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Figure 1: Comparing the Intra-OECD US Trade to the Aggregate NonEnergy Trade Balance
% US GDP
2
0
-2
-4
Intra-OECD TB/GDP (DOTS-IMF)
Non-Energy TB/GDP (BEA)
-6
2004
2002
2000
1998
1996
1994
1992
1990
1988
1986
1984
1982
1980
Note: The Rest of the World (RoW) is a trade-weighted aggregate of the United Kingdom, Canada, Japan, Korea
and 12 members of the Euro-Area.
Figure 2: Impulse response functions of some key variables
Panel 1:
Investment Shock
Total Factor Productivity Shock
Trade Balance/GDP
RoW - US Absorption Effect
RER + Terms of Trade Effect
0.2%
0.2%
0.2%
0.1%
0.1%
0.1%
0.0%
0.0%
0.0%
-0.1%
-0.1%
-0.1%
-0.2%
-0.2%
-0.2%
-0.3%
-0.3%
-0.3%
-0.4%
-0.4%
-0.4%
-0.5%
-0.5%
0
20
40
-0.5%
0
20
RoW - US Consumption
0.2%
2.0%
0.1%
1.0%
0.0%
0.0%
-0.1%
-1.0%
-0.2%
-2.0%
-0.3%
-3.0%
-0.4%
-4.0%
40
-5.0%
0
20
0
40
20
40
Consumption Time-Impatience Shock
Uncovered Interest Parity Shock
Trade Balance/GDP
RoW - US Absorption Effect
RER + Terms of Trade Effect
0.2%
0.2%
0.2%
0.1%
0.1%
0.1%
0.0%
0.0%
0.0%
-0.1%
-0.1%
-0.1%
-0.2%
-0.2%
-0.2%
-0.3%
-0.3%
-0.3%
-0.4%
-0.4%
0
20
RoW - US Investment
-0.5%
Panel 2:
0
40
20
40
-0.4%
0
20
40
RoW - US Consumption
0.2%
0
20
RoW - US Investment
2.0%
1.0%
0.0%
0.0%
-0.2%
-1.0%
-2.0%
-0.4%
-3.0%
-0.6%
-4.0%
0
20
40
0
20
40
Note: We consider impulse responses for positive one standard deviation shocks in all cases except in the case
of the uncovered interest parity shock which is negative. The first row in each panel exhibits the responses
of the aggregate US trade balance and those of its two elements: (a) the weighted difference between RoW and
US absorption (b) the weighted sum of the influence of the relative terms of trade and the real exchange rates
for consumption and investment. The second line in each panel shows the responses of unweighted relative
consumption and investment.
40
Table 1: Unconditional Moments of the Data
Correlation between the Intra-OECD and the Actual Non-Energy US Trade Balances
Level
0.89
Linear Detrending
0.96
Observable Series
US
RoW
Filter
Model US Variable
Mean
SD
Mean
SD
Intra-OECD TB/GDP
-1.53
0.66
-
-
Linearly Detrended
Non-Energy TB/GDP
-1.66
1.58
-
-
Linearly Detrended
Real Depreciation of USD
-0.03
2.74
-
-
Demeaned
Real Consumption Growth
0.86
0.44
0.64
0.50 Demeaned
∆
∆
Real Investment Growth
0.61
2.56
0.60
1.27 Demeaned
∆
∆
Real GDP Growth
0.71
0.70
0.65
0.55 Demeaned
Nominal Interest Rate
1.66
0.95
1.70
0.85 Demeaned
GDP Deflator Inflation
0.82
0.53
0.82
0.78 Demeaned
Investment Deflator
Inflation
0.53
0.73
0.62
0.65 Demeaned
∆
Real Wage Inflation
0.08
0.34
0.26
0.46 Demeaned
∆
∆
∆
Note: ∆ indicates the temporal difference operator. We adjust for the terms of trade when we link
aggregate consumption and investment to the data. For example, the level of real consumption, as we
measure it in the data is given as
. Thus, because the CPI has a component that
depends on the import-intensity , the terms of trade influence real aggregate consumption. As the
observables are fed into the model in first differences, the changes in the terms of trade are accounted
for.
