Shock Elasticities and Impulse Responses / Jaroslav Borovička, Lars P. Hansen, Jose A. Scheinkman.

Format:

Book

Author/Creator:

Borovička, Jaroslav.

Contributor:

National Bureau of Economic Research.

Hansen, Lars P.

Scheinkman, Jose A.

Series:

Working Paper Series (National Bureau of Economic Research) no. w20104.

NBER working paper series no. w20104

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2014.

Summary:

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.

Notes:

Print version record

May 2014.