IDEAS home Printed from https://ideas.repec.org/p/ete/kbiper/485168.html
   My bibliography  Save this paper

Real or nominal variables, does it matter for the impulse response?

Author

Listed:
  • Peter Reusens
  • Christophe Croux

Abstract

This paper analyzes impulse response functions of vector autoregression models for variables that are linearly transformed. These impulse responses are equal to the linear transformation of the original impulse responses only if the shocks are equal to the linear transformation of the original shocks. Sufficient conditions are derived both for shocks in one error term only, orthogonalized shocks and generalized shocks. A vector autoregression model with ination, the overnight target rate and a real interest rate that replaces the corresponding nominal interest rate, illustrates the applicability of our results for the empirical researcher.

Suggested Citation

  • Peter Reusens & Christophe Croux, 2015. "Real or nominal variables, does it matter for the impulse response?," Working Papers of Department of Decision Sciences and Information Management, Leuven 485168, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
    • Handle: RePEc:ete:kbiper:485168
    as

    Download full text from publisher

    File URL: https://lirias.kuleuven.be/retrieve/304395
    File Function: Real or nominal variables, does it matter for the impulse response?
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ete:kbiper:485168. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: library EBIB (email available below). General contact details of provider: https://feb.kuleuven.be/KBI .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.