![]() It looks very small to me, so either my model has some issues, or I misinterpret the IRF.Īlso, how do I know the SD used by Eviews for the shock ? In other words, say I want to calibrate the impact of an uncertainty shock wrt past events.say a variation of 200pts of my uncertainty index. My question is the following: how do I interpret the impulse response numbers (see for instance tri_graph or tri_coeff) in the file) ?Īre they directly interpretable in % terms ? Say, a 1 std variation in uncertainty has a 0.6% impact on FX (given that the variable is log-differentiated) after 4 months? I am trying to estimate different VAR models to see the impact of an uncertainty shock on macro variables (industrial production, employment.) and FX (cf attached file). I have a very basic question, but I am a bit stuck right now.
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