Percent shock?

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cyp74
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Joined: Tue Mar 13, 2012 4:47 pm

Percent shock?

Postby cyp74 » Tue Sep 18, 2012 2:07 am

Hi,
Could anyone please help me with the following? In the cases below, what would be the interpretation of the unit shock in VAR? Also, the corresponding response of the other variables?
1-All the variables are in dlogs (first difference of the logs)
2-All variables except one are in dlogs. For example a VAR on output, interest rates and exchange rate where the interest rate is in levels. Output and exchange rate are in dlogs. What would the effect of a 1 unit shock to exchange rate be on interest rates?

Thanks

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