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Appendix IV. Variance Decompositions

Author(s):
Paulo Drummond, Ari Aisen, Emre Alper, Ejona Fuli, and Sébastien Walker
Published Date:
July 2015
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Variance Decompositions with the United States*

Burundi
Variance decomposition for output
StepSupplyDemandForeign MPMPExch. rate
168.4631.540.000.000.00
466.2427.341.901.902.63
870.4120.612.372.534.07
1278.8813.281.582.473.78
1684.628.901.062.323.10
2087.606.840.822.202.54
Variance decomposition for foreign interest rates
StepSupplyDemandForeign MPMPExch. rate
122.5655.4122.030.000.00
427.6551.1020.840.360.05
824.9655.4918.091.360.10
1223.8856.8017.121.820.38
1626.2854.8016.681.790.46
2026.8254.5616.411.720.49
Variance decomposition for domestic interest rates
StepSupplyDemandForeign MPMPExch. rate
10.120.3231.3554.4113.80
40.485.7025.1343.9924.70
80.683.9915.9553.8225.57
122.894.5212.6054.6725.32
164.265.9710.9853.3725.43
204.286.619.9653.0426.11
Variance decomposition for prices
StepSupplyDemandForeign MPMPExch. rate
10.207.6639.6120.1932.35
41.6510.7022.6319.3445.68
811.4713.1214.5617.5043.35
1219.3412.9410.9218.4438.36
1624.4910.859.9221.7133.03
2027.858.679.8325.6628.00
Variance decomposition for the exchange rate
StepSupplyDemandForeign MPMPExch. rate
11.900.8010.172.2184.93
43.710.378.485.0282.42
82.940.2110.837.2378.79
121.990.4312.908.4376.26
161.430.8413.869.1474.72
201.161.1114.089.8073.85
Kenya
Variance decomposition for output
StepSupplyDemandForeign MPMPExch. rate
188.4011.600.000.000.00
494.555.280.090.040.05
897.262.010.360.170.21
1297.821.440.400.200.15
1698.371.060.300.150.13
2098.710.840.230.120.10
Variance decomposition for foreign interest rates
StepSupplyDemandForeign MPMPExch. rate
10.370.0899.560.000.00
40.680.0998.210.031.00
82.080.2795.990.411.25
122.940.2994.780.731.25
163.020.3294.600.821.24
203.190.3494.400.811.25
Variance decomposition for domestic interest rates
StepSupplyDemandForeign MPMPExch. rate
14.5124.480.5670.460.00
413.2241.371.9642.630.83
817.7037.425.7835.403.69
1218.9835.367.7433.804.12
1618.8435.167.8034.014.20
2018.8835.087.9533.904.19
Variance decomposition for prices
StepSupplyDemandForeign MPMPExch. rate
110.9529.192.720.1856.96
421.5943.619.690.0625.05
832.5330.7412.121.3323.28
1234.7923.6814.033.7323.78
1634.3920.5014.325.9424.85
2033.9618.7913.807.5825.87
Variance decomposition for the exchange rate
StepSupplyDemandForeign MPMPExch. rate
113.5569.735.610.5510.56
426.4057.968.580.166.90
843.5939.839.503.403.68
1247.4133.999.906.022.69
1648.4931.319.208.642.36
2049.1929.848.3410.272.36
Rwanda
Variance decomposition for output
StepSupplyDemandForeign MPMPExch. rate
144.4755.540.000.000.00
452.8325.6411.498.661.38
864.6716.098.299.861.09
1276.7110.035.207.300.76
1684.396.653.445.000.51
2088.614.852.513.660.37
Variance decomposition for foreign interest rates
StepSupplyDemandForeign MPMPExch. rate
14.860.0095.140.000.00
433.388.1757.230.480.74
847.0014.6730.276.521.53
1245.5515.6725.2711.731.78
1644.6415.7424.5213.261.84
