Functional Approximation of Impulse Responses

被引：26

作者：

Barnichon, Regis ^{[1
]}

Matthes, Christian ^{[2
]}

机构：

[1] Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA

[2] Fed Reserve Bank Richmond, POB 27622, Richmond, VA 23261 USA

来源：

JOURNAL OF MONETARY ECONOMICS | 2018年 / 99卷

关键词：

Impulse response function; Gaussian basis function; Structural vector moving average; Summary statistics; Asymmetric effects of monetary policy; MONETARY-POLICY; OUTPUT;

D O I：

10.1016/j.jmoneco.2018.04.013

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A method to estimate the dynamic effects of structural shocks is proposed: "Functional Approximation of Impulse Responses" (FAIR) consists in directly estimating the moving average representation of the data by approximating impulse responses with a set of basis functions. FAIR can offer a number of benefits over alternative impulse response estimators, including VARs and Local Projections: (i) parsimony and efficiency, (ii) ability to summarize the dynamic effects of shocks with a few moments, (iii) ease of prior elicitation and structural identification, and (iv) flexibility in allowing for non-linearities. As an illustration, we study the dynamic effects of monetary shocks, notably their asymmetric effects. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：41 / 55

页数：15

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