et al. (2003) for details on characteristics and computation of the regime-dependent impulse responses.”
Regime dependence of the fiscal multiplier (2012, methodology): “ct+i = Gc(k s t+i, At+i); (17) nt+i = Gn(k s t+i, At+i).”
Firm Size and Monetary Policy Transmission: Evidence from German Business Survey Data (2004, background): “Suggested Citation: Ehrmann, Michael (2004) : Firm size and monetary policy transmission: evidence from German business survey data, CESifo Working Paper, No.”
Markets contagion during financial crisis: A regime-switching approach☆ (2011, methodology): “To achieve this objective, we apply the regime-dependent impulse response function suggested in Ehrmann et al. (2003), which analogously describes the relationship between endogenous variables and fundamental disturbances within each Markovswitching regime.”