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

下载

页码：41 / 55

页数：15

共 50 条

[21] SCATTERING THEORY IN THE IMPULSE APPROXIMATION
IVANOV, GK
SAYASOV, YS
SOVIET PHYSICS JETP-USSR, 1964, 18 (04): : 1006 - 1013
[22] UNITARY MODIFICATIONS OF IMPULSE APPROXIMATION
SLOAN, IH
PHYSICAL REVIEW, 1967, 162 (04): : 855 - &
[23] Generalized adiabatic impulse approximation
Suzuki, Takayuki
Nakazato, Hiromichi
PHYSICAL REVIEW A, 2022, 105 (02)
[24] EXCITATION OF HYDROGEN IN IMPULSE APPROXIMATION
COLEMAN, JP
MCDOWELL, MR
PROCEEDINGS OF THE PHYSICAL SOCIETY OF LONDON, 1966, 87 (558P): : 879 - &
[25] IMPULSE APPROXIMATION IN COMPTON SCATTERING
CURRAT, R
DECICCO, PD
WEISS, RJ
PHYSICAL REVIEW B, 1971, 4 (12): : 4256 - &
[26] IMPULSE APPROXIMATION WITH CURRENT CONSERVATION
HWANG, WYP
PHYSICAL REVIEW C, 1980, 21 (03): : 1086 - 1093
[27] MODEL DEPENDENCE OF THE IMPULSE APPROXIMATION
ODERKERK, RP
THIES, M
NUCLEAR PHYSICS A, 1991, 530 (3-4) : 605 - 624
[28] REFLECTION METHOD AND IMPULSE APPROXIMATION
LAPLANTE, JP
BANDRAUK, AD
CHEMICAL PHYSICS LETTERS, 1976, 42 (01) : 184 - 186
[29] Quadratic-curve approximation of impulse responses to calculate radiated fields from rectangular transducers
Masuyama, H
Nagai, K
Mizutani, K
JAPANESE JOURNAL OF APPLIED PHYSICS PART 1-REGULAR PAPERS SHORT NOTES & REVIEW PAPERS, 2000, 39 (5B): : 3144 - 3149
[30] Quadratic-curve approximation of impulse responses to calculate radiated fields from rectangular transducers
Masuyama, Hiroyuki
Nagai, Keinosuke
Mizutani, Koichi
Japanese Journal of Applied Physics, Part 1: Regular Papers and Short Notes and Review Papers, 2000, 39 (5 B): : 3144 - 3149

← 1 2 3 4 5 →