Many papers have highlighted that some macroeconomic time series present structural instability. The causes of these remarkable changes in the reduced form properties of the macroeconomy is a debated argument. In literature this issue is handled with three main econometric methodologies:...

This paper studies the dynamic responses of the conditional quantiles and their applications in macroeconomics and finance. We build a multi-equation autoregressive conditional quantile model and propose a new construction of quantile impulse response functions (QIRFs). The tool set of QIRFs...