Table 2: Prior and Posterior Distributions in Baseline Estimation
ESTIMATED STRUCTURAL PARAMETERS
Posterior
SHOCKS AR(1), MA(1)
Posterior
Symbol
Description
Prior (P1, P2)
Med [5th; 95th %ile]
Symbol
Prior (P1, P2)
Med [5th, 95th %ile]
μ
σC
σC*
ϑ
ϑ*
ψ
ψ*
Trade Elasticity
US Utility Curvature
RoW Utility Curvature
US External Habit
RoW External Habit
US Investment Adj. Cost
RoW Investment Adj. Cost
US Capacity Util. Cost
RoW Capacity Util. Cost
US GDP Deflator Calvo
RoW GDP Deflator Calvo
US Price Indexation
RoW Price Indexation
US Wage Calvo
RoW Wage Calvo
US Wage Indexation
RoW Wage Indexation
US Mon. Pol. (Inflation)
RoW Mon. Pol. (Inflation)
US Mon. Pol. (GDP)
RoW Mon. Pol. (GDP)
US Mon. Pol. (GDP change)
RoW Mon. Pol. (GDP change)
US Interest Smoothing
RoW Interest Smoothing
G (1.00, 0.05)
G (2.00, 0.75)
G (2.00, 0.75)
B (0.50, 0.15)
B (0.50, 0.15)
N (4.00, 1.00)
N (4.00, 1.00)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
G (0.50, 0.25)
G (0.50, 0.25)
G (0.50, 0.25)
G (0.50, 0.25)
G (0.50, 0.25)
G (0.50, 0.25)
B (0.50, 0.15)
B (0.50, 0.15)
1.10 [1.03; 1.19]
2.96 [2.08; 4.10]
2.92 [2.26; 3.78]
0.74 [0.58; 0.84]
0.14 [0.06; 0.25]
6.30 [4.95; 7.72]
6.44 [5.10; 7.82]
0.63 [0.49; 0.75]
0.68 [0.48; 0.85]
0.76 [0.67; 0.83]
0.17 [0.09; 0.30]
0.18 [0.08; 0.33]
0.36 [0.16; 0.64]
0.90 [0.82; 0.95]
0.69 [0.56; 0.81]
0.71 [0.55; 0.84]
0.13 [0.06; 0.24]
2.12 [1.72; 2.63]
1.70 [1.43; 2.08]
0.07 [0.04; 0.13]
0.06 [0.02; 0.12]
0.27 [0.22; 0.33]
0.27 [0.21; 0.35]
0.82 [0.77; 0.86]
0.87 [0.83; 0.90]
ρTFP
ρ*TFP
ρINV
ρ*INV
ρUIP
ρTI
ρ*TI
ρGOV
ρ*GOV
ρWM
ρ*WM
νWM
ν*WM
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
0.94 [0.92; 0.97]
0.95 [0.86; 0.99]
0.62 [0.49; 0.72]
0.79 [0.71; 0.87]
0.87 [0.82; 0.91]
0.52 [0.33; 0.72]
0.84 [0.76; 0.90]
0.91 [0.84; 0.96]
0.93 [0.85; 0.97]
0.59 [0.42; 0.75]
0.88 [0.78; 0.94]
0.44 [0.24; 0.65]
0.70 [0.47; 0.85]
φ
φ*
θP
θP *
ιP
ιP*
θW
θW*
ιW
ιW*
φπ
φπ*
φy
φy*
φΔy
φΔy*
ρMON
ρMON*
CALIBRATED STRUCTURAL PARAMETERS
β
α
δ
χP
χW
σN
κ
θH*
θF
ξC
ξI
ΞG
ΞI
Discount Factor
Share of Capital Services in Production
Quarterly Rate of Capital Depreciation
Substitution Elasticity of Goods Varieties
Substitution Elasticity of Labour Varieties
Inverse of Frisch Elasticity
Cost of adjusting foreign assets
US Export Calvo
RoW Export Calvo
Import-share of consumption
