Back Matter

Appendix A. Data Description

Estimation is based on quarterly data on a variety of macroeconomic and financial market variables observed for forty economies over the sample period 1999Q1 through 2016Q1. The economies under consideration are Argentina, Australia, Austria, Belgium, Brazil, Canada, Chile, China, Colombia, the Czech Republic, Denmark, Finland, France, Germany, Greece, India, Indonesia, Ireland, Israel, Italy, Japan, Korea, Malaysia, Mexico, the Netherlands, New Zealand, Norway, the Philippines, Poland, Portugal, Russia, Saudi Arabia, South Africa, Spain, Sweden, Switzerland, Thailand, Turkey, the United Kingdom, and the United States. Where available, this data was obtained from the GDS and WEO databases compiled by the International Monetary Fund, or from databases produced by Bloomberg and the Bank for International Settlements. Otherwise, it was extracted from the IFS database compiled by the International Monetary Fund or the WDI database produced by the World Bank Group.

The macroeconomic variables under consideration are the price of output, the price of consumption, the quantity of output, the quantity of private consumption, the quantity of exports, the quantity of imports, the price of housing, the nominal wage, the unemployment rate, employment, the quantity of public domestic demand, the fiscal balance ratio, and the prices of nonrenewable energy and nonenergy commodities. The price of output is measured by the seasonally adjusted gross domestic product price deflator, while the price of consumption is proxied by the seasonally adjusted consumer price index. The quantity of output is measured by seasonally adjusted real gross domestic product, while the quantity of private consumption is measured by seasonally adjusted real private consumption expenditures. The quantity of exports is measured by seasonally adjusted real export revenues, while the quantity of imports is measured by seasonally adjusted real import expenditures. The price of housing is proxied by a broad residential property price index. The nominal wage is derived from the quadratically interpolated annual labor income share, while the unemployment rate is measured by the seasonally adjusted share of total unemployment in the total labor force, and employment is measured by seasonally adjusted total employment. The quantity of public domestic demand is measured by the sum of quadratically interpolated annual real consumption and investment expenditures of the general government, while the fiscal balance is measured by the quadratically interpolated annual overall fiscal balance of the general government. The prices of energy and nonenergy commodities are proxied by broad commodity price indexes denominated in United States dollars.

The financial market variables under consideration are the nominal policy interest rate, the nominal money market interest rate, the nominal long term bond yield, the price of equity, and the nominal bilateral exchange rate. The nominal policy interest rate is measured by the central bank policy rate, the nominal money market interest rate is measured by the three month Treasury bill yield, and the nominal long term bond yield is measured by the ten year government bond yield. The price of equity is proxied by a broad stock price index denominated in domestic currency units, while the nominal bilateral exchange rate is measured by the domestic currency price of one United States dollar. All of these financial market variables are expressed as period average values.

Calibration is based on annual data obtained from databases compiled by the International Monetary Fund where available, and from the Bank for International Settlements or the World Bank Group otherwise. Macroeconomic great ratios are derived from the WEO and WDI databases, while financial great ratios are also derived from the BIS and IFS databases. Bilateral trade weights are derived for goods on a cost, insurance and freight basis from the DOTS database. Bilateral bank lending and nonfinancial corporate borrowing weights are derived on a consolidated ultimate risk basis from the BIS database. Bilateral portfolio debt and equity investment weights are derived from the CPIS, BIS, and WDI databases.

Appendix B. Tables and Figures

Table 1.

Parameter Estimation Results, Endogenous Variables

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Note: All priors are normally distributed, while all posteriors are asymptotically normally distributed.
Table 2.

Parameter Estimation Results, Exogenous Variables

article image
Note: All priors are normally distributed, while all posteriors are asymptotically normally distributed.
Figure 1.
Figure 1.

Output Gap Estimates

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Decomposes smoothed estimates of the output gap into contributions from capital utilization and labor utilization .
Figure 2.
Figure 2.

Impulse Responses to a Domestic Productivity Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Belgium) , the median economy (Sweden) , the 97.5th percentile economy (Indonesia) , and the reference economy (United States) to productivity shocks that raise potential output by one percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 3.
Figure 3.

Impulse Responses to a Foreign Productivity Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Russia) , the median recipient economy (Austria) , the 97.5th percentile recipient economy (Ireland) , and the source economy (United States) to a productivity shock that raises potential output by one percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 4.
Figure 4.

Impulse Responses to a Domestic Labor Supply Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Belgium) , the median economy (Sweden) , the 97.5th percentile economy (Japan) , and the reference economy (United States) to labor supply shocks that raise potential output by one percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 5.
Figure 5.

