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Following our colleagues specialized answers and replies.
A shock means change the state of the variable and see how the others will respond. Shock effects in impulse response functions are the mirror image. In a dummy case, the change means an unexpected exit from one state to a totally different one (say; from crises to no crises). Therefore, logically we can't accept such a sudden shock. The impulse responses for positive and negative shocks, (interact the endogenous variables with a dummy indicating a negative change in lagged policy variable,)
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