Appendix B: Tables and Figures
Table 1
Regression of policy variables on monetary shock
Dependent variable, y(t)
FEDSEC NBR
|
constant |
2.2433 (5.914) |
0.5935 (1.637) |
|
y(t-1) |
-0.1154 |
0.2764 |
|
(-1.227) |
(1.385) | |
|
y(t-2) |
0.0837 |
-0.2190 |
|
(0.966) |
(-1.764) | |
|
y(t - 3) |
-0.0092 |
0.0887 |
|
(-0.136) |
(0.981) | |
|
y(t-4) |
-0.1388 |
0.0927 |
|
(-1.662) |
(0.919) | |
|
Monetary shock |
0.4925 |
0.8070 |
|
(3.436) |
(2.959) |
Results from OLS regression of variable y(t) on four lags and
the monetary shock. T-statistics based on White’s heteroske-
dasticity consistent variance matrix in parenthesis.
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