(2017) to get closed-form solutions for the paths of conditional moments of endogenous variables, the
GIRF. We first describe how we calculate a
GIRF and then how we use the
GIRF to compare the model against the data.
Another way to examine forward guidance is with generalized impulse response functions (
GIRFs) following Koop, Pesaran, and Potter (1996).
It follows that
GIRF is difference between the forecasted path of variable in an economy without shock and forecasted path of the same variable in an economy hit by a shock.
Section A Pitfall of the
GIRF analytically demonstrates why the
GIRF actually can be considered extreme in perspective of its identification method.
thus, the
GIRF will be applied in the following analysis and Figure 7 illustrates the results.
Memorial contributions may be made to
GIRF (Gastro-Intestinal Research Foundation) 70 East Lake St.
Hence, this paper adopts generalized impulse response function (
GIRF).
where [GIRF.sub.q] is the
GIRF of the real exchange rate; [eta] is the forecasting horizon; [v.sub.t] is the shock to the process at time t; [[omega].sub.t-1] is the history of the variable, which is the set of the historical data of [q.sub.t], as suggested by Koop, Pesaran, and Potter (1996); and E[*] is the conditional expectation operator.
For each regime, the figures represent the ratio between the
GIRF for shocks of magnitude two standard errors over the
GIRF for unit shocks; Figure 3 is for negative shocks and Figure 4 for positive shocks.
Figure 2 display
GIRF of each variable to a positive one unit standard deviation shock to oil prices.
(10.) We have also employed generalized impulse response functions and the results are basically similar to those reported here except that interest rates have even less impact on the trade deficit in the
GIRF case than they do in our reported results in the text.
(14) Koop, Pesaran, and Potter (1996) introduced the generalized impulse response function (
GIRF) for nonlinear models.