Import-share of investment
Share of government spending in GDP
Implied share of investment in GDP
0.99
1/3
0.025
10
10
2
0.001
0.5
0.5
0.023
0.3994
0.18
0.2137
SHOCK INNOVATIONS
100σTFP
100σTFP*
100σINV
100σINV*
100σUIP
100σTI
100σTI*
100σGOV
100σGOV*
100σWM
100σWM*
100σMON
100σMON*
100σPPP
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
0.58 [0.43; 0.86]
0.44 [0.37; 0.56]
0.74 [0.60; 0.93]
0.27 [0.22; 0.33]
0.35 [0.26; 0.48]
0.11 [0.07; 0.15]
0.06 [0.04; 0.10]
0.23 [0.20; 0.26]
0.31 [0.28; 0.36]
0.13 [0.10; 0.15]
0.13 [0.10; 0.17]
0.23 [0.20; 0.26]
0.17 [0.15; 0.21]
3.56 [3.18; 4.01]
Note: G = Gamma, B = Beta, IG = Inverse Gamma and N = Normal distributions. P1 = Mean and P2 = Standard
Deviation for all distributions. Posterior moments are computed using 500000 draws from the distribution simulated
by the Random Walk Metropolis algorithm.
42.14
0.00
10.43
0.56
0.63
2.92
36.21
2.03
0.62
4.45
0Q
29.38
0.00
22.06
0.31
0.17
0.88
44.07
1.56
0.15
1.42
4Q
)
0Q
4Q
US GDP
40Q
0Q
4Q
34.02
0.00
25.91
0.27
0.09
0.79
2.72
0.00
1.27
0.45
0.11
0.34
1.03
0.00
1.65
0.12
0.03
0.13
1.26
0.00
1.49
0.56
0.09
1.57
0.30
0.00
0.26
0.00
0.00
0.01
0.71
0.00
0.61
0.01
0.00
0.02
0Q
4Q
40Q
US Investment
1.04
0.00
2.35
0.50
0.06
1.24
2.53
0.00
0.45
0.12
0.03
0.23
6.24
2.01
0.24
4.82
6.62 11.79
0.00 0.00
0.85
0.39
0.10
0.88
32.61 95.38 88.30 59.04
24.34 0.39 1.43 9.54
14.71 0.08 0.10 0.08
23.14 0.79 1.34 6.23
40Q
US Consumption
35.56 50.76 51.05 37.06 0.12 1.95
1.81 3.55 18.69 30.91 3.24 14.65
0.07 16.38 7.83 2.12 88.94 65.90
1.47 24.43 19.48 24.94 7.13 16.15
40Q
Trade Balance/ US GDP
17.64
67.04
0.09
1.28
0.51
4.04
1.05
2.54
0.46
5.36
0Q
9.84
72.00
0.20
1.74
0.42
3.74
2.84
4.61
0.26
4.35
4Q
-
2.33
88.12
0.78
0.56
0.09
1.28
3.23
1.97
0.04
1.60
40Q
)
GDP-Deflator based RER
Note: ‘Other Shocks’ indicates the sum of the contributions of wage mark-up, government spending and monetary policy shocks. The influence of each shock at forecast
horizon k is measured by the variability generated by a unit standard deviation shock at time 0, cumulated over the interval 0 to k which is then divided by the aggregate
variability induced by all the shocks and expressed in percentage terms. We report the mean based on 150 random draws from the posterior distribution (Each column adds to
100). Error bands are available on request.
