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Causal Impulse Responses for Time Series

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  • Leonardo Marinho

Abstract

I develop the concept of impulse response in a causal fashion, defining analytical tools suitable for different policy analysis. Applications of techniques presented to models containing features like confounders or nonlinearities through Monte Carlo experiments are given. I also apply some of these techniques to practical macroeconomic problems, computing impulse responses of GDP, interest rate, inflation and real exchange rate to monetary policy decisions of Banco Central do Brasil, the Brazilian Central Bank.

Suggested Citation

  • Leonardo Marinho, 2022. "Causal Impulse Responses for Time Series," Working Papers Series 570, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:570
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    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps570.pdf
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