Impact of Structural Shock and Estimation of Dynamic Response between Variables Cho, Eun-Jung; Kim, Tae-Ho;
This study investigates long and short run responses of variables to exogenous shocks by imposing prior restrictions on a contemporaneous structural shock coefficient matrix of the model to identify shocks by endogenous variables in the vector autoregression. The relative importance of each structural shock in variation of each variable is calculated through the identification of proper restrictions (not based on any specific theory but on researcher judgment corresponding to actual situations) and an estimation of the structural vector autoregression. The results of the analyses are found to maintain consistency.
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