The Shock Elasticities Toolbox is a set of user-friendly functions that allow you to compute shock elasticities (for a full discussion on shock elasticities, please refer to Borovicka and Hansen (2012) and Borovicka and Hansen (2016)). Currently, the toolbox is available in MATLAB. Equivalents in Python, R and Julia are forthcoming.
The toolbox has a very detailed documentation and examples. Please use it as a guide.
As a quick start, complete sections 2.1 and 2.2 in the documentation. Afterwards, simply run
HeKrushnamurthyin MATLAB. It will compute shock elasticities for a one-dimensional model based on He and Krushnamurthy (2013).
In a live MATLAB script, we use the toolbox to compute shock elasticities for Bansal and Yaron (2004) in a research reflection, which showcases the use of the toolbox and the intuitive interpretation of shock elasticities.