2044.5115.7324.4513.471.85
Variance decomposition for domestic interest rates
StepSupplyDemandForeign MPMPExch. rate
119.1713.490.9466.390.00
412.9510.512.8573.360.33
816.3010.463.4669.420.36
1219.5511.084.4664.460.46
1620.4311.384.7362.910.55
2020.4911.444.7762.740.57
Variance decomposition for prices
StepSupplyDemandForeign MPMPExch. rate
10.0910.530.681.4587.26
42.884.404.275.6782.78
82.323.823.0310.6780.17
124.964.872.4312.4375.31
168.596.412.4114.5468.05
2010.977.522.5416.3962.58
Variance decomposition for the exchange rate
StepSupplyDemandForeign MPMPExch. rate
144.856.641.8841.235.40
453.2915.351.0429.081.24
868.9518.160.4211.101.37
1271.9820.250.625.601.55
1672.4721.340.883.611.70
2072.4621.951.022.761.81
Tanzania
Variance decomposition for output
StepSupplyDemandForeign MPMPExch. rate
179.8920.110.000.000.00
481.8016.210.160.501.33
872.4614.000.806.206.54
1262.5616.733.956.889.88
1659.5113.107.448.1911.77
2063.6410.966.107.0512.25
Variance decomposition for foreign interest rates
StepSupplyDemandForeign MPMPExch. rate
10.1743.8356.000.000.00
48.5335.0951.491.713.18
89.4918.7957.529.414.80
1211.7715.8953.719.419.22
1611.3819.2850.198.7610.38
2010.4721.8450.058.119.53
Variance decomposition for domestic interest rates
StepSupplyDemandForeign MPMPExch. rate
10.440.882.3196.380.00
47.621.9912.7768.169.46
819.9312.9311.5047.328.32
1219.9813.5111.2946.928.30
1619.7313.1915.0844.187.82
2018.7113.0219.3441.807.13
Variance decomposition for prices
StepSupplyDemandForeign MPMPExch. rate
11.2375.8613.868.690.37
416.2867.595.756.753.63
818.6366.593.198.952.65
1219.9463.053.619.743.67
1619.9260.863.369.666.20
2020.2161.783.548.356.12
Variance decomposition for the exchange rate
StepSupplyDemandForeign MPMPExch. rate
10.231.052.792.7593.17
46.163.322.0111.3977.12
87.927.127.8111.2065.95
1213.4012.119.467.7657.27
1618.6512.6911.086.0551.54
2021.0412.7912.955.0048.23
Uganda
Variance decomposition for output
StepSupplyDemandForeign MPMPExch. rate
194.015.990.000.000.00
495.793.140.040.001.03
896.141.270.880.041.67
1296.241.360.740.491.18
1695.711.790.700.820.98
2096.151.610.620.770.85
Variance decomposition for foreign interest rates
StepSupplyDemandForeign MPMPExch. rate
11.9025.3172.800.000.00
40.5423.5762.548.754.60
80.3515.5560.5816.397.14
120.3417.6455.9316.0510.05
160.6420.2954.2015.039.85
200.7220.0155.1614.559.57
Variance decomposition for domestic interest rates
StepSupplyDemandForeign MPMPExch. rate
10.627.544.9286.920.00
411.164.122.6279.412.69
814.444.793.2264.8512.70
1227.056.553.9852.659.78
1631.178.847.6244.338.05
2032.8213.508.2938.167.22
Variance decomposition for prices
StepSupplyDemandForeign MPMPExch. rate
10.2061.731.1924.8512.04
423.6854.560.6913.447.63
835.2848.652.129.604.36
1235.8950.302.208.702.91
1637.2451.442.126.942.26
2038.4051.822.175.502.12
Variance decomposition for the exchange rate
StepSupplyDemandForeign MPMPExch. rate
10.7317.708.690.9671.92
40.7512.7125.813.3357.41
85.4424.3418.666.0145.54
1214.9427.4420.515.1731.95
1621.1530.0921.874.1922.69
2024.6333.0621.873.2117.24

