Fig. 2

Impulse-response functions of market capitalizations (long run). Impulse response functions based on the cointegrated VAR with 2 lags and an unrestricted trend are shown for the time horizon of 180 days (x-axes) with a standard deviation of the given series as a unit of measurement. The effect of a unit standard deviation shock is shown on the y-axes. The black curves show the estimated effects, and the shaded areas represent the 90% bootstrapped confidence bands