Functional Approximation of Impulse Responses

• 成果类型: Article
• 署名作者: Barnichon, Regis; Matthes, Christian
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Federal Reserve System - USA; Federal Reserve Bank - Richmond
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.04.013
• 发表日期: 2018
• 页码: 41-55
• 关键词: Impulse response function; Gaussian basis function; structural vector moving average; Summary statistics; Asymmetric effects of monetary policy

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.