Hi,
is it possible to plot the response to a negative 1 standard deviation shock? How?
Anton
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IR to a negative shock
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IR to a negative shock
by nakov » Thu Nov 30, 2006 10:29 am
- nakov
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Re: IR to a negative shock
by StephaneAdjemian » Fri Dec 01, 2006 9:51 am
Hi,
Yes it's possible. You just have to define an auxiliary variable. For instance, if epsilon is your exogenous variable, you can create an endogenous variable EPSILON such that EPSILON = -epsilon.
With an approximation at order one, the response to a negative shock is minus the response to a positive shock.
Best,
Stéphane.
Yes it's possible. You just have to define an auxiliary variable. For instance, if epsilon is your exogenous variable, you can create an endogenous variable EPSILON such that EPSILON = -epsilon.
With an approximation at order one, the response to a negative shock is minus the response to a positive shock.
Best,
Stéphane.
nakov wrote:Hi,
is it possible to plot the response to a negative 1 standard deviation shock? How?
Anton
- StephaneAdjemian
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by nakov » Fri Dec 01, 2006 12:35 pm
Hi, thanks,
I was referring to 2nd order approximation in which responses to shocks can be asymmetric. But I guess a similar trick may be applied - the shock process can be redefined such that the innovation enters with a minus sign. In that case a positive 1 standard deviation of the innovation would be like a negative shock, am I right?
I was referring to 2nd order approximation in which responses to shocks can be asymmetric. But I guess a similar trick may be applied - the shock process can be redefined such that the innovation enters with a minus sign. In that case a positive 1 standard deviation of the innovation would be like a negative shock, am I right?
- nakov
- Posts: 12
- Joined: Mon Aug 01, 2005 9:32 am
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