Impulse Responses to a Foreign Labor Supply Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Russia) , the median recipient economy (Austria) , the 97.5th percentile recipient economy (Ireland) , and the source economy (United States) to a labor supply shock that raises potential output by one percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 6.
Figure 6.

Impulse Responses to a Domestic Consumption Demand Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Czech Republic) , the median economy (Australia) , the 97.5th percentile economy (Greece) , and the reference economy (United States) to consumption demand shocks that raise consumption by one percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 7.
Figure 7.

Impulse Responses to a Foreign Consumption Demand Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Poland) , the median recipient economy (Denmark) , the 97.5th percentile recipient economy (Canada) , and the source economy (United States) to a consumption demand shock that raises consumption by one percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 8.
Figure 8.

Impulse Responses to a Domestic Residential Investment Demand Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Netherlands) , the median economy (Spain) , the 97.5th percentile economy (China) , and the reference economy (United States) to residential investment demand shocks that raise residential investment by one percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 9.
Figure 9.

Impulse Responses to a Foreign Residential Investment Demand Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Australia) , the median recipient economy (New Zealand) , the 97.5th percentile recipient economy (Mexico) , and the source economy (United States) to a residential investment demand shock that raises residential investment by one percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 10.
Figure 10.

Impulse Responses to a Domestic Business Investment Demand Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Netherlands) , the median economy (Spain) , the 97.5th percentile economy (China) , and the reference economy (United States) to business investment demand shocks that raise business investment by one percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 11.
Figure 11.

Impulse Responses to a Foreign Business Investment Demand Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Poland) , the median recipient economy (Denmark) , the 97.5th percentile recipient economy (Canada) , and the source economy (United States) to a business investment demand shock that raises business investment by one percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 12.
Figure 12.

Impulse Responses to a Domestic Credit Risk Premium Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Spain) , the median economy (Philippines) , the 97.5th percentile economy (Belgium) , and the reference economy (United States) to credit risk premium shocks that raise the nominal money market interest rate by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 13.
Figure 13.

Impulse Responses to a Foreign Credit Risk Premium Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Colombia) , the median recipient economy (Italy) , the 97.5th percentile recipient economy (India) , and the source economy (United States) to a credit risk premium shock that raises the nominal money market interest rate by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 14.
Figure 14.

Impulse Responses to a Domestic Duration Risk Premium Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Spain) , the median economy (Poland) , the 97.5th percentile economy (Ireland) , and the reference economy (United States) to duration risk premium shocks that raise the nominal long term bond yield by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 15.
Figure 15.

Impulse Responses to a Foreign Duration Risk Premium Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Colombia) , the median recipient economy (Sweden) , the 97.5th percentile recipient economy (China) , and the source economy (United States) to a duration risk premium shock that raises the nominal long term bond yield by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 16.
Figure 16.

Impulse Responses to a Domestic Housing Risk Premium Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Czech Republic) , the median economy (Russia) , the 97.5th percentile economy (Greece) , and the reference economy (United States) to housing risk premium shocks that raise the price of housing by ten percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 17.
Figure 17.

Impulse Responses to a Foreign Housing Risk Premium Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Argentina) , the median recipient economy (France) , the 97.5th percentile recipient economy (Canada) , and the source economy (United States) to a housing risk premium shock that raises the price of housing by ten percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 18.
Figure 18.

Impulse Responses to a Domestic Equity Risk Premium Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Netherlands) , the median economy (Mexico) , the 97.5th percentile economy (Indonesia) , and the reference economy (United States) to equity risk premium shocks that raise the price of equity by ten percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 19.
Figure 19.

Impulse Responses to a Foreign Equity Risk Premium Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Malaysia) , the median recipient economy (Japan) , the 97.5th percentile recipient economy (Mexico) , and the source economy (United States) to an equity risk premium shock that raises the price of equity by ten percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 20.
Figure 20.

Impulse Responses to a Domestic Mortgage Loan Rate Markup Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (China) , the median economy (Korea) , the 97.5th percentile economy (Netherlands) , and the reference economy (United States) to mortgage loan rate markup shocks that raise the nominal mortgage loan rate by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 21.
Figure 21.

Impulse Responses to a Foreign Mortgage Loan Rate Markup Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Mexico) , the median recipient economy (Italy) , the 97.5th percentile recipient economy (Australia) , and the source economy (United States) to a mortgage loan rate markup shock that raises the nominal mortgage loan rate by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 22.
Figure 22.

