Hello everyone,
I wanted to ask how to read IRFs interpretation from shocking the steady-state. Do I read that there is a 15 bps shock as I am multiplying by the standard error?
Is reading “stderr 1” when “sig_log_pi = 1” as 1% shock and
reading “stderr 1” when “sig_log_pi = 0.0015” as 15 bps shock correct?
Furthermore, sig_log_pi=1 and var e_log_pi; stderr 0.0025
equivalent to sig_log_pi=0.0025 and var e_log_pi; stderr 1
? Both are interpreted as 100 bps shock?
var log_pi;
parameters sig_log_pi;
varexo e_log_pi;
sig_log_pi = 0.0015; rho=0.95;
model;
log_pi = rho*log_pi(-1) + sig_log_pi * e_log_pi;
end;
shocks;
var e_log_pi; stderr 1;