Multivariate Quantile Impulse Response Functions

A reduced form multivariate quantile autoregressive model is developed to study heterogeneity in the effects of macroeconomic shocks. This framework is used for forecasting and for constructing quantile impulse response functions that explore dynamic heterogeneity in the response of endogenous variables to different shocks. The methodology allows evaluating different quantile paths, defined as the dynamic effects for a fix collection of quantile indexes. The model is applied to study monetary shocks in a three‐variable macroeconomic model (output gap, inflation, Fed Funds rate) for the USA for the period 1980q1–2010q1.