Variance Decompositions with Kenya*

Burundi
Variance decomposition for output
StepSupplyDemandForeign MPMPExch. rate
183.6916.310.000.000.00
489.278.021.960.100.66
893.733.721.570.270.72
1296.391.950.870.310.48
1697.541.290.580.270.32
2098.120.970.440.230.24
Variance decomposition for foreign interest rates
StepSupplyDemandForeign MPMPExch. rate
17.7358.8733.410.000.00
433.9832.9131.760.850.51
838.0330.0228.302.261.41
1237.5229.8728.232.771.61
1637.3229.6828.123.221.67
2037.2229.6028.033.481.67
Variance decomposition for domestic interest rates
StepSupplyDemandForeign MPMPExch. rate
10.161.001.4297.420.00
43.472.701.0792.650.10
84.772.133.5089.460.15
124.861.854.2188.820.27
164.661.714.5688.730.34
204.481.654.7488.750.37
Variance decomposition for prices
StepSupplyDemandForeign MPMPExch. rate
10.6818.1732.7911.6936.68
43.3717.2031.838.7038.91
817.1718.3024.705.0134.82
1229.1015.7921.882.9330.30
1635.8313.5821.771.9926.83
2039.3712.2022.271.7824.38
Variance decomposition for the exchange rate
StepSupplyDemandForeign MPMPExch. rate
10.212.9450.500.7645.59
46.971.0226.809.0956.12
85.030.9914.4016.5463.05
123.900.7910.9219.7764.61
164.060.968.8921.9164.18
204.241.227.6323.4463.48
Rwanda
Variance decomposition for output
StepSupplyDemandForeign MPMPExch. rate
184.3715.630.000.000.00
491.867.320.410.400.01
895.983.260.410.330.03
1297.472.020.280.220.02
1698.151.480.200.160.01
2098.531.170.160.130.01
Variance decomposition for foreign interest rates
StepSupplyDemandForeign MPMPExch. rate
11.804.5593.650.000.00
420.183.3058.8616.800.87
830.634.4449.1014.671.17
1230.915.8947.7614.301.14
1630.816.0647.6714.311.15
2030.836.0647.6514.311.15
Variance decomposition for domestic interest rates
StepSupplyDemandForeign MPMPExch. rate
117.9869.179.013.840.00
425.5765.336.761.980.36
824.4065.976.742.510.37
1224.2965.377.132.800.41
1624.3965.217.162.820.42
2024.4065.217.162.820.42
Variance decomposition for prices
StepSupplyDemandForeign MPMPExch. rate
10.641.513.7213.0581.07
40.811.181.178.1888.67
80.601.660.685.8691.19
120.421.690.754.8192.32
160.381.550.804.3192.96
200.351.420.814.0593.37
Variance decomposition for the exchange rate
StepSupplyDemandForeign MPMPExch. rate
15.120.050.5080.1614.17
422.155.309.5457.915.11
813.9913.0833.8834.574.48
129.1713.1648.6524.054.98
167.4011.7756.0819.435.32
206.4110.7060.2917.085.53
Tanzania
Variance decomposition for output
StepSupplyDemandForeign MPMPExch. rate
172.5927.410.000.000.00
478.9918.321.930.060.70
877.2516.325.370.070.98
1280.7114.164.000.081.05
1683.4211.943.620.100.93
2084.8610.903.230.090.92
Variance decomposition for foreign interest rates
StepSupplyDemandForeign MPMPExch. rate
110.2931.8457.880.000.00
49.9529.0836.640.2324.10
89.3129.0231.610.5429.52
129.1229.2032.270.6728.73
169.5429.1332.350.6828.31
209.5129.1832.440.7128.17
Variance decomposition for domestic interest rates
StepSupplyDemandForeign MPMPExch. rate
10.072.230.3297.390.00
48.0515.668.8761.615.82
88.1516.3520.4349.735.34
128.8917.4519.1647.576.93
168.8617.6919.4546.917.09
208.8217.5420.1046.467.08
Variance decomposition for prices
StepSupplyDemandForeign MPMPExch. rate
111.4751.9113.040.0723.51
422.8549.1610.900.4716.62
819.8846.8617.060.4315.77
1217.5944.2624.330.4313.39
1617.4141.9728.800.4911.32
2016.6740.8231.840.5910.08
Variance decomposition for the exchange rate
StepSupplyDemandForeign MPMPExch. rate
11.621.2722.994.3369.79
43.015.8610.352.4278.36
85.595.008.055.9275.44
126.135.786.167.2874.65
165.885.315.887.3475.59
205.944.945.427.3276.38
Uganda
Variance decomposition for output
StepSupplyDemandForeign MPMPExch. rate
191.438.570.000.000.00
497.082.500.180.010.24
898.480.700.220.010.59
1299.060.390.140.010.40
1699.340.270.100.010.28
2099.490.210.080.010.22
Variance decomposition for foreign interest rates
StepSupplyDemandForeign MPMPExch. rate
14.5283.0212.460.000.00
44.3582.755.695.072.15
817.7258.5710.544.878.30
1227.3348.7410.945.427.58
1629.8246.1910.756.037.21
2029.8045.7310.696.367.41
Variance decomposition for domestic interest rates
StepSupplyDemandForeign MPMPExch. rate
11.450.3523.1975.020.00
47.520.4418.3567.476.22
86.263.7616.6961.0912.19
129.315.5413.8655.2316.05
1618.215.4812.2746.9717.08
2025.135.1411.5741.7916.38
Variance decomposition for prices
StepSupplyDemandForeign MPMPExch. rate
10.995.039.928.6375.44
412.244.5915.784.5762.83
830.531.5012.342.5753.06
1243.250.6510.771.6843.65
1650.830.3610.251.1337.43
2055.450.2410.110.7833.42
Variance decomposition for the exchange rate
StepSupplyDemandForeign MPMPExch. rate
14.1527.3837.067.6923.72
43.0438.2720.514.2333.96
88.0728.568.832.0652.48
1222.2520.934.791.0351.01
1633.5416.513.510.5945.86
2040.7414.113.120.4741.56

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