My name is Terri van der Zwan, and I am a Ph.D. candidate in Econometrics at the Econometric Institute of Erasmus University Rotterdam and the Tinbergen Institute. My research focuses on the intersection of macroeconomics and finance.
Research interests
My research interests include time series econometrics, asset pricing, finance, empirical macroeconomics, and machine learning methods.
Multiple Shock Impulse Response Functions
This paper introduces multiple shock impulse response functions, which consider the cumulative effects of simultaneous shocks within one period. The concept generalizes individual shock impulse response functions, accounts for the dependence between shocks, and is applicable to various multivariate time series models. It is relevant for identifying underlying primitive structural shocks and using regional shocks as global structural proxies.
Simulation studies highlight its necessity for accurately interpreting the total effect of shocks and mitigating potential temporal aggregation issues. Applied to a global vector autoregression framework for France, Germany, Italy, and Spain, multiple shock impulse response functions offer insights into monetary policy dynamics during uncertainty spikes and serve as a stress test. For area-wide equity shocks, they align more closely with long-term theoretical expectations than the traditional GDP-weighted method, highlighting their ability in capturing economic dynamics.
Read more about my paper on my website.
CV
My CV is available on my website
Contact
References
Michel van der Wel (supervisor)
Erik Kole (supervisor)
Robin Lumsdaine
Allan Timmermann