Creating a shock
Posted: Mon Jul 11, 2011 12:49 pm
Hello,
I have a model forecasting the oil price that I built using add factors. I would like to simulate a shock of a suddent 10$ rise in 2011Q4.
What I did is, for the sample 2011Q4 to 2020, I had 10$ to the value of my add factors, then I put the sample back to 2000 to 2020.
After I solve the model and I was expecting to have a constant 10$ difference between my baseline and actuals values, but i had a non constant difference going from 8$ to 15$...
So, I was wondering if there was an other way to solve the model to be sure that we'll get a 10$ difference between the baseline and actual values.
Thank you!
I have a model forecasting the oil price that I built using add factors. I would like to simulate a shock of a suddent 10$ rise in 2011Q4.
What I did is, for the sample 2011Q4 to 2020, I had 10$ to the value of my add factors, then I put the sample back to 2000 to 2020.
After I solve the model and I was expecting to have a constant 10$ difference between my baseline and actuals values, but i had a non constant difference going from 8$ to 15$...
So, I was wondering if there was an other way to solve the model to be sure that we'll get a 10$ difference between the baseline and actual values.
Thank you!