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
Deviation Variable	lag	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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