Skip to main content
Financial Innovation
Fig. 10 | Financial Innovation

Fig. 10

From: Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach

Fig. 10

Response of hedge fund beta to a moderate and strong negative and positive GDP growth shocks in low and high regimes, general index and strategies. Notes: These plots correspond to the impulse response functions of strategies’ betas to GDP growth shocks. They are built with the Balke’s (2000) nonlinear impulse response functions algorithm using the generalized impulse response function to identify structural shocks (Koop et al. 1996; Pesaran and Shin 1997, 1998). For each strategy, we have two kinds of shocks: positive and negative shocks of GDP growth, and moderate and strong shocks, corresponding to one and two standard deviations of the value of the shocks, respectively, for a total of four impulse response functions by regime for each strategy. Moreover, Balke (2000) considers two categories of regimes separated by an optimal threshold value: a low and a high regime. The significance of the threshold values is evaluated with Wald tests

Back to article page