(Luận văn) the impacts of monetary policy on output growth and inflation in vietnam, a var approach

INSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDS UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAM t to ng hi ep VIETNAM- NETHERLANDS PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS w n lo ad y th ju THE IMPACTS OF MONETARY POLICY ON yi pl OUTPUT GROWTH AND INFLATION ua al n IN VIETNAM: A VAR APPROACH n va fu ll A thesis submitted in partial fulfilment of the requirements for the degree of m oi MASTER OF ARTS IN DEVELOPMENT ECONOMICS at nh z z k jm ht VO PHUOC THUAN vb By HO CHI MINH CITY, JANUARY 2013 an Lu Assoc Prof Dr NGUYEN TRONG HOAI and Dr PHAM KHANH NAM om l.c gm Academic Supervisor: ACKNOWLEDGEMENT t to First of all, I would like to convey sincere thanks to my supervisors Assoc Prof Dr ng Nguyen Trong Hoai for his guidance, support and patience ensuring a successful hi ep completion of the thesis I wish to thank my co-supervisor Dr Pham Khanh Nam for his encouragement and willingly supports during the thesis writing process with w n the valuable comments and suggestions lo ad I wish to thank all staffs and my fellow classmates at the Vietnam-Netherlands y th Programme for M.A in Development Economics for the devoted support and ju yi positive interaction throughout the years pl ua al I also wish to show my thankfulness to Mr Hoang Quang Hung for his devoted n help and support in the process of the thesis va n I also wish to show my thankfulness to the Vietnam-Netherlands Programme for fu ll M.A in Development Economics along with all professors at there which have m oi provided me the knowledge and opportunity to access the best conditions for my at nh study What I have learned from their lectures not only help me get knowledge for doing the thesis but also provide me more profound understanding on economics z z particularly and life generally ht vb jm To my family, no word can express all my love to them They have always been my k biggest encouragement I could not have finished this course without them Thank gm you, mom and my wife, who always encourage and try their best to give me the best om l.c condition so that I can complete the thesis an Lu n va ey t re CERTIFICATION t to I declare that the Thesis, which I hereby submit for the degree of Master of Arts in ng hi Development Economics at the Vietnam -Netherlands Programme For M.A In ep Development Economics - University of Economics Ho Chi Minh City - Vietnam, is w the result of my own work with the guidance of the supervisors, except where n lo otherwise stated Other sources are acknowledged by explicit references ad y th I certify that the material contained in this thesis has not been submitted in support of ju an application for another degree or qualification in this or any university yi pl n ua al VO PHUOC THUAN n va Date: January 21, 2013 ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va e t re ABSTRACT t to ng Understanding of monetary policy and the way it is transmitted to the economy hi through different channels and the time it needs to take effect are both important, ep which are "visible hand" that could help the country to get over the challenges to w achieve the target This thesis examines the impact of monetary policy on real output n lo growth and inflation of the urban area, rural area and all over of Vietnam by using ad the vector auto-regression (VAR) focusing on the reduced-form relationships y th ju between money supply, real output growth, price level (of the urban area, rural area yi and all over of Vietnam), interest rate (lending rate), credit and exchange rate pl ua al The result suggests that money supply have impact on real output growth and n inflation in the urban area, the rural area and all over of Vietnam but the impacts are va at low percentage The fact that the thesis cannot find out any channel having the n ll fu impact on the real output growth, this suggest that monetary policy may take impact oi m on real output growth through