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
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