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Shock Scenarios

 

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Compute paths for the observed variables when the smoothly estimated structural shocks are set to 0 one by one. Parameter values are given by the initial or the posterior mode values, or a sample from the prior or the posterior distribution. In the event that a sample from the posterior is selected, the number of parameters in the sample is determined by the number of post burn-in posterior draws and the percentage use of posterior draws for impulse responses, variance decompositions and other functions of the parameters. These values are set in the posterior sampling frame on the Options tab.

The length of the scenario path is determined by the minimum of the number of out-of-sample observations and the selected maximum forecast horizon. The latter is set in the Forecasting frame on the Miscellaneous tab.

The shock scenarios can either be performed for the observed variables in their original form or using the annualization data in the data construction file.

 

Additional Information

A more detailed description about shock scenarios can also be found in Section 11.9 of the YADA Manual.

NOTE: Shock scenarios are only available in the version of YADA that is exclusive to the NAWM team within the Directorate General Research of the European Central Bank and the Modelling Unit of the Monetary Policy Department of Sveriges Riksbank. The publicly available version of YADA does not include the code for this tool.

 

 

 

 


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