Figure 3.
Four line graphs show impulse response over horizon in trading days from 0 to 20 with response on the vertical axis. The first graph shows response of I D G S to a one standard deviation shock in C P U with values starting negative, increasing slightly above 0 during early horizons, and approaching 0 as the horizon increases. The second graph shows response of I D STOCK with small fluctuations around 0 that gradually approach 0 over the horizon. The third graph shows response of MY G S with small positive and negative fluctuations during early horizons and values approaching 0 afterward. The fourth graph shows response of MY STOCK with an initial negative value, a small positive peak during early horizons, and values gradually approaching 0 across later horizons.Generalized impulse response functions (GIRFs) to a one-standard-deviation CPU shock
Note(s): This figure reports the generalized impulse response of each market return series (MY_GS, ID_GS, ID_STOCK, MY_STOCK) to a one-standard-deviation innovation in CPU over 20 trading days, based on the estimated VAR(2). Shaded areas represent 95% bootstrap percentile confidence bands (residual bootstrap, ). Responses are expressed in return units