G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w20104
来源IDWorking 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
URLhttps://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.
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