Decomposing monetary shock into positive and negative shocks
Posted: Thu Oct 17, 2013 2:58 am
Good day house, am trying to decompose a monetary shock from a SVAR equation into positive and negative shocks to replicate the James Cover (1992) paper titled "Asymmetric Effects of Positive and Negative Money-Supply Shocks" using the defintion
Positive Money Shock = Max(0,E_t)
Negative Money Shock= Min(0,E_t)
Where E_t is the fundamental shock (that is the residual from the money supply equation in the SVAR model).
However, when I tried using the the @max(E_t) function in Eviews, I got the same value for all the period ranging from 1980Q2: 2011Q4. Please I need help because i don't think this is what James Cover(1992) and other authors that have used this definition got and am not convinced myself with the results. Help me on which function to use or solution on how I can decompose the series into positive and negative series.
Thank you
Positive Money Shock = Max(0,E_t)
Negative Money Shock= Min(0,E_t)
Where E_t is the fundamental shock (that is the residual from the money supply equation in the SVAR model).
However, when I tried using the the @max(E_t) function in Eviews, I got the same value for all the period ranging from 1980Q2: 2011Q4. Please I need help because i don't think this is what James Cover(1992) and other authors that have used this definition got and am not convinced myself with the results. Help me on which function to use or solution on how I can decompose the series into positive and negative series.
Thank you