other channels which are not mentioned in this thesis nh Among the three mentioned channels there is only credit channel has the impact on at the inflation An increase in domestic credit has the positive effects on inflation z z This suggests the need of a system of policies that manage the credit channel in the jm ht vb right way to control inflation rates efficiently k Interest rate channel has been found to be a very important channel of monetary gm transmission mechanism in other countries but it is not significant in Vietnam This l.c means that interest rate policy has not been implemented in an effective way om There is also destitute evidence of the response of real output growth and inflations an Lu to changes in exchange rate This means that exchange rate does not seem to be an n va important channel of monetary policy as well t re TABLE OF CONTENT t to ng CHAPTER 1: INTRODUCTION ! hi 1.1 Problem Statement ep 1.2 Significant of the study w 1.3 Research objectives n lo 1.4 Research questions ad 1.5 Thesis Structure y th CHAPTER II: LITERATURE REVIEW ju yi 2.1 Theoretical literature review pl 2.1.1 Mechanism of the impact of aggregate demand to output and price level ua al n 2.1.2 Traditional Keynesian IS/LM model va 2.1.3 The Mundell-Fleming model n ll fu 2.1.4 Tobin q 's theory oi m 2.1.5 Monetary transmission mechanism nh + The interest rate channel at + The credit channel 10 z + The exchange rate channel 13 z ht vb 2.1.6 Conceptual framework for the study 15 jm 2.2 Previous empirical studies related 16 k 2.3 Chapter remarks 23 gm om l.c CHAPTER III: ECONOMY PERFORMANCE, FINANCIAL SYSTEM AND MONETARY POLICY TOOLS IN VIETNAM 24 3.1 Economy performance 24 an Lu 1.1 Economic growth 24 3.1.2 Inflation and output growth 25 3.3.2 Monetary policy tools 30 • re 3.3.1 Legal framework 29 n 3.3 Monetary policy .29 va 3.2 Finacial system and the role of Central Bank in Vietnam 26 • 3.4 Chapter remarks 33 CHAPTER IV: RESEARCH METHODOLOGY 34 t to 4.1 Model specification 34 ng 4.2 Data availability and description 35 hi ep 4.2.1 Data availability 35 4.2.2 Data description 36 w n 4.2.3 Descriptive analysis of data 40 lo ad 4.3 Test for stationary property" 40 y th 4.4 Model estimation and regression result .41 ju 4.4.1 Model estimation 41 yi 4.4.2 Regression result 43 pl ua al a) Basic model 43 b) Extended model with lending rate 47 n n va c) Extended model with domestic credit 49 fu d) Extended model with exchange rate 51 ll 4.4.3 Chapter remarks 51 oi m at nh CHAPTER V: CONCLUSION, POLICY IMPLICATION, LIMITATION, AND SUGGESTION FOR FURTHER RESEARCHES 53 z 5.1 Conclusion 53 z vb 5.2 Policy implication 55 jm ht 5.3 Limitation of the study 56 5.4 Suggestion for further researches 56 k gm References 58 om l.c an Lu n va re LIST OF ACRONYMS AND ABBREVIATIONS t to ng hi Dicky Fuller test E or ER: Exchange rate ECB: European Central Bank VD: Variance Decomposition ep DF test: w n The Federal Reserve System is the central bank of the United lo FED: ad Gross Domestic Product ju y th GDP: States yi General Statistic Office 1: Interest rate 1: Investment ICOR: Incremental Capital-Output Ratio DOT: Direction of Trade Statistics IFS: International Finance Statistics IMF: International Monetary Fund OECD.Stat: Organisation for Economic Co-operation and Development pl GSO: n ua al n va ll fu oi m at nh z z StatExtracts vb Aggregate Demand-Aggregate Supply model ISILM model: Investment-Saving I Liquidity preference-Money supply model Ms orMS: Money supply M2: Broad money or high-powered money NEER: Nominal Effective Exchange Rate REER: Real Effective Exchange Rate NX: Net export OIRF or IRF: Orthogonalized Impulse Response Function P or CPI: Consumer Price Index pe: Expected Price Level Pe: Equity price k jm ht AD-AS model: om l.c gm n a Lu n va re • Expected inflation SBV: State Bank of Vietnam u.s The United States of America VAR: Vector Auto-Regression Y: Output LR: likelihood ratio test FPE: Final prediction error t to 1te : ng hi ep w n Akaike information criterion lo AIC: ad