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EViews.com View topic - negative shocks to impulse response function

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negative shocks to impulse response function

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negative shocks to impulse response function

by chssb10 on Thu Sep 30, 2010 6:27 pm Anyone can help??? I'm actually running a model to study the impact of monetary policy on asset prices. A positive shock on interest rate can only allow me to see the impact of a contractionary monetary policy on
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EViews.com View topic - negative shocks to impulse response function

asset prices. What I am more interested in looking at is the impact of an expansionary monetary policy on asset prrices. So, I'm just wondering whether Eviews can give a negative shock to interest rate (which means an expansionary monetary policy". THANKS !!!! chssb10 Posts: 7 Joined: Wed Sep 22, 2010 3:02 am Private message Top Report this post Reply with quote

Re: negative shocks to impulse response function

by startz on Thu Sep 30, 2010 7:07 pm Is there anything asymmetric in your model? Does the sign of the shocks make any difference except to the direction of the response? startz Non-normality and collinearity are NOT problems! Posts: 1853 Joined: Wed Sep 17, 2008 10:25 pm Private message Top Report this post Reply with quote

Re: negative shocks to impulse response function

by EViews Glenn on Thu Sep 30, 2010 7:53 pm From the EViews User's Guide (which is a pretty good place to look)...

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EViews.com View topic - negative shocks to impulse response function

User Specified allows you to specify your own impulses. Create a matrix (or vector) that contains the impulses and type the name of that matrix in the edit box. If the VAR has k endogenous variables, the impulse matrix must have k rows and 1 or k columns, where each column is a impulse vector. For example, say you have a k=3 variable VAR and wish to apply simultaneously a positive one unit shock to the first variable and a negative one unit shock to the second variable. Then you will create a 3x1 impulse matrix containing the values 1, -1, and 0. Using commands, you can enter: matrix(3,1) shock shock.fill(by=c) 1,-1,0 and type the name of the matrix SHOCK in the edit box. EViews Glenn EViews Developer Posts: 1545 Joined: Wed Oct 15, 2008 5:17 pm Private message Top Report this post Reply with quote

Re: negative shocks to impulse response function

by chssb10 on Fri Oct 01, 2010 2:23 pm Re: startz I'd like to have a negative shock since I identify the money supply shocks through interest rate. A negative shock to interest rate will then imply a positive money supply shock, which will allow me to give a better interpretation to the result, given that my aim is to test whether an asset price bubble is fuelled by the loose monetary policy. Re: Eviews Glenn So, if I specify the shock by creating the matrix, is the impulse response generated based on the set of short-run identification scheme that I've imposed? chssb10 Posts: 7 Joined: Wed Sep 22, 2010 3:02 am Private message
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EViews.com View topic - negative shocks to impulse response function

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Re: negative shocks to impulse response function

by startz on Fri Oct 01, 2010 2:25 pm Glenn has given you a detailed approach. But most VARs are symmetric. You may be able to use the standard results and reverse the sign. startz Non-normality and collinearity are NOT problems! Posts: 1853 Joined: Wed Sep 17, 2008 10:25 pm Private message Top Report this post Reply with quote

Re: negative shocks to impulse response function

by chssb10 on Fri Oct 01, 2010 2:32 pm Thanks so much. In fact, I am running a structural VAR model with short-run restrictions. I generate the impulse response functions by clicking the "structural decomposition" option. So, there'll be no difference between the responses of a negative shock and a positive shock, right? chssb10 Posts: 7 Joined: Wed Sep 22, 2010 3:02 am Private message Top Report this post
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EViews.com View topic - negative shocks to impulse response function

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Re: negative shocks to impulse response function

by startz on Fri Oct 01, 2010 2:35 pm I think that's right, except for the sign of course. Glenn??? startz Non-normality and collinearity are NOT problems! Posts: 1853 Joined: Wed Sep 17, 2008 10:25 pm Private message Top Report this post Reply with quote

Re: negative shocks to impulse response function

by chssb10 on Fri Oct 01, 2010 3:28 pm Thanks very much startz. =) chssb10 Posts: 7 Joined: Wed Sep 22, 2010 3:02 am Private message Top Report this post Reply with quote

Re: negative shocks to impulse response function

by Fenix on Wed Feb 09, 2011 12:31 pm Hey guys! I have a similar question, which simplifies mostly to 'how do I reverse the sign?` I have a symmetric VAR, it is a small sample and I want to use Cholesky dof adjusted. If I do it as the user guide
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EViews.com View topic - negative shocks to impulse response function

(and Glenn) suggested, I get a shock, which is actually a residual shock (i.e. the shock imposed by my matrix produce identical results to the shocks of using 'residual - one unit'). However the IRs are different, depending on what you use and I would like to have the Cholesky dof. My VAR is symmetric, so I just need to reverse the signs, because I need the negative effects (for expositional purposes). Thanks!

P.s. I hijacked this thread, because it regards similar problem and it would be easier for people later that search for it (the way I found this one). If you believe it is inappropriate, I will open a new thread. I am using Eviews 5.0 Fenix Posts: 8 Joined: Fri Feb 04, 2011 6:52 pm Private message Top Report this post Reply with quote

Re: negative shocks to impulse response function

by Fenix on Sat Feb 12, 2011 8:58 pm Anyone? Fenix Posts: 8 Joined: Fri Feb 04, 2011 6:52 pm Private message Top Display posts from previous: All posts Post a reply 10 posts Page 1 of 1 Return to Programming
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