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