SC: ju y th HQ: Schwarz information criterion Hannan-Quinn information criterion yi pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re LIST OF FIGURE t to ng hi Keynesian AS-AD model Figure 2.2: A tight monetary policy of traditional Keynesian ISILM model ep Figure 2.1: Economic growth- Source: IMF (2012) w Figure 3.1: n Figure 3.2: lo Inflation and real GDP growth rate- Source: IMF (2012) ad Interest rate in Vietnam - Source: State Bank of Vietnam and World y th Figure 3.3: ju Bank website (2012, accessed on November 10, 2012) yi Response of real output growth to money supply Figure 4.2: Response of inflation of the urban area, the rural area and all over of pl Figure 4.1: n ua al Response of real output growth to money supply, and price level to oi m money supply ll fu Figure 4.3: n va Vietnam to money supply Response of domestic credit to money supply, price level to money at nh Figure 4.4: supply, and price level to domestic credit z z k jm ht vb om l.c gm n a Lu n va re LIST OF TABLE t to ng hi Summary of data Table 4.2: Stationary tests for variables in level ep Table 4.1: Table 4.3: Stationary tests for variables in percentage change w n lo Table 4.4: Granger causality Wald tests for the basic model with Real output ad growth, Price level of all over Vietnam, Money supply variables y th Granger causality Wald tests for the basic model with variables of Real ju Table 4.5: yi pl output growth, Price level of the urban area of Vietnam, Money supply al Granger causality Wald tests for the basic model with variables of Real ua Table 4.6: n output growth, Price level of the rural area of Vietnam, Money supply va Variance Decomposition for the basic model with variables of Real n Table 4.7: fu ll output growth, Price level of all over Vietnam, Money supply oi m Variance Decomposition for the basic model with variables of Real nh Table 4.8: at output growth, Price level of the urban area of Vietnam, Money supply z Variance Decomposition for the basic model with variables of Real z Table 4.9: vb jm ht output growth, Price level of the rural area of Vietnam, Money supply k Table 4.10: Granger-causality tests for the extended model with variables of Real gm output growth, Price level of all over Vietnam, Money supply, and om l.c Lending rate Table 4.11: Variance Decomposition for the extended model with variables of Real an Lu output growth, Price level of all over Vietnam, Money supply, and n va Lending rate output growth, Price level of all over Vietnam, Money supply, and Domestic credit ' t re Table 4.12: Granger-causality tests for the extended model with variables of Real ,I \ 34.09996 7.390252 3.505551 4 0.0000 0.1166 0.4770 All 57.55381 12 0.0000 Chi-sq df Pro b GROWTH DL_CPI DL_LR 9.353273 4.129659 18.50970 4 0.0529 0.3887 0.0010 37.37084 12 0.0002 t to GROWTH DL_M2 DL_LR lo • ng hi Dependent variable: DL_M2 ep Excluded w n ad All y th Dependent variable: DL_LR ju Chi-sq df Pro b GROWTH DL CPI DL-=:_M2 3.644364 9.964647 2.846564 4 0.4563 0.0410 0.5838 All 16.57860 12 0.1661 yi Excluded pl n ua al va n • fu ll EXTENDED MODEL WITH GROWTH, DL_CPI, DL_M2, DL_CREDIT VAR Granger Causality/Block Exogeneity Wald Tests Date: 12128/12 Time: 14:34 Sample: 86 Included observations: 81 oi m at nh z Dependent variable: GROWTH 4 0.8396 0.7853 0.3247 All 16.26399 12 0.1794 Dependent variable: DL_CPI df Pro b GROWTH DL_M2 DL_CREDIT 27.04369 7.614262 25.51142 4 0.0000 0.1068 0.0000 All 97.17867 12 0.0000 n va Chi-sq an Lu Excluded om l.c gm 1.426420 1.729772 4.654106 k DL_CPI DL_M2 DL_CREDIT jm Prob ht df vb Chi-sq z Excluded re Dependent variable: DL_M2 Excluded Chi-sq df Prob GROWTH 4.737628 0.3153 - 78- \ DL CPI DL_CREDIT 6.752823 1.254841 4 0.1495 0.8690 All 16.17164 12 0.1835 t to Dependent variable: DL_CREDIT ng hi ep Chi-sq df Pro b GROWTH DL_CPI DL_M2 5.035541 8.238847 9.653270 4 0.2837 0.0832 0.0467 29.14043 12 0.0038 Excluded w n All lo ad y th ju EXTENDED MODEL WITH GROWTH, DL_CPI, DL_M2, DL_E VAR Granger Causality/Block Exogeneity Wald Tests Date: 12/28/12 Time: 