New Information Response Functions

18 Pages Posted: 16 Sep 2010

See all articles by Caroline Jardet

Caroline Jardet

Banque de France

Alain Monfort

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST); National Bureau of Economic Research (NBER); Maastricht University

Fulvio Pegoraro

Banque de France - Economics and Finance Research Center; CREST - Laboratoire de Finance et Assurance

Multiple version iconThere are 2 versions of this paper

Date Written: June 1, 2009

Abstract

We propose a new methodology for the analysis of impulse response functions in VAR or VARMA models. More precisely, we build our results on the non ambiguous notion of innovation of a stochastic process and we consider the impact of any kind of new information at a given date $t$ on the future values of the process. This methodology allows to take into account qualitative or quantitative information, either on the innovation or on the future responses, as well as informations on filters. We show, among other results, that our approach encompasses several standard methodologies found in the literature, such as the orthogonalization of shocks (Sims (1980)), the "structural" identification of shocks (Blanchard and Quah (1989)), the "generalized" impulse responses (Pesaran and Shin (1998)) or the impulse vectors (Uhlig (2005)).

Keywords: impulse response functions, innovation, new information

JEL Classification: C10, C32

Suggested Citation

Jardet, Caroline and Monfort, Alain and Pegoraro, Fulvio, New Information Response Functions (June 1, 2009). Banque de France Working Paper No. 235, Available at SSRN: https://ssrn.com/abstract=1676785 or http://dx.doi.org/10.2139/ssrn.1676785

Caroline Jardet (Contact Author)

Banque de France ( email )

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Alain Monfort

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) ( email )

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National Bureau of Economic Research (NBER)

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Maastricht University

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Fulvio Pegoraro

Banque de France - Economics and Finance Research Center ( email )

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75049 Paris Cedex 01 France
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HOME PAGE: http://www.crest.fr/pageperso/pegoraro/pegoraro.htm

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