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



Table 3: Estimates of β(L) for the Constant Model

Deviation

Variable

lag

Output gap

Equation

Inflation

Long rate

coef

S.E.

coef

S.E.

coef

S.E.

Output gap

1.04

0.08

0.03

0.09

0.09

0.05

2

0.01

0.11

-0.03

0.12

-0.03

0.07

3

-0.12

0.11

-0.04

0.12

-0.03

0.06

4

-0.01

0.08

0.12

0.09

-0.04

0.05

Inflation

1

-0.08

0.07

0.78

0.08

-0.04

0.04

2

-0.03

0.09

-0.04

0.10

0.07

0.06

3

0.05

0.09

0.11

0.11

0.07

0.06

4

0.06

0.07

0.09

0.08

-0.01

0.04

Funds rate

1

0.08

0.08

0.19

0.09

0.03

0.05

2

-0.35

0.10

-0.12

0.11

-0.00

0.06

3

0.21

0.10

0.05

0.11

0.10

0.06

4

-0.08

0.07

-0.09

0.08

-0.02

0.04

Long Rate

1

-0.00

0.15

-0.24

0.16

0.96

0.09

2

-0.04

0.20

0.28

0.23

-0.09

0.12

3

0.22

0.21

-0.13

0.24

-0.07

0.13

4

-0.13

0.14

0.09

0.16

-0.02

0.08

35



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