14:39 Sample: 86 Included observations: 81 yi pl n Excluded Chi-sq df DL_CPI DL_M2 DL_E 2.260736 10.24651 1.160103 4 All 12.17912 12 0.4314 Pro b n va • ua al Dependent variable: GROWTH ~ ll fu 0.6879 0.0365 0.8846 oi m nh at Dependent variable: DL_CPI df Pro b GROWTH DL_M2 DL_E 38.73579 6.199364 3.300864 4 0.0000 0.1847 0.5088 All 57.18524 12 0.0000 z Chi-sq z Excluded k jm ht vb gm Pro b GROWTH DL_CPI DL_E 4.184335 12.16883 4.913319 4 0.3816 0.0161 0.2963 All 20.66642 12 0.0555 n df a Lu Chi-sq om Excluded l.c Dependent variable: DL_M2 n va , re Dependent variable: DL_E Excluded Chi-sq df Prob GROWTH DL_CPI DL_M2 9.544021 14.48529 4.021488 4 0.0489 0.0059 0.4031 -79- All 26.31926 12 0.0097 t to ng hi BASIC MODEL WITH GROWTH, DL_CPI_UB, DL_M2 VAR Granger Causality/Block Exogeneity Wald Tests Date: 12/28/12 Time: 14:18 Sample: 86 Included observations: 81 ep w Dependent variable: GROWTH n lo Excluded df Prob 1.296537 9.356095 0.8620 0.0528 11.13396 0.1942 ju y th All ad DL_CPI_UB DL_M2 Chi-sq yi pl Dependent variable: DL_CPI_UB Chi-sq GROWTH DL_M2 All al Excluded Prob 31.36005 8.123065 4 0.0000 0.0872 43.08700 n ua df n va 0.0000 ll fu Prob GROWTH DL_CPI_UB 5.484447 11.11974 4 0.2411 0.0253 All 17.26811 0.0274 z df at Chi-sq nh Excluded oi m Dependent variable: DL_M2 z k jm ht vb om l.c gm BASIC MODEL WITH GROWTH, DL_CPI_RR, DL_M2 VAR Granger Causality/Block Exogeneity Wald Tests Date: 12/28/12 Time: 14:25 Sample: 86 Included observations: 81 Dependent variable: GROWTH Pro b DL_CPI_RR DL_M2 1.897495 10.10236 4 0.7546 0.0387 All 11.82023 0.1594 Dependent variable: DL_CPI_RR Excluded Chi-sq df Pro b GROWTH 22.06079 0.0002 - 80- n df va Chi-sq an Lu Excluded DL_M2 9.392540 0.0520 All 35.96664 0.0000 t to Dependent variable: DL_M2 ng Chi-sq df Pro b GROWTH DL_CPI_RR 6.150511 11.57344 4 0.1882 0.0208 17.75707 0.0231 hi Excluded ep w All n lo ad ju y th yi pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va - 81 - APPENDIX7 IMPULSE RESPONSE FUNCTIONS t to BASIC MODEL WITH GROWTH, DL_CPI, DL_M2 ng Response to Cholesky One S.D Innovations t S.E hi RespoMe of GROWTH to Dl_CPI Rwpcme of GRO\NTH to GROWTH ~r -, Respor&e of GROWTH to OL._M2 ~-. -, ep "10 ~r -, " " 10 -· V\> -./"· ·· - ·- 10 w -· \ -.:::>::::: ····· ··-·· n lo ·10+,2 ,.,,, , ,, , ,, ,.,1·0, ,, ,.,,., , 1,.-M, -1o+-r2 ,.,,, , ,,.,,~1"o"'"'=,,.,-1'••1cr,-rl, ·10f-r2 ,,, , ,, , ,, ,.,,'="oro:, ,.,,.~1:c,-M, ad Response of Dl_CPI to DL_CPI Response of DL_CPI to DL_M2 ju y th yi • 8 10 12 w 18 ·-•-h~r-r-,~r-r-,~r-r-,-J 18 pl •-h~r-r~~r-r~~r-r~ Resporse d DL_M2 to GROIVTH 8 10 w 12 18 ·-•-h~r-r~ ,.,r-r~-r-r-r~ 18 8 10 12 14 RespoMe of DL_M2 to 18 18 DL_M2 n ua al Response of DL_M2 to DL_CPI \ va • 10 12 14 18 18 I fu -1 -1 +-r-2, ,., ,, , ,, , ,10""'"'1""2'1'•r:c,.-rl, W 12 14 16 18 \k , n ~ -················ ll m oi EXTENDED MODEL WITH GROWTH, DL_CPI, DL_M2, DL_LR of GROWTH to GROWTH nh Response to Cholesky One S.D Innovations± S.E ~1p0n• Respon• of GROWTH to DL_CPI Reepon• of GROWTH to DL_LR Re1p0n• of GROWTH to DI _M2 20r , 20,. , 20r , 10 10 10 10 at Wr , z /' " a a to 12 '" 11 11 ht -1o+, , ,, , r-r.,.,.,., , , , , , ,:~ vb -10+ ,2-,,~,, , .,, ,10, 1'2'1r,ro:,.-rl, -1o +-:!2-r-,, ,-r,-r-r,-,.-,1o:-r-:1':"2•,:c:,-r:o:,.:-r-:1, k jm R~nte of ~;};;\::;.:::::::.:::~.::· z OL_CPI to GROYt/TH ··-. -, • •., , +,-,-,, , r-rr-r-,-,-,-r-rr-r-rl \~~~"\ gm ·•r , ot '\""::-"-: -='-::::-==1 •+,2-,-,,rr-., ,- .~10_, ,,, , ,,.,.,'1"'1., ,111 I Retpon• Dl_M2 to GROWTH 10 12 14 HI 18 10 12 14 16 18 to DL_M2 10 12 14 16 18 Reapon• of DL._M2 to D _LR r-,~ -::· - - \~ -2 +-r2 ,.,., ,.,""•""'7.10-.-,:12-. ,.:14-.-,:18-r:l, 10,-,12:-r-1r4 r 1,-:8-r:118 • +-r , ,~, ,-,-ry ReiPC)n• of DL._LR to OL._M2 /~ - Respon• of DL._LR to DL._LR \ : \t::::::· - ';~ ~ ~ ~ -··~ · -2 + ,2.,,,., • -.,.,"'•o"',:-r-:1 ,-4.,,.-. :~, 10 12 18 18 ~+-r-,-,rr-rr•~-,-,crrrc., ,! - 82- -:0r1:c:2 -,14:r:o:1B:-r:l Re~onae Respon• of DL_CPI to GROWTH 10 12 14 16 18 ··. -, 10 12 14 16 18 Response of Dl_CPI to DL_CREDIT Response of DL_CPI to DL_M2 of DL_CPI to DL_CPI ,6~ , w ;·',/·- _ n Jr-.:~'~ o f-'~- ,_v- ~ ~ - lo ::::: - '· - _ •' ad ·.2 ·.