I was at a colloquium with the Bank of Canada and the presenter was showing some impulse response functions (IRFs) of rate change effects. Intuitively people tend to borrow more when rates decrease but can't exactly change their behavior when central banks increase rates. That's exactly what was shown in these IRFs.

I'm attempting to in part replicate what they were doing. How do I model asymmetric effects? Is this a Bayesian time series effect(currently learning)? What sort of models do I need to use? I haven't the faintest clue where to start with this, any direction on this would be helpful!!!

  • $\begingroup$ What is BOC? Bank of Canada? $\endgroup$ Jan 27 at 16:33
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    $\begingroup$ I suspect irf stands for impulse response function? Can either be statistically ((Bayesian) var) oder modelled via dsge models for example. If you Google the name of whoever presented it, chances are high they published this anyways. $\endgroup$
    – Alex
    Jan 27 at 18:54
  • $\begingroup$ "What is BOC? Bank of Canada" Yes "irf stands for impulse response function" Yes "((Bayesian) var) oder modelled via dsge models for example" Ill check it out $\endgroup$
    – tjaqu787
    Jan 27 at 20:06


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