Impulse response interpretation
Posted: Tue Mar 18, 2014 11:41 am
Dear All,
I have a question about interpreting one standard deviation impulse responses when conducting a SVAR study.
Particularly, in my SVAR system I have the stock index in log levels and the interest rate in levels. Lets say I have that a one-sd interest rate shock leads to a x% decrease in stock prices. Given that the standard deviation is s, can I thus say that a 100 percentage points increase in the interest rate leads to a x/s % decrease in stock prices?
Following from this, how would one interpret the effect of a one-sd stock index shock on the interest rate?
Thanks for any help in advance!
I have a question about interpreting one standard deviation impulse responses when conducting a SVAR study.
Particularly, in my SVAR system I have the stock index in log levels and the interest rate in levels. Lets say I have that a one-sd interest rate shock leads to a x% decrease in stock prices. Given that the standard deviation is s, can I thus say that a 100 percentage points increase in the interest rate leads to a x/s % decrease in stock prices?
Following from this, how would one interpret the effect of a one-sd stock index shock on the interest rate?
Thanks for any help in advance!