Uncovered Interest Parity
Purchasing Power Parity
Open-Economy Shocks
Investment-specific
Total Factor Productivity
Consumption Time-Impatience
RoW Other Shocks
RoW Shocks
Investment-specific
Total Factor Productivity
Consumption Time-Impatience
US Other Shocks
US Shocks
SHOCKS ↓
QUARTERS →
VARIABLES →
Table 3: Forecast Error Variance Decomposition in Baseline Estimation
↓
2.82
18.99
0.88
2.18
24.78
6.92
28.11
(Y)
13.57
5.49
10.80
31.81
15.69
39.52
(Y)
Others
16.16
30.33
52.63
(Y)
26.61
4.16
35.48
8.98
36.55
(Y)
US Export-Demand
US Home-Bias
28.80
25.40
Uncovered Interest Parity
29.38
19.85
48.53
(CvsI)
Risk Premium
0.40
Consumption Time Impatience
0.33
0.98
(CvsI)
Investment-Specific Technology
66.13
(CvsI)
2.20
78.12
15.18
0.93
3.57
(Y)
Baseline MEI-IST Risk-P BKK B-Type B+Inv DSW15% DSW2%
67.73
→
Marginal Efficiency of Investment
Investment
SHOCKS
SPECIFICATIONS
Table 4: 4Q-Ahead Trade Balance Variance Decompositions in Robustness Checks
Note: The contributions of analogous US and RoW shocks are aggregated. All models using different import-intensities for consumption and investment are denoted by
(CvsI) while the others using the traditional aggregate absorption-based specification are denoted by (Y). Whenever a shock is deactivated, the variance contribution is
indicated by a blank cell. ‘Baseline’ indicates the baseline model. ‘MEI-IST’ decomposes the investment shocks into marginal efficiency of investment shocks and
investment-specific technology shocks. ‘Risk-P’ replaces time-impatience in the baseline model with risk-premium shocks as in Smets and Wouters (2007). ‘BKK’ employs
the Backus, Kydland and Kehoe (1994) aggregation of home and imported goods specified in terms of aggregate absorption (Y=C+I). ‘B-Type’ uses the BKK trade
specification and strips the baseline model of many features and observables to facilitate a closer comparison with Bergin (2006). ‘B+Inv’ introduces investment data and
shocks into the smaller model. ‘DSW15%’ uses the actual trade balance series and employs the export shock as in De Walque, Smets and Wouters (2005) while fixing the
import-intensity at 15 percent as in BKK (1994). In ‘DSW2%’, we estimate the import-share in the DSW-type model instead of calibrating it.
Trade Elasticity
US Utility Curvature
RoW Utility Curvature
US External Habit
RoW External Habit
US Investment Adj. Cost
RoW Investment Adj. Cost
US Capacity Util.Cost
RoW Capacity Util. Cost
US GDP Deflator Calvo
RoW GDP Deflator Calvo
US Price Indexation
RoW Price Indexation
US Wage Calvo
RoW Wage Calvo
