Front Matter Page

Monetary and Capital Markets Department

Contents

• I. Introduction

• II. The Theoretical Framework

  • A. The Household Sector

    • Consumption and Saving

      • Bank Intermediated Households

      • Capital Market Intermediated Households

      • Credit Constrained Households

    • Labor Supply

  • B. The Construction Sector

    • Housing Demand

    • Residential Investment

    • Housing Supply

  • C. The Production Sector

    • Output Demand

    • Labor Demand and Business Investment

    • Output Supply

  • D. The Banking Sector

    • Credit Demand

    • Funding Demand and Bank Capital Accumulation

    • Credit Supply

  • E. The Trade Sector

    • The Export Sector

    • The Import Sector

      • Import Demand

      • Import Supply

  • F. Monetary, Fiscal, and Macroprudential Policy

    • The Monetary Authority

    • The Fiscal Authority

    • The Macroprudential Authority

  • G. Market Clearing Conditions

• III. The Empirical Framework

  • A. Endogenous Variables

  • B. Exogenous Variables

• IV. Estimation

  • A. Data Transformations

  • B. Parameter Estimates

  • C. Output Gap Estimates

• V. Inference

  • A. Impulse Responses

    • Macroeconomic Shocks

    • Financial Shocks

    • Policy Shocks

    • Terms of Trade Shocks

  • B. Historical Decompositions

• VI. Forecasting

• VII. Conclusion

• Appendix A. Data Description

• Appendix B. Tables and Figures

  • Table 1. Parameter Estimation Results, Endogenous Variables

  • Table 2. Parameter Estimation Results, Exogenous Variables

  • Figure 1. Output Gap Estimates

  • Figure 2. Impulse Responses to a Domestic Productivity Shock

  • Figure 3. Impulse Responses to a Foreign Productivity Shock

  • Figure 4. Impulse Responses to a Domestic Labor Supply Shock

  • Figure 5. Impulse Responses to a Foreign Labor Supply Shock

  • Figure 6. Impulse Responses to a Domestic Consumption Demand Shock

  • Figure 7. Impulse Responses to a Foreign Consumption Demand Shock

  • Figure 8. Impulse Responses to a Domestic Residential Investment Demand Shock

  • Figure 9. Impulse Responses to a Foreign Residential Investment Demand Shock

  • Figure 10. Impulse Responses to a Domestic Business Investment Demand Shock

  • Figure 11. Impulse Responses to a Foreign Business Investment Demand Shock

  • Figure 12. Impulse Responses to a Domestic Credit Risk Premium Shock

  • Figure 13. Impulse Responses to a Foreign Credit Risk Premium Shock

  • Figure 14. Impulse Responses to a Domestic Duration Risk Premium Shock

  • Figure 15. Impulse Responses to a Foreign Duration Risk Premium Shock

  • Figure 16. Impulse Responses to a Domestic Housing Risk Premium Shock

  • Figure 17. Impulse Responses to a Foreign Housing Risk Premium Shock

  • Figure 18. Impulse Responses to a Domestic Equity Risk Premium Shock

  • Figure 19. Impulse Responses to a Foreign Equity Risk Premium Shock

  • Figure 20. Impulse Responses to a Domestic Mortgage Loan Rate Markup Shock

  • Figure 21. Impulse Responses to a Foreign Mortgage Loan Rate Markup Shock

  • Figure 22. Impulse Responses to a Domestic Corporate Loan Rate Markup Shock

  • Figure 23. Impulse Responses to a Foreign Corporate Loan Rate Markup Shock

  • Figure 24. Impulse Responses to a Domestic Mortgage Loan Default Shock

  • Figure 25. Impulse Responses to a Foreign Mortgage Loan Default Shock

  • Figure 26. Impulse Responses to a Domestic Corporate Loan Default Shock

  • Figure 27. Impulse Responses to a Foreign Corporate Loan Default Shock

  • Figure 28. Impulse Responses to a Domestic Monetary Policy Shock

  • Figure 29. Impulse Responses to a Foreign Monetary Policy Shock

  • Figure 30. Impulse Responses to a Domestic Government Expenditure Shock

  • Figure 31. Impulse Responses to a Foreign Government Expenditure Shock

  • Figure 32. Impulse Responses to a Domestic Corporate Tax Rate Shock

  • Figure 33. Impulse Responses to a Foreign Corporate Tax Rate Shock

  • Figure 34. Impulse Responses to a Domestic Labor Income Tax Rate Shock

  • Figure 35. Impulse Responses to a Foreign Labor Income Tax Rate Shock

  • Figure 36. Impulse Responses to a Domestic Capital Requirement Shock

  • Figure 37. Impulse Responses to a Foreign Capital Requirement Shock

  • Figure 38. Impulse Responses to a Domestic Mortgage Loan to Value Limit Shock

  • Figure 39. Impulse Responses to a Foreign Mortgage Loan to Value Limit Shock

  • Figure 40. Impulse Responses to a Domestic Corporate Loan to Value Limit Shock

  • Figure 41. Impulse Responses to a Foreign Corporate Loan to Value Limit Shock

  • Figure 42. Impulse Responses to a Currency Risk Premium Shock

  • Figure 43. Impulse Responses to an Energy Commodity Price Markup Shock

  • Figure 44. Impulse Responses to a Nonenergy Commodity Price Markup Shock

  • Figure 45. Historical Decompositions of Consumption Price Inflation

  • Figure 46. Historical Decompositions of Output Growth

  • Figure 47. Forecast Performance Evaluation Statistics

  • Figure 48. Sequential Unconditional Forecasts of Consumption Price Inflation

  • Figure 49. Sequential Unconditional Forecasts of Output Growth

• References