Timeline for Identifying positive and negative shocks in impulse responses
Current License: CC BY-SA 4.0
5 events
| when toggle format | what | by | license | comment | |
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| S Nov 21, 2021 at 16:12 | review | First answers | |||
| Nov 21, 2021 at 21:00 | |||||
| S Nov 21, 2021 at 16:12 | history | edited | Johnny | CC BY-SA 4.0 |
added 533 characters in body
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| Nov 21, 2021 at 12:17 | comment | added | laliberte | Thanks for your reply. My point is that I don't know whether the shock at time t is positive or negative. This is because my impulse responses are based on a time series of pre-identified shocks (for instance oil price shocks or monetary policy shocks). In some econometrics textbooks, this is called the narrative approach. So the shock in Jan. 2010 could be -0.1 and in Feb 2010 it could be +0.5. Using local projections I get positive impulse responses over a time horizon of 12 months. But given that the sign of the underlying shocks varies over time, I don't know how to interpret them. | |
| S Nov 21, 2021 at 11:56 | review | First answers | |||
| Nov 21, 2021 at 12:16 | |||||
| S Nov 21, 2021 at 11:56 | history | answered | Johnny | CC BY-SA 4.0 |