•+.,.~., ~~~, ,-~=-~ 8 10 12 14 16 18 ·.•+.,.~~~~~ ,-,-~=-~ 10 12 14 16 18 y th Response of DL_M2 to Ol_M2 Respon91!1 of DL_M2to DL_CPI Respon• of DL_M2 to GRO'MH 10 12 14 16 18 Response of DL_M2 to DL_CREOIT ju ~:~~-:~~:_-_:: .:::-·:· 10 12 14 • ~ · ·- 16 18 8 1 14 16 18 ·1 +.,.~., ,,-,., -:r-r:c-,., , ,:-r:i al pl yi ua Respon• of OL._CREOIT to GRowrH n ~ -·· -~ 10 12 14 16 18 10 12 14 16 18 Response of Dl_CREDIT to Dl_CREDIT '0Jr!!:: -,~ -\v; " - /· -· n \\·/·-:::: ~ , \ va , Respon!ill of Dl_CREOIT to DL_M2 Response of DL_CREOIT to DL_CPI -~ -·· fu 'I 10 12 14 16 18 10 12 14 16 18 10 12 ll 14 16 18 10 12 16 14 18 oi m EXTENDED MODEL WITH GROWTH, DL_CPI, DL_M2, DL_E nh Response to Cholesky One S.D Innovations± S.E Re!pona of GROWTH to DL_CPI Retpene ofGROwrHto DI _M2 "r -, 10 10 ~r -, Re!;pOnae of GROwrH to DL_E ~~ , z ~·. , at Response of GROWI"H to GROWfH z 10 12 14 18 18 ·10f-r,-.-,.-r-,•:-r•rr1:r-,r:c,-,.,,.:r:o:1•:-r:l, · 10 +-r2 r-c,., ,6:-r8r r1c0 r 1:c2 r 1:c4-, ,16,.,.,1 Re!ponse of Dl_CPI to DL_E Re!ponse of DL_CPI to DL_M2 ··. -, ·10+.,.-.-,-,.-,, ,-,, , ,-r ,-.,-,-.-,:-r:i 10 12 14 16 18 k jm RelipOnl! of DL_CPI to GROWfH ht vb !t,.\ -·-·-········ ···- gm :'•, 10 12 14 18 18 10 12 14 16 10 12 18 14 to Dl_CPI 10 12 14 16 Respone of DL_M2 to DL_M2 w 12 14 16 18 Re!pon• of DL_M2 to DL_E ··· -t:::::-,_ · ····- ~ -········ · 18 10 12 Retpense of Dl_E 14 16 18 to Dl_CP1 10 12 14 18 Respone of DL_E to Dl_M2 10 12 14 16 n Respona of DI _E to GROWTH va 8 n a Lu o~:::::::::~:::~::::·:ooo Retpene of DL_M2 om Response of DL_M2 to GROWTH Respon• of OL_E to DL_E \ ,~ · ···-· 10 12 14 16 18 8 10 12 14 16 18 :~:~?;:::::~~:::::::::::··2 - 83- 10 12 14 16 18 ~ t.;._ _ ·-·-· · ·- ·-· \~ -:::-:-. -···· ·-·· 10 12 14 l.c : :~~~~::::::::::: 16 18 BASIC MODEL WITH GROWTH, DL_CPI_UB, DL_M2 Response to Cholesky One S.D movations :1: S E Response of GROWTH to GROWTH Response of GROWTH to DL_CPI_UB t to ~T -~ Response of GROWTH to DL_M2 ng ~~ ~ ~. -, 15 15 15 10 10 10 hi J~ -~- v - - - ep -5 f\V/.- /·-/··-······ \\/~\/-.:::> W v ~~ -5 I• -10-t-';-', ,-,., , , ,, ., ,-,-, ,. ~ 10 12 14 16 18 w Response of DL_CPI_UB to GROWTH - -5 10 12 14 16 · -: -10 -f- -r-rr-r-rT""tr-r, ,r-r-r-r-r""T-4 18 Response of DL_CPI_UB to DL_CPI_UB 10 12 14 16 18 Response of OL_CPLUB to DL_M2 -•. , 6 n ··T -~ lo ad /\ V/\V,v ~~,, r·- 10 12 14 ,,.-~ ',~~ ,~·_ ·.2 ju :: / \/V,. -··' y th : ;'f\\/\. ·· ·· - 16 18 yi 10 Response of DL_M2 to GROWTH 12 14 16 18 Response of DL_M2 to DL_CPI_UB 10 12 14 16 18 pl Response of OL_M2 to OL_M2 n ua al va - 10 16 -1~ n ·1 +-r , -,rr-r-r"T-rrr-r-r-rT.-r-r-1 10 12 14 16 18 12 14 18 10 12 14 16 18 ll fu m BASIC MODEL WITH GROWTH, DL_CPI_RR, DL_M2 oi nh Response to Cholesky One S.D hnovations :1:2 S.E at Response of GROWTH to GROWTH Response of GROWTH to DL_CPI_RR Response of GROWTH to DL_M2 20-r -, ~-r -, 15 15 15 10 10 z \/·-._,.-· ,, -5 v ·10-J rr-r -r-r-T""t-r, ,rr-rr-r:-r-1 10 12 14 16 18 8-, -, 10 12 14 16 18 10 ··~ -, 12 14 18 18 Response of DL_CPI_RR to DL_M2 Response of DL_CPI_RR to DL_CPI_RR 8.,. , gm Response of DL_CPI_RR to GROWTH -10 +-rr-rr-r-r-T""I-r, ,rr-rr-r -1 k jm ht ~/ vb WIf\':', _/·-.- · .s z 20-r -, om l.c n a Lu -.4 +,., , , ,., rr-T"T., -, r-r-l 10 12 14 16 18 n va Response of DL_M2 to DL_M2 Response of DL_M2 to DL_CPI_RR Response of DL_M2 to GROWTH I ~ -­ ·1 t ,-,-.-,-,-.-,-, .-,-,-, -,-,-, -,-l 10 12 14 16 18 '1 -h T'-r-r.,.,.