Shocks of the Estimated DSGE Model
|
Forecast |
Observable |
Productivity |
Productivity (I) |
Government |
Monetary |
Mark-up |
Mark-up |
Risk |
|
t=1 |
Inflation |
0.1 |
7.3 |
7.0 |
74.7 |
0.0 |
0.8 |
10.1 |
|
Output |
3.1 |
47.5 |
34.4 |
3.2 |
0.0 |
3.2 |
8.7 | |
|
Interest rate |
0.6 |
19.9 |
25.5 |
5.3 |
0.0 |
2.1 |
46.5 | |
|
Investment |
1.2 |
8.2 |
22.1 |
0.4 |
0.0 |
0.1 |
68.0 | |
|
t=4 |
Inflation |
0.2 |
9.0 |
6.9 |
72.7 |
0.0 |
1.1 |
10.1 |
|
Output |
6.7 |
52.9 |
24.3 |
1.9 |
0.0 |
6.7 |
7.5 | |
|
Interest rate |
0.8 |
7.4 |
20.7 |
2.0 |
0.0 |
0.8 |
68.5 | |
|
Investment |
1.4 |
5.9 |
28.1 |
0.4 |
0.1 |
0.1 |
65.0 | |
|
t=10 |
Inflation |
0.2 |
9.0 |
6.9 |
72.66 |
0.0 |
1.1 |
10.1 |
|
Output |
7.4 |
48.9 |
21.5 |
1.7 |
0.0 |
7.1 |
13.4 | |
|
Interest rate |
0.6 |
5.2 |
16.5 |
1.6 |
0.0 |
0.7 |
75.4 | |
|
Investment |
1.5 |
4.3 |
34.6 |
0.4 |
0.1 |
0.1 |
59.0 | |
|
t=100 |
Inflation |
0.2 |
9.0 |
6.9 |
72.7 |
0.0 |
1.1 |
10.1 |
|
Output |
6.9 |
43.5 |
23.4 |
1.7 |
0.1 |
6.4 |
18.1 | |
|
Interest rate |
0.5 |
4.9 |
15.6 |
1.9 |
0.0 |
0.8 |
76.3 | |
|
Investment |
1.5 |
4.3 |
35.0 |
0.5 |
0.2 |
0.2 |
58.3 |
Table 8: Forecast Error Variance Decomposition - 2 Sector NK Model (in
Percent) ♦
♦ All the variance decomposition is computed from the model solutions (order of approximation =
1). The results are based on the models’ posterior distribution.
46
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