Shocks of the Estimated DSGE Model
|
Forecast |
Observable |
Productivity |
Government |
Monetary |
Price Mark-up |
Risk |
|
t=1 |
Inflation |
23.3 |
28.4 |
42.3 |
5.8 |
0.3 |
|
Output |
14.9 |
50.0 |
11.6 |
22.9 |
0.5 | |
|
Interest rate |
29.6 |
37.2 |
25.9 |
7.3 |
0.0 | |
|
Investment |
6.3 |
9.3 |
0.3 |
2.3 |
81.8 | |
|
t=4 |
Inflation |
23.1 |
27.8 |
40.5 |
5.8 |
2.8 |
|
Output |
26.1 |
28.6 |
6.2 |
26.0 |
13.0 | |
|
Interest rate |
28.6 |
39.2 |
13.6 |
6.8 |
11.8 | |
|
Investment |
6.5 |
10.8 |
0.1 |
2.4 |
80.3 | |
|
t=10 |
Inflation |
23.1 |
27.8 |
40.4 |
5.8 |
2.9 |
|
Output |
24.5 |
24.4 |
5.1 |
23.3 |
22.6 | |
|
Interest rate |
24.9 |
34.2 |
11.7 |
5.9 |
23.2 | |
|
Investment |
6.2 |
11.2 |
0.1 |
2.3 |
80.1 | |
|
t=100 |
Inflation |
23.1 |
27.8 |
40.4 |
5.78 |
2.9 |
|
Output |
21.5 |
22.3 |
4.3 |
19.9 |
32.0 | |
|
Interest rate |
24.8 |
34.0 |
11.6 |
5.9 |
23.7 | |
|
Investment |
6.2 |
11.2 |
0.1 |
2.3 |
80.2 |
Table 6: Forecast Error Variance Decomposition - NK Model (in Percent)
Shocks of the Estimated DSGE Model
|
Forecast |
Observable |
Productivity |
Government |
Monetary |
Price Mark-up |
Risk |
|
t=1 |
Inflation |
4.2 |
2.5 |
85.8 |
2.5 |
4.9 |
|
Output |
30.8 |
1.1 |
2.4 |
54.7 |
11.0 | |
|
Interest rate |
28.1 |
17.1 |
0.1 |
16.7 |
38.0 | |
|
Investment |
13.6 |
11.7 |
0.1 |
0.6 |
74.0 | |
|
t=4 |
Inflation |
4.7 |
2.7 |
85.3 |
2.7 |
4.6 |
|
Output |
34.9 |
0.7 |
1.3 |
47.4 |
15.8 | |
|
Interest rate |
19.1 |
13.1 |
0.2 |
12.1 |
55.5 | |
|
Investment |
11.4 |
11.7 |
0.0 |
0.5 |
76.4 | |
|
t=10 |
Inflation |
4.7 |
2.7 |
85.3 |
2.7 |
4.6 |
|
Output |
33.2 |
0.7 |
1.1 |
41.5 |
23.4 | |
|
Interest rate |
14.5 |
10.2 |
0.2 |
9.6 |
65.5 | |
|
Investment |
9.6 |
11.8 |
0.0 |
0.4 |
78.1 | |
|
t=100 |
Inflation |
4.7 |
2.7 |
85.3 |
2.7 |
4.6 |
|
Output |
30.0 |
1.0 |
1.1 |
36.8 |
31.0 | |
|
Interest rate |
13.8 |
9.8 |
0.2 |
9.5 |
66.7 | |
|
Investment |
9.4 |
11.8 |
0.0 |
0.4 |
78.4 |
Table 7: Forecast Error Variance Decomposition - NK Model with FA (in
Percent)
45
More intriguing information
1. If our brains were simple, we would be too simple to understand them.2. Are Japanese bureaucrats politically stronger than farmers?: The political economy of Japan's rice set-aside program
3. Incorporating global skills within UK higher education of engineers
4. Multi-Agent System Interaction in Integrated SCM
5. Understanding the (relative) fall and rise of construction wages
6. Economic Evaluation of Positron Emission Tomography (PET) in Non Small Cell Lung Cancer (NSCLC), CHERE Working Paper 2007/6
7. A parametric approach to the estimation of cointegration vectors in panel data
8. The name is absent
9. Wirkung einer Feiertagsbereinigung des Länderfinanzausgleichs: eine empirische Analyse des deutschen Finanzausgleichs
10. Work Rich, Time Poor? Time-Use of Women and Men in Ireland