-r1T'O"T'T12 , -,14rr-1,-r6-, l18 -84- ·1 \~ \t::~-~~~~~~:-~~::::~ ~~ ~:: +-, , , ,. r., ,, , , ,, , , ,, , , ,rJ 10 12 14 16 18 APPENDIXS VARIANCE DECOMPOSITION t to ng hi BASIC MODEL WITH GROWTH, DL_CPI, DL_M2 ep Variance Decomposition of GROWTH: DL_CPI GROWTH S.E Period DL_M2 w n ad y th yi pl 0.000000 0.342084 0.657495 1.132227 1.227306 1.807005 1.814753 1.844716 1.918904 1.918208 1.932050 1.940806 1.940458 1.948675 1.950391 1.952316 1.953604 1.953589 n ua al va k jm ht vb om l.c gm n a Lu DL_M2 93.83394 88.57939 81.37862 79.62257 77.91829 76.17544 75.24300 - 85- va 0.359728 0.789845 6.919169 8.306688 10.27810 12.24656 12.77158 z 5.806328 10.63076 11.70221 12.07074 11.80361 11.57800 11.98541 z 1.797466 1.850790 1.939063 1.964791 1.987070 2.009803 2.022263 at 0.000000 0.644519 5.810850 4.978221 4.770758 6.495890 6.972400 6.956954 6.973304 6.972728 6.995502 6.992954 7.124928 7.155646 7.168267 7.165427 7.155262 7.152205 nh Variance Decomposition of DL_M2: DL_CPI GROWTH S.E Period DL_M2 oi 89.22946 91.49685 82.75562 84.86734 84.60693 83.16882 81.32677 81.12968 81.10254 80.83366 80.97379 81.03628 80.95099 80.92117 80.87866 80.87000 80.87263 80.88080 m 10.77054 7.858633 11.43353 10.15444 10.62232 10.33529 11.70083 11.91336 11.92416 12.19362 12.03071 11.97076 11.92408 11.92318 11.95307 11.96457 11.97210 11.96700 ll 0.535031 0.636329 0.780196 0.858246 0.879847 0.898610 0.908863 0.912549 0.919210 0.928288 0.935122 0.938672 0.940563 0.941044 0.941360 0.941755 0.942450 0.943168 fu Variance Decomposition of DL_CPI: DL_CPI GROWTH S.E Period 10 11 12 13 14 15 16 17 18 0.000000 0.661483 3.905998 11.36099 11.94874 11.92638 11.93746 11.91238 11.88185 11.86437 11.86226 11.87857 11.89996 11.90522 11.90654 11.90644 11.90589 11.90746 n 100.0000 98.99643 95.43651 87.50678 86.82395 86.26661 86.24779 86.24290 86.19924 86.21742 86.20569 86.18063 86.15958 86.14610 86.14307 86.14125 86.14051 86.13895 ju 14.80781 15.92644 16.49705 17.34768 17.42004 17.48387 17.49369 17.51381 17.53658 17.55959 17.56840 17.57597 17.57815 17.57959 17.58119 17.58195 17.58246 17.58287 lo 10 11 12 13 14 15 16 17 18 t to ng hi ep 10 11 12 13 14 15 16 17 18 2.027724 2.032486 2.033356 2.034428 2.036043 2.037181 2.037904 2.038320 2.038467 2.038519 2.038553 11.92896 12.23432 12.28638 12.32032 12.39039 12.38518 12.39071 12.38627 12.38475 12.38602 12.38599 13.15970 13.16997 13.15878 13.17983 13.21131 13.28780 13.33087 13.34850 13.35598 13.35541 13.35720 74.91134 74.59570 74.55484 74.49986 74.39830 74.32701 74.27842 74.26523 74.25927 74.25857 74.25681 w Cholesky Ordering: GROWTH DL_CPI DL_M2 n lo ad ju y th EXTENDED MODEL WITH GROWTH, DL_CPI, DL_M2, DL_LR yi Variance Decomposition of GROWTH: Period S.E GROWTH DL_CPI n ll oi m at z z n a Lu n va - 86- om 0.000000 1.048595 0.763488 2.517231 2.411718 2.319407 2.288895 2.890162 3.075717 3.120603 3.532328 3.546227 3.572722 3.572461 3.578308 3.587060 3.615455 3.634913 l.c 0.000000 1.926513 6.276667 5.507057 5.265738 7.000421 7.620797 7.530835 7.438824 7.432799 7.468210 7.549850 7.732710 7.790785 7.828114 7.821933 7.802369 7.795126 DL_LR gm DL_M2 k jm ht vb 87.48487 88.30467 81.16850 81.86242 81.58658 80.24364 78.43406 77.81877 77.81536 77.54203 77.31080 77.27972 77.12303 77.07265 77.02876 77.03441 77.04448 77.05674 fu 12.51513 8.720221 11.79134 10.11329 10.73597 10.43653 11.65625 11.76024 11.67010 11.90456 11.68866 11.62420 11.57154 11.56411 11.56482 11.55660 11.53769 11.51322 0.000000 2.542566 2.822009 2.680203 3.107020 3.982717 4.567765 4.801633 4.824604 4.854324 4.856493 4.849630 4.850727 4.861549 4.867577 4.880356 4.884332 4.886850 n 0.536987 0.650112 0.782173 0.876476 0.899822 0.917888 0.928687 0.934472 0.941777 0.950679 0.959874 0.963903 0.966096 0.966572 0.967119 0.967778 0.969082 0.970267 0.000000 0.934229 3.103097 8.381826 8.456084 8.299441 8.271421 8.228136 8.215537 8.228087 8.235630 8.259226 8.270506 8.274340 8.277840 8.275783 8.274400 8.276935 va Variance Decomposition of DL_CPI: Period S.E GROWTH DL_CPI 10 11 12 13 14 15 16 17 18 DL_LR nh 0.000000 0.370845 0.911446 2.310783 2.765762 3.784038 3.760177 3.844546 3.911047 3.896955 3.956496 3.977251 3.987493 4.009172 4.008237 4.014193 4.015549 4.015074 ua 100.0000 96.15236 93.16345 86.62719 85.67113 83.93380 83.40064 83.12568 83.04881 83.02063 82.95138 82.91389 82.89127 82.85494 82.84635 82.82967 82.82572 82.82114 al 14.98681 16.35683 16.85280 17.59193 17.69413 17.89219 17.95233 18.00202 18.02696 18.06162 18.07873 18.09200 18.09471 18.09875 18.10086 18.10334 18.10487 18.10596 pl 10 11 12 13 14 15 16 17 18 DL_M2 Variance Decomposition of