Permanent and Transitory Policy Shocks in an Empirical Macro Model with Asymmetric Information



Table 2: Estimates of β(L) for the Time-varying Model

Deviation

Variable

lag

Output gap

Equation

Inflation

Long rate

coef

S.E.

coef

S.E.

coef

S.E.

Output gap

1.05

0.10

-0.01

0.14

0.10

0.09

2

0.03

0.16

-0.07

0.18

-0.05

0.11

3

-0.14

0.15

-0.06

0.18

-0.06

0.10

4

0.01

0.12

0.17

0.11

-0.03

0.09

Inflation

1

-0.12

0.12

0.60

0.14

-0.16

0.07

2

-0.04

0.13

-0.11

0.12

0.05

0.08

3

0.03

0.14

0.06

0.13

0.04

0.09

4

0.05

0.11

-0.02

0.12

-0.08

0.08

Funds rate

1

0.05

0.15

0.14

0.12

0.02

0.06

2

-0.35

0.21

-0.09

0.20

0.02

0.09

3

0.22

0.21

0.09

0.20

0.13

0.08

4

-0.05

0.14

-0.01

0.14

0.03

0.07

Long Rate

1

0.02

0.28

-0.33

0.25

0.91

0.07

2

-0.06

0.34

0.37

0.33

-0.05

0.17

3

0.23

0.32

-0.14

0.38

-0.09

0.18

4

-0.13

0.25

-0.18

0.24

-0.11

0.10

34



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