Impulse Responses to a Domestic Corporate Loan Rate Markup Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (China) , the median economy (Portugal) , the 97.5th percentile economy (Czech Republic) , and the reference economy (United States) to corporate loan rate markup shocks that raise the nominal corporate loan rate by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 23.
Figure 23.

Impulse Responses to a Foreign Corporate Loan Rate Markup Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Canada) , the median recipient economy (Germany) , the 97.5th percentile recipient economy (Poland) , and the source economy (United States) to a corporate loan rate markup shock that raises the nominal corporate loan rate by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 24.
Figure 24.

Impulse Responses to a Domestic Mortgage Loan Default Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Denmark) , the median economy (New Zealand) , the 97.5th percentile economy (Czech Republic) , and the reference economy (United States) to mortgage loan default shocks that raise the mortgage loan default rate by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 25.
Figure 25.

Impulse Responses to a Foreign Mortgage Loan Default Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Canada) , the median recipient economy (France) , the 97.5th percentile recipient economy (Turkey) , and the source economy (United States) to a mortgage loan default shock that raises the mortgage loan default rate by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 26.
Figure 26.

Impulse Responses to a Domestic Corporate Loan Default Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Indonesia) , the median economy (France) , the 97.5th percentile economy (Belgium) , and the reference economy (United States) to corporate loan default shocks that raise the corporate loan default rate by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 27.
Figure 27.

Impulse Responses to a Foreign Corporate Loan Default Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Canada) , the median recipient economy (Czech Republic) , the 97.5th percentile recipient economy (New Zealand) , and the source economy (United States) to a corporate loan default shock that raises the corporate loan default rate by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 28.
Figure 28.

Impulse Responses to a Domestic Monetary Policy Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (China) , the median economy (Turkey) , the 97.5th percentile economy (Saudi Arabia) , and the reference economy (United States) to monetary policy shocks that raise the nominal policy interest rate by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 29.
Figure 29.

Impulse Responses to a Foreign Monetary Policy Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Mexico) , the median recipient economy (Japan) , the 97.5th percentile recipient economy (Spain) , and the source economy (United States) to a monetary policy shock that raises the nominal policy interest rate by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 30.
Figure 30.

Impulse Responses to a Domestic Government Expenditure Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Argentina) , the median economy (Israel) , the 97.5th percentile economy (Czech Republic) , and the reference economy (United States) to government expenditure shocks that raise the primary fiscal balance ratio by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 31.
Figure 31.

Impulse Responses to a Foreign Government Expenditure Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Canada) , the median recipient economy (New Zealand) , the 97.5th percentile recipient economy (Australia) , and the source economy (United States) to a government expenditure shock that raises the primary fiscal balance ratio by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 32.
Figure 32.

Impulse Responses to a Domestic Corporate Tax Rate Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Argentina) , the median economy (Israel) , the 97.5th percentile economy (Czech Republic) , and the reference economy (United States) to corporate tax rate shocks that raise the primary fiscal balance ratio by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 33.
Figure 33.

Impulse Responses to a Foreign Corporate Tax Rate Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Canada) , the median recipient economy (Denmark) , the 97.5th percentile recipient economy (Australia) , and the source economy (United States) to a corporate tax rate shock that raises the primary fiscal balance ratio by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 34.
Figure 34.

Impulse Responses to a Domestic Labor Income Tax Rate Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Argentina) , the median economy (South Africa) , the 97.5th percentile economy (Czech Republic) , and the reference economy (United States) to labor income tax rate shocks that raise the primary fiscal balance ratio by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 35.
Figure 35.

Impulse Responses to a Foreign Labor Income Tax Rate Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Canada) , the median recipient economy (New Zealand) , the 97.5th percentile recipient economy (Australia) , and the source economy (United States) to a labor income tax rate shock that raises the primary fiscal balance ratio by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 36.
Figure 36.

Impulse Responses to a Domestic Capital Requirement Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Spain) , the median economy (Philippines) , the 97.5th percentile economy (Czech Republic) , and the reference economy (United States) to capital requirement shocks that raise the bank capital ratio requirement by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 37.
Figure 37.

Impulse Responses to a Foreign Capital Requirement Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Canada) , the median recipient economy (Switzerland) , the 97.5th percentile recipient economy (Finland) , and the source economy (United States) to a capital requirement shock that raises the bank capital ratio requirement by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 38.
Figure 38.

Impulse Responses to a Domestic Mortgage Loan to Value Limit Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (China) , the median economy (Austria) , the 97.5th percentile economy (Malaysia) , and the reference economy (United States) to mortgage loan to value limit shocks that reduce the mortgage loan to value ratio limit by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 39.
Figure 39.