DL_M2: Period S.E GROWTH t to ng hi ep w n lo ad 8.398612 17.02197 15.93702 16.62885 16.16842 15.68901 15.97002 15.94137 16.11376 16.10623 16.07359 16.05629 15.99738 15.97295 15.95692 15.95126 15.95813 15.95970 ju y th 10 11 12 13 14 15 16 17 18 1.631784 1.728950 1.972896 2.004071 2.032408 2.064452 2.082150 2.085929 2.091002 2.091737 2.095375 2.098649 2.102571 2.104540 2.106053 2.106476 2.106692 2.106784 DL_M2 DL_LR 2.225928 2.057495 7.356050 8.592640 10.17906 11.39118 11.69036 11.93877 11.89492 11.92729 12.17161 12.37549 12.65265 12.79914 12.85969 12.88378 12.88131 12.88431 89.37546 80.54691 64.38112 62.54965 60.90650 59.12951 58.40468 58.23225 58.08257 58.05911 57.87710 57.72690 57.51769 57.42125 57.37769 57.36468 57.36225 57.35763 0.000000 0.373626 12.32581 12.22886 12.74602 13.79031 13.93495 13.88762 13.90875 13.90737 13.87770 13.84132 13.83228 13.80665 13.80570 13.80027 13.79831 13.79836 DL_M2 DL_LR 0.001842 0.028106 0.879197 1.838649 5.329612 5.720887 5.704344 5.826904 5.742367 5.749242 5.744032 5.810076 5.889221 5.929097 5.944837 5.936680 5.925944 5.928325 93.02900 88.09943 80.19242 77.75147 74.72892 74.40787 73.72993 72.66206 71.23796 69.95711 68.96558 68.46257 68.22726 68.16538 68.10545 68.02745 67.90308 67.79772 yi DL_CPI pl Variance Decomposition of DL_LR: S.E GROWTH Period n va ll fu oi m at nh z z k jm ht Cholesky Ordering: GROWTH DL_CPI DL_M2 DL_LR vb 5.972097 10.51398 17.68984 19.23627 18.54093 18.44935 18.98773 19.93519 21.41706 22.72562 23.72367 24.17202 24.28210 24.27538 24.27857 24.33869 24.45844 24.55751 n 10 11 12 13 14 15 16 17 18 0.997060 1.358479 1.238547 1.173610 1.400540 1.421889 1.578004 1.575847 1.602615 1.568026 1.566718 1.555341 1.601422 1.630140 1.671142 1.697177 1.712536 1.716445 ua 6.110893 6.315207 6.817444 7.023820 7.246553 7.281706 7.317356 7.371191 7.447174 7.529235 7.590753 7.619558 7.635232 7.638697 7.642386 7.647655 7.656095 7.662977 al DL_CPI om l.c gm EXTENDED MODEL WITH GROWTH, DL_CPI, DL_M2, DL_CREDIT 0.000000 0.272530 0.266936 0.298566 0.349369 0.979656 0.980446 1.007375 1.055726 0.000000 0.716729 3.346525 10.34388 10.72012 10.89741 10.85794 10.84338 10.80717 0.000000 3.790686 3.536172 3.539261 3.714304 3.822532 3.967780 3.982196 3.968433 - 87- n 100.0000 95.22005 92.85037 85.81829 85.21621 84.30040 84.19384 84.16705 84.16867 va 14.73710 16.18840 16.78885 17.67211 17.75228 17.85011 17.88608 17.89820 17.92948 DL_CREDIT n DL_M2 a Lu Variance Decomposition of GROWTH: Period S.E GROWTH DL_CPI t to ng hi 17.96620 17.98076 17.99031 17.99321 17.99620 17.99933 18.00120 18.00196 18.00290 10 11 12 13 14 15 16 17 18 84.18342 84.16820 84.14258 84.11579 84.09437 84.08557 84.08415 84.08006 84.07540 1.082049 1.090110 1.102111 1.112110 1.117099 1.122160 1.126111 1.126474 1.126387 3.970810 3.965504 3.963055 3.961979 3.960681 3.967116 3.966354 3.968227 3.969776 DL_M2 DL_CREDIT 0.000000 0.860201 5.097258 4.576611 4.291121 9.890443 11.51850 11.43915 12.40684 12.21563 12.05735 12.00079 11.96541 11.94410 11.93272 11.99260 12.00175 12.00151 0.000000 14.76278 16.76871 15.83462 19.09452 19.50455 19.58719 19.65965 19.15910 18.90058 18.71716 18.92567 19.13994 19.27334 19.40259 19.41578 19.39213 19.36602 ep 10.76372 10.77619 10.79226 10.81012 10.82785 10.82515 10.82339 10.82524 10.82844 Variance Decomposition of DL_CPI: Period S.E GROWTH DL_CPI w lo ad y th yi pl 94.41799 79.51291 67.64192 68.19777 65.22070 60.10149 57.69551 57.84470 57.60229 58.01379 58.52856 58.49601 58.34612 58.17912 58.00012 57.90124 57.88867 57.91749 n ua al va n ll fu 5.582007 4.864111 10.49211 11.39101 11.39366 10.50352 11.19880 11.05650 10.83176 10.87000 10.69693 10.57754 10.54853 10.60344 10.66458 10.69039 10.71745 10.71498 ju 0.466331 0.598004 0.768894 0.827327 0.854435 0.897836 0.917047 0.926118 0.938297 0.949493 0.957818 0.963418 0.967707 0.969842 0.971357 0.972337 0.973127 0.973786 n 10 11 12 13 14 15 16 17 18 om an Lu n va - 88- l.c 48.21402 45.01939 42.29998 38.63724 34.91242 33.59931 32.96748 gm 46.16881 44.03796 42.47964 43.92611 47.50278 46.02639 44.82488 k 0.510783 