US Wage Indexation
RoW Wage Indexation
US Mon. Pol. (Inflation)
RoW Mon. Pol. (Inflation)
US Mon. Pol. (GDP)
RoW Mon. Pol. (GDP)
US Mon. Pol. (GDP change)
RoW Mon. Pol. (GDP change)
US Interest Smoothing
RoW Interest Smoothing
Import-Share
Description
G (1.00, 0.05)
G (2.00, 0.75)
G (2.00, 0.75)
B (0.50, 0.15)
B (0.50, 0.15)
N (4.00, 1.00)
N (4.00, 1.00)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
G (0.50, 0.25)
G (0.50, 0.25)
G (0.50, 0.25)
G (0.50, 0.25)
G (0.50, 0.25)
G (0.50, 0.25)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
(P1, P2)
1.10; 0.05
2.96; 0.62
2.92; 0.46
0.74; 0.08
0.14; 0.06
6.30; 0.84
6.44; 0.83
0.63; 0.08
0.68; 0.11
0.76; 0.05
0.17; 0.06
0.18; 0.08
0.36; 0.14
0.90; 0.04
0.69; 0.08
0.71; 0.09
0.13; 0.05
2.12; 0.28
1.70; 0.20
0.07; 0.03
0.06; 0.03
0.27; 0.04
0.27; 0.04
0.82; 0.03
0.87; 0.02
Baseline
1.25; 0.05
2.81; 0.65
2.84; 0.46
0.76; 0.08
0.12; 0.06
5.61; 0.85
5.81; 0.82
0.61; 0.07
0.53; 0.12
0.76; 0.04
0.15; 0.06
0.16; 0.07
0.37; 0.14
0.90; 0.04
0.78; 0.08
0.73; 0.09
0.11; 0.05
2.12; 0.26
1.65; 0.21
0.08; 0.03
0.07; 0.04
0.25; 0.03
0.31; 0.05
0.81; 0.03
0.87; 0.02
MEI-IST
1.10; 0.05
2.37; 0.43
2.34; 0.36
0.65; 0.08
0.25; 0.09
6.41; 0.79
5.85; 0.84
0.61; 0.08
0.72; 0.11
0.77; 0.05
0.18; 0.07
0.18; 0.08
0.37; 0.14
0.92; 0.04
0.75; 0.08
0.73; 0.09
0.11; 0.05
2.39; 0.33
1.98; 0.33
0.11; 0.04
0.16; 0.07
0.28; 0.03
0.24; 0.04
0.84; 0.03
0.91; 0.02
Risk-P
0.98; 0.04
2.23; 0.49
2.73; 0.40
0.75; 0.08
0.19; 0.08
5.19; 0.88
5.55; 0.90
0.71; 0.07
0.74; 0.10
0.78; 0.05
0.18; 0.07
0.18; 0.08
0.38; 0.15
0.84; 0.06
0.64; 0.07
0.68; 0.10
0.13; 0.05
1.90; 0.25
1.41; 0.15
0.10; 0.03
0.04; 0.02
0.23; 0.03
0.21; 0.03
0.79; 0.03
0.84; 0.02
BKK
B+Inv
DSW15%
0.94; 0.04 0.94; 0.04 0.82; 0.04
1.28; 0.26 2.18; 0.27 3.11; 0.57
0.70; 0.38 1.09; 0.18 2.36; 0.33
0.54; 0.12
0.25; 0.07
4.91; 0.85 5.89; 0.87 5.42; 0.81
5.52; 0.91 6.41; 0.88 5.51; 0.88
0.86; 0.05
0.77; 0.09
0.82; 0.03 0.78; 0.03 0.83; 0.04
0.31; 0.11 0.37; 0.07 0.19; 0.06
0.42; 0.14 0.28; 0.10 0.18; 0.07
0.37; 0.16 0.33; 0.14 0.36; 0.14
0.80; 0.05
0.62; 0.07
0.62; 0.11
0.14; 0.06
2.08; 0.23 2.03; 0.19 1.71; 0.18
1.61; 0.32 1.69; 0.17 1.39; 0.11
0.05; 0.02 0.05; 0.01 0.06; 0.02
0.02; 0.01 0.02; 0.01 0.03; 0.01
0.26; 0.05 0.20; 0.03 0.17; 0.03
0.16; 0.06 0.23; 0.05 0.08; 0.02
0.68; 0.04 0.68; 0.03 0.74; 0.03
0.67; 0.09 0.68; 0.07 0.83; 0.02
B-Type
POSTERIORS (Median; Standard Deviation) IN VARIOUS SPECIFICATIONS
Note: See Table 2 for descriptions of prior distributions and Table 4 for brief descriptions of all the model specifications.
