Table 8 Forecast error variance...

Table 8

Forecast error variance decomposition - Model with an AR(1) Commodity price process

Variable	Innovation
	PCOM	News in PCOM	TFP	News in TFP	Interest rate
Horizon = 2 quarters
$\hat{Y_{t}}$	28.48	1.19	53.07	0.69	16.57
$\hat{C_{t}}$	11.69	1.47	56	0.91	29.93
$\hat{I_{t}}$	43.18	8.67	6.88	3.32	37.96
$\hat{L_{t}}$	7.61	0.12	49.6	0.32	42.35
$\hat{T B Y_{t}}$	6.15	12.07	36.78	4.83	40.16
Horizon = 4 quarters
$\hat{Y_{t}}$	37.43	1.77	47.12	2.5	11.18
$\hat{C_{t}}$	18.42	2.43	56.68	2.33	20.14
$\hat{I_{t}}$	50.45	12.12	8.21	4.56	24.67
$\hat{L_{t}}$	17.76	0.84	52.59	2.89	25.93
$\hat{T B Y_{t}}$	7.97	19.54	33.06	7.37	32.09
Horizon = 6 quarters
$\hat{Y_{t}}$	38.68	4.48	35.38	13.86	7.61
$\hat{C_{t}}$	21.57	3.5	47.52	13.51	13.89
$\hat{I_{t}}$	52.31	14.83	8.61	5.35	18.9
$\hat{L_{t}}$	24.47	2.58	43.03	13.28	16.64
$\hat{T B Y_{t}}$	7.41	18.7	25.77	23.22	24.9
Horizon = 8 quarters
$\hat{Y_{t}}$	41.44	6.72	29.65	16.07	6.11
$\hat{C_{t}}$	24.58	4.88	41.95	17.52	11.07
$\hat{I_{t}}$	52.54	17.05	8.71	6	15.71
$\hat{L_{t}}$	29.32	4.89	35.56	17.99	12.25
$\hat{T B Y_{t}}$	7.36	20.76	24.17	24.78	22.93
Horizon = 16 quarters
$\hat{Y_{t}}$	41.82	17.07	17.51	20.17	3.42
$\hat{C_{t}}$	29.42	10.28	28	25.85	6.46
$\hat{I_{t}}$	51.75	21.63	8.62	7.08	10.91
$\hat{L_{t}}$	35.75	15.17	19.88	23.18	6.03
$\hat{T B Y_{t}}$	5.96	16.91	21.34	37.97	17.83
Horizon = 32 quarters
$\hat{Y_{t}}$	44.87	23.68	13.37	15.56	2.51
$\hat{C_{t}}$	35.72	15.94	22.18	21.4	4.78
$\hat{I_{t}}$	51.53	23.52	8.55	7.52	8.89
$\hat{L_{t}}$	41.25	23.48	14.17	17.02	4.07
$\hat{T B Y_{t}}$	5.85	17.73	21.92	37.49	17

Variable	Innovation
	PCOM	News in PCOM	TFP	News in TFP	Interest rate
Horizon = 2 quarters
$\hat{Y_{t}}$	28.48	1.19	53.07	0.69	16.57
$\hat{C_{t}}$	11.69	1.47	56	0.91	29.93
$\hat{I_{t}}$	43.18	8.67	6.88	3.32	37.96
$\hat{L_{t}}$	7.61	0.12	49.6	0.32	42.35
$\hat{T B Y_{t}}$	6.15	12.07	36.78	4.83	40.16
Horizon = 4 quarters
$\hat{Y_{t}}$	37.43	1.77	47.12	2.5	11.18
$\hat{C_{t}}$	18.42	2.43	56.68	2.33	20.14
$\hat{I_{t}}$	50.45	12.12	8.21	4.56	24.67
$\hat{L_{t}}$	17.76	0.84	52.59	2.89	25.93
$\hat{T B Y_{t}}$	7.97	19.54	33.06	7.37	32.09
Horizon = 6 quarters
$\hat{Y_{t}}$	38.68	4.48	35.38	13.86	7.61
$\hat{C_{t}}$	21.57	3.5	47.52	13.51	13.89
$\hat{I_{t}}$	52.31	14.83	8.61	5.35	18.9
$\hat{L_{t}}$	24.47	2.58	43.03	13.28	16.64
$\hat{T B Y_{t}}$	7.41	18.7	25.77	23.22	24.9
Horizon = 8 quarters
$\hat{Y_{t}}$	41.44	6.72	29.65	16.07	6.11
$\hat{C_{t}}$	24.58	4.88	41.95	17.52	11.07
$\hat{I_{t}}$	52.54	17.05	8.71	6	15.71
$\hat{L_{t}}$	29.32	4.89	35.56	17.99	12.25
$\hat{T B Y_{t}}$	7.36	20.76	24.17	24.78	22.93
Horizon = 16 quarters
$\hat{Y_{t}}$	41.82	17.07	17.51	20.17	3.42
$\hat{C_{t}}$	29.42	10.28	28	25.85	6.46
$\hat{I_{t}}$	51.75	21.63	8.62	7.08	10.91
$\hat{L_{t}}$	35.75	15.17	19.88	23.18	6.03
$\hat{T B Y_{t}}$	5.96	16.91	21.34	37.97	17.83
Horizon = 32 quarters
$\hat{Y_{t}}$	44.87	23.68	13.37	15.56	2.51
$\hat{C_{t}}$	35.72	15.94	22.18	21.4	4.78
$\hat{I_{t}}$	51.53	23.52	8.55	7.52	8.89
$\hat{L_{t}}$	41.25	23.48	14.17	17.02	4.07
$\hat{T B Y_{t}}$	5.85	17.73	21.92	37.49	17

Note(s): PCOM and TFP stand for Commodity price and Total Productivity factor, respectively. The relative contribution of each group of shocks is expressed as percentage points of the corresponding conditional variance decomposition implied by the model. TFP is the sum of the three productivity shocks in each sector

Source(s): Prepared by the authors

[ViewLarge]

Sharing Unavailable