Svar-Business cycle
Posted: Sun Sep 04, 2011 12:45 am
Dear friends,
I want to know about business cycle and monetary policy shock in oil exporting country .(quarterly data)
i run a var model on filtered data(HP):
GDP,m2,interest rate,oil price, oil production, exchange rate and inflation
my proper lag is 3( according SC) but when i draw impels functions i face whit a permanent fluctuations.(specially,GDP response to M2)
but when i use 1 lag GDP response will damp after4 periods.
Moreover, GDP and its first lag (i mean GDP(-1)) have negative relation.!!!!( is it usual answer in VAR?)
how can i solve 2 problems?
Best
Amir
I want to know about business cycle and monetary policy shock in oil exporting country .(quarterly data)
i run a var model on filtered data(HP):
GDP,m2,interest rate,oil price, oil production, exchange rate and inflation
my proper lag is 3( according SC) but when i draw impels functions i face whit a permanent fluctuations.(specially,GDP response to M2)
but when i use 1 lag GDP response will damp after4 periods.
Moreover, GDP and its first lag (i mean GDP(-1)) have negative relation.!!!!( is it usual answer in VAR?)
how can i solve 2 problems?
Best
Amir