ξ
φπ
φπ*
φy
φy*
φΔy
φΔy*
ρMON
ρMON*
φ
φ*
θP
θP*
ιP
ιP*
θW
θW*
ιW
ιW*
μ
σC
σC*
ϑ
ϑ*
ψ
ψ*
Symbol
PRIORS
Table 5: Prior and Posterior Distributions of Structural Parameters
0.99; 0.05
2.76; 0.60
2.72; 0.42
0.73; 0.08
0.13; 0.05
4.62; 0.89
4.93; 0.99
0.83; 0.07
0.76; 0.10
0.81; 0.05
0.20; 0.07
0.18; 0.08
0.36; 0.14
0.85; 0.05
0.67; 0.07
0.70; 0.10
0.14; 0.06
2.40; 0.35
1.52; 0.18
0.17; 0.05
0.03; 0.02
0.22; 0.03
0.23; 0.04
0.84; 0.03
0.83; 0.03
0.02; 0.00
DSW2%
Description
AR(1) US TFP
AR(1) RoW TFP
AR(1) US Investment
AR(1) RoW Investment
AR(1) US MEI
AR(1) RoW MEI
AR(1) US IST
AR(1) RoW IST
AR(1) UIP
AR(1) US Time-Impatience
AR(1) RoW Time-Impatience
AR(1) US Govt Spending
AR(1) RoW Govt Spending
AR(1) US Wage
AR(1) RoW Wage
MA(1) US Wage
MA(1) RoW Wage
AR(1) US Home-Bias
AR(1) US Export
AR(1) US Risk-Premium
AR(1) RoW Risk-Premium
Symbol
ρTFP
ρ*TFP
ρINV
ρ*INV
ρMEI
ρ*MEI
ρRPI
ρ*RPI
ρUIP
ρTI
ρ*TI
ρGOV
ρ*GOV
ρWM
ρ*WM
νWM
ν*WM
ρIMP
ρX
ρRP
ρ*RP
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
B (0.50, 0.15)
PRIORS
(P1, P2)
0.64; 0.10
0.84; 0.05
0.94; 0.02 0.95; 0.02 0.94; 0.02
0.95; 0.04 0.91; 0.06 0.88; 0.07
0.62; 0.07
0.57; 0.08
0.79; 0.05
0.81; 0.07
0.65; 0.06
0.62; 0.10
0.97; 0.01
0.96; 0.01
0.87; 0.03 0.84; 0.03 0.88; 0.03
0.52; 0.12 0.52; 0.12
0.84; 0.04 0.85; 0.05
0.91; 0.04 0.91; 0.04 0.91; 0.03
0.93; 0.04 0.95; 0.03 0.87; 0.05
0.59; 0.10 0.58; 0.10 0.58; 0.10
0.88; 0.05 0.93; 0.04 0.88; 0.05
0.44; 0.13 0.44; 0.12 0.44; 0.13
0.70; 0.11 0.82; 0.09 0.74; 0.10
Baseline
0.95; 0.02
0.72; 0.10
0.87; 0.04
0.94; 0.04
0.94; 0.02
0.68; 0.08
0.85; 0.06
0.46; 0.12
0.64; 0.11
0.95; 0.02 0.95; 0.02 0.94; 0.02
0.50; 0.11 0.84; 0.04 0.83; 0.04
0.84; 0.05 0.95; 0.01 0.92; 0.02
0.92; 0.03
0.90; 0.05
0.65; 0.10
0.88; 0.06
0.47; 0.13
0.69; 0.11
0.99; 0.00 0.99; 0.00
0.95; 0.02
0.55; 0.11
0.87; 0.03
0.94; 0.03
0.94; 0.05
0.67; 0.10
0.88; 0.06
0.49; 0.13
0.69; 0.11
0.93; 0.02
0.96; 0.05
0.54; 0.07
0.76; 0.07
DSW2%
0.99; 0.00 0.90; 0.02
0.87; 0.04
0.96; 0.02
0.56; 0.08
0.84; 0.05
0.93; 0.02 0.86; 0.04 0.94; 0.02
0.94; 0.04 0.98; 0.01 0.97; 0.02
0.44; 0.07
0.30; 0.06
0.76; 0.06
0.62; 0.07
POSTERIORS (Median; Standard Deviation) IN VARIOUS SPECIFICATIONS
MEI-IST
Risk-P
BKK
B-Type
B+Inv
DSW15%
Table 5 (Contd): Prior and Posterior Distributions of Shock Persistence
100σ
100σTFP*
100σINV
100INV*
100σMEI
100σMEI*
100σRPI
100σRPI*
100σUIP
100σTI
100σTI*
100σGOV
100σGOV*
100σWM
100σWM*
100σMON
100σMON*
100σPPP
100σIMP
100σX
100σRP
100σRP*
TFP
Symbol
Inno. US TFP
Inno. RoW TFP
Inno. US Investment
Inno. RoW Investment
Inno. US MEI
Inno. RoW MEI
Inno. US IST
Inno. RoW IST
Inno. UIP
Inno. US Time-Impatience
Inno. RoW Time-Impatience
Inno. US Govt Spending
Inno. RoW Govt Spending
Inno. US Wage
Inno. RoW Wage
Inno. US Mon. Pol.
