SVAR user defined impulse response
Posted: Sun Jan 19, 2014 9:19 am
Dear all,
I am estimating a 8-variable monetary policy SVAR. I am interested in the impulse responses following a 0.25 increase in the interest rate. I thus define an 8-row vector with all rows as zeros, apart from the interest rate row where I enter 0.25. I use this for my user defined impulse responses. All variables respond with a lag, even though my contemporaneous structure allows for some variables to react in the same period to a interest rate shock. Could someone please tell me why is this the case and what am I doing wrong?
Thank you in advance.
I am estimating a 8-variable monetary policy SVAR. I am interested in the impulse responses following a 0.25 increase in the interest rate. I thus define an 8-row vector with all rows as zeros, apart from the interest rate row where I enter 0.25. I use this for my user defined impulse responses. All variables respond with a lag, even though my contemporaneous structure allows for some variables to react in the same period to a interest rate shock. Could someone please tell me why is this the case and what am I doing wrong?
Thank you in advance.