Impulse Responses to a Foreign Mortgage Loan to Value Limit Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Mexico) , the median recipient economy (Italy) , the 97.5th percentile recipient economy (Poland) , and the source economy (United States) to a mortgage loan to value limit shock that reduces the mortgage loan to value ratio limit by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 40.
Figure 40.

Impulse Responses to a Domestic Corporate Loan to Value Limit Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (China) , the median economy (Chile) , the 97.5th percentile economy (Malaysia) , and the reference economy (United States) to corporate loan to value limit shocks that reduce the corporate loan to value ratio limit by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 41.
Figure 41.

Impulse Responses to a Foreign Corporate Loan to Value Limit Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile recipient economy (Canada) , the median recipient economy (Italy) , the 97.5th percentile recipient economy (Poland) , and the source economy (United States) to a corporate loan to value limit shock that reduces the corporate loan to value ratio limit by one percentage point, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 42.
Figure 42.

Impulse Responses to a Currency Risk Premium Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Austria) , the median economy (South Africa) , the 97.5th percentile economy (Mexico) , and the reference economy (United States) to currency risk premium shocks that depreciate the currency by ten percent in nominal effective terms, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 43.
Figure 43.

Impulse Responses to an Energy Commodity Price Markup Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Switzerland) , the median economy (China) , the 97.5th percentile economy (Colombia) , and the reference economy (United States) to an energy commodity price markup shock that raises the price of energy commodities by ten percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 44.
Figure 44.

Impulse Responses to a Nonenergy Commodity Price Markup Shock

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts impulse responses for the 2.5th percentile economy (Saudi Arabia) , the median economy (Portugal) , the 97.5th percentile economy (Australia) , and the reference economy (United States) to a nonenergy commodity price markup shock that raises the price of nonenergy commodities by ten percent, ranked with respect to the peak impulse response of output. All variables are annualized, where applicable.
Figure 45.
Figure 45.

Historical Decompositions of Consumption Price Inflation

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Decomposes observed consumption price inflation as measured by the seasonal logarithmic difference of the price of consumption into the sum of a trend component and contributions from domestic macroeconomic , foreign macroeconomic , domestic financial , foreign financial , domestic policy , foreign policy , and world terms of trade shocks.
Figure 46.
Figure 46.

Historical Decompositions of Output Growth

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Decomposes observed output growth as measured by the seasonal logarithmic difference of output into the sum of a trend component and contributions from domestic macroeconomic , foreign macroeconomic , domestic financial , foreign financial , domestic policy , foreign policy , and world terms of trade shocks.
Figure 47.
Figure 47.

Forecast Performance Evaluation Statistics

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts the horizon dependent logarithmic root mean squared prediction error ratio for consumption price inflation and output growth relative to a random walk, expressed in percent.
Figure 48.
Figure 48.

Sequential Unconditional Forecasts of Consumption Price Inflation

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts the cyclical component of observed consumption price inflation as measured by the seasonal difference of the cyclical component of the logarithm of the price of consumption versus sequential unconditional forecasts .
Figure 49.
Figure 49.

Sequential Unconditional Forecasts of Output Growth

Citation: IMF Working Papers 2017, 089; 10.5089/9781475592757.001.A999

Note: Depicts the cyclical component of observed output growth as measured by the seasonal difference of the cyclical component of the logarithm of output versus sequential unconditional forecasts .

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1

The author gratefully acknowledges advice provided by Tamim Bayoumi and Peter Dattels, as well as comments and suggestions received from seminar participants at the International Monetary Fund and the People’s Bank of China.

2

In steady state equilibrium Ai=viC=viIH=viIK=viX=viH=υiiS=υiB=υiS=viε=1,viδM=viδC=viiP=viG=viτK=viτL=viκ=viφD=viφF=0,viM=θMθM1, and σA2=σN2=σvc2=σvI,H2=σvI,K2=σvX2=σvM2=σθY2=σθM2=σθL2=σθY,k2=σvH2=σvi,S2=σvB2=σvs2=σvε2=σθC,D2=σθC,F2=σvδ,M2=σvδ,C2=σvi,P2=σvG2=σvτ,K2=σvτ,L2=σvκ2=σvφ,D2=σvφ,F2=0

3

The nominal effective exchange rate ln ɛ^i,t satisfies ɛ^i,t=lnɛ^i,i*,tΣj=1Nwi,jTlnɛ^i,i*,t, while the real effective exchange rate ln Q^i,t satisfies ln Q^i,t=lnQ^i,i*,tΣj=1Nwi,jTlnQ^i,j*,t.

Policy, Risk and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach
Author: Mr. Francis Vitek