Inno. RoW Mon. Pol.
Inno. PPP
Inno. US Home-Bias
Inno. US Export
Inno. US Risk-Premium
Inno. RoW Risk-Premium
Innovation Description
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
IG (0.10, 2)
PRIORS
(P1, P2)
0.10; 0.02
0.09; 0.02
0.08; 0.02
0.12; 0.02
0.06; 0.02
0.24; 0.02
0.33; 0.02
0.23; 0.02
0.18; 0.02
0.12; 0.01
0.14; 0.02
2.92; 0.21
1.11; 0.43
0.47; 0.06
0.80; 0.11
0.25; 0.03
0.46; 0.04 0.46; 0.04
0.17; 0.05
0.11; 0.02
0.05; 0.01
0.22; 0.02
0.18; 0.02
0.25; 0.02
0.32; 0.02
0.12; 0.01
0.14; 0.02
0.77; 0.29
0.47; 0.08
0.93; 0.10
0.32; 0.04
DSW2%
0.37; 0.03 0.16; 0.01
0.07; 0.02 0.08; 0.02 0.09; 0.03
0.27; 0.06 0.09; 0.02 0.08; 0.02
0.09; 0.04 0.06; 0.01 0.05; 0.01
0.24; 0.02
0.19; 0.02
0.31; 0.02
0.45; 0.03
0.29; 0.03 0.26; 0.02 0.12; 0.01
0.32; 0.10 0.33; 0.07 0.15; 0.02
0.68; 0.22 0.96; 0.15 0.72; 0.07
0.46; 0.07 0.56; 0.10 0.58; 0.06
0.95; 0.12
1.15; 0.12
0.29; 0.04
0.36; 0.04
POSTERIORS (Median; Standard Deviation) IN VARIOUS SPECIFICATIONS
MEI-IST
Risk-P
BKK
B-Type
B+Inv
DSW15%
0.58; 0.13 0.55; 0.11 0.61; 0.22
0.44; 0.06 0.42; 0.06 0.46; 0.08
0.74; 0.10
0.81; 0.10
0.27; 0.03
0.24; 0.03
0.78; 0.10
0.35; 0.05
0.61; 0.04
0.61; 0.04
0.35; 0.07 0.37; 0.08 0.34; 0.07
0.11; 0.02 0.11; 0.02
0.06; 0.02 0.06; 0.02
0.23; 0.02 0.23; 0.02 0.22; 0.02
0.31; 0.02 0.31; 0.02 0.31; 0.02
0.13; 0.02 0.13; 0.02 0.13; 0.02
0.13; 0.02 0.13; 0.02 0.13; 0.02
0.23; 0.02 0.23; 0.02 0.23; 0.02
0.17; 0.02 0.18; 0.02 0.16; 0.02
3.56; 0.25 3.46; 0.24 3.55; 0.24
Baseline
Table 5 (Contd): Prior and Posterior Distributions of Shock Standard Deviations