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Sharp changes in IRFs

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Sharp changes in IRFs

Postby tomnilson40 » Mon Jun 03, 2013 6:44 am

Hi all,

I have a very general question about the shape of IRFs after doing a simulation (stochastic or deterministic). I was wondering what the reason would be for a very sharp change (such as a V shape) in a IRF plot! I would appreciate any help.

Thanks.
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Re: Sharp changes in IRFs

Postby jpfeifer » Mon Jun 03, 2013 5:49 pm

Low persistence/propagation paired with a large shock. In the period the shock hits, there is a big reaction, but it hardly affects the period when the shock is 0.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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