SEMINARIO DE INVESTIGACIÓN DEL IIEP (UBA-CONICET).

Gabriel Montes Rojas

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 U.S. for the period 1980q1-2010q1.