urgent need help VAR PLZZZZZ
Posted: Sat May 21, 2016 7:27 am
Hello
I m new with VAR also in their estimation, So , in my topic , I am led to do a stress test using the VAR model, my variables are as follows: dependent variable (NPL loan not perform) my endogenous variables (inflation, GDP, interest rates, exchange rates $, EUR exchange rate ,), my questions are:
* How to evaluate a shock GDP (phenomenon of ressecion)?
* How to interpret the shock response of GDP to the change in% of GDP?
I m new with VAR also in their estimation, So , in my topic , I am led to do a stress test using the VAR model, my variables are as follows: dependent variable (NPL loan not perform) my endogenous variables (inflation, GDP, interest rates, exchange rates $, EUR exchange rate ,), my questions are:
* How to evaluate a shock GDP (phenomenon of ressecion)?
* How to interpret the shock response of GDP to the change in% of GDP?