| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20104 |
| 来源ID | Working Paper 20104 |
| Shock Elasticities and Impulse Responses | |
| Jaroslav Borovička; Lars P. Hansen; Jose A. Scheinkman | |
| 发表日期 | 2014-05-08 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We construct shock elasticities that are pricing counterparts to impulse response functions. Recall that impulse response functions measure the importance of next-period shocks for future values of a time series. Shock elasticities measure the contributions to the price and to the expected future cash flow from changes in the exposure to a shock in the next period. They are elasticities because their measurements compute proportionate changes. We show a particularly close link between these objects in environments with Brownian information structures. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w20104 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577778 |
| 推荐引用方式 GB/T 7714 | Jaroslav Borovička,Lars P. Hansen,Jose A. Scheinkman. Shock Elasticities and Impulse Responses. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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