0.734069 5.758411 7.676087 8.595887 11.73550 12.80746 jm 5.106390 10.20858 9.461964 9.760563 8.988915 8.638797 9.400182 DL_CREDIT ht 1.815525 1.892713 1.989666 2.081869 2.190139 2.234093 2.266031 DL_M2 vb 0.000000 1.247534 1.537338 2.690679 4.134768 4.437971 5.092437 5.450653 5.618361 5.708754 5.710596 5.705804 5.697095 5.723467 5.756410 5.778818 5.804015 5.814027 z Variance Decomposition of DL_CREDIT: DL_CPI GROWTH S.E Period 95.01515 88.34992 82.42816 80.67349 78.11997 76.96271 75.95974 75.62549 75.38654 75.25935 75.22926 75.09983 74.96721 74.88359 74.80125 74.75432 74.72194 74.71121 z 0.139393 0.775462 5.722228 6.235392 7.697481 8.711909 8.788234 8.851438 8.793291 8.848875 8.908200 9.038656 9.198289 9.270620 9.322782 9.344985 9.342376 9.340262 at 4.845453 9.627082 10.31227 10.40044 10.04778 9.887412 10.15959 10.07242 10.20181 10.18302 10.15194 10.15572 10.13740 10.12232 10.11956 10.12187 10.13167 10.13450 DL_CREDIT nh 1.834885 1.903714 1.977939 2.004183 2.039059 2.055707 2.069238 2.081491 2.088580 2.090670 2.094395 2.096733 2.098877 2.100492 2.101663 2.102331 2.102791 2.103039 DL_M2 oi 10 11 12 13 14 15 16 17 18 m Variance Decomposition of DL_M2: Period S.E GROWTH DL_CPI t to ng hi 2.288125 2.300837 2.308552 2.312898 2.316931 2.318811 2.320279 2.321192 2.321950 2.322423 2.322700 ep 10 11 12 13 14 15 16 17 18 9.249754 9.351361 9.537612 9.598655 9.744445 9.756987 9.751411 9.744169 9.738103 9.740910 9.743702 13.49793 13.75543 13.69309 13.64177 13.61018 13.68184 13.74234 13.79416 13.84086 13.84935 13.85145 43.96347 43.49473 43.26912 43.18315 43.14183 43.08679 43.07322 43.04454 43.01691 43.00327 42.99321 33.28885 33.39848 33.50018 33.57643 33.50355 33.47438 33.43302 33.41713 33.40412 33.40647 33.41163 Cholesky Ordering: GROWTH DL_CPI DL_M2 DL_CREDIT w n lo ad EXTENDED MODEL WITH GROWTH, DL_CPI, DL_M2, DL_E ju y th yi Variance Decomposition of GROWTH: S.E GROWTH DL_CPI Period n oi at z z om n a Lu n va - 89- l.c 0.000000 0.830998 1.655791 1.508425 1.612251 1.540163 1.713935 1.756286 1.872520 1.862825 1.837483 1.823247 1.830852 1.851140 1.878627 1.890013 1.893332 1.891260 0.000000 0.578686 4.328220 3.559402 3.372196 5.144249 5.657522 5.803345 5.760901 5.713132 5.754129 5.788809 5.923520 5.945665 5.950068 5.940811 5.929625 5.929058 gm DL_E k DL_M2 jm ht vb 88.21919 90.09203 82.83377 85.17983 84.97948 83.51464 81.68801 81.24092 80.99692 80.68372 80.79379 80.80433 80.70065 80.65924 80.60882 80.59375 80.60126 80.60867 m 11.78081 8.498283 11.18222 9.752339 10.03607 9.800947 10.94053 11.19945 11.36966 11.74032 11.61460 11.58361 11.54498 11.54396 11.56248 11.57542 11.57579 11.57101 ll 0.537802 0.641792 0.794502 0.877570 0.901878 0.923831 0.934207 0.939243 0.947411 0.957578 0.964159 0.968095 0.969734 0.970063 0.970620 0.971471 0.972499 0.973454 0.000000 0.605019 0.940101 1.070541 1.278415 1.322916 1.326026 1.337933 1.335560 1.342366 1.352420 1.357878 1.357397 1.357576 1.357380 1.357543 1.357559 1.357847 fu 10 11 12 13 14 15 16 17 18 0.000000 0.668144 3.711629 12.20463 12.86399 12.81535 12.81929 12.80755 12.78522 12.77289 12.76881 12.78239 12.80411 12.80630 12.80447 12.80649 12.80609 12.80696 n va Variance Decomposition of DL_CPI: S.E DL_CPI Period GROWTH DL_E nh 0.000000 0.278505 0.619375 1.204557 1.301647 1.705943 1.743747 1.746258 1.839311 1.838855 1.846226 1.851753 1.854060 1.858854 1.863856 1.865177 1.866978 1.867001 ua 100.0000 98.44833 94.72889 85.52028 84.55595 84.15580 84.11094 84.10826 84.03991 84.04589 84.03255 84.00797 83.98444 83.97727 83.97430 83.97079 83.96938 83.96819 al 15.12705 16.27134 16.89634 17.92684 18.03116 18.07515 18.08392 18.09904 18.11517 18.13285 18.13974 18.14371 18.14693 18.14787 18.14922 18.14984 18.15015 18.15032 pl 10 11 12 13 14 15 16 17 18 DL_M2 Variance Decomposition of DL_M2: Period S.E GROWTH t to ng hi ep 1.785515 1.864935 1.986687 2.020635 2.055797 2.079216 2.086016 2.090300 2.093512 2.094836 2.098055 2.101647 2.104143 2.105590 2.106138 2.106270 2.106475 2.106750 w n lo ad y th 5.468549 9.795130 11.27253 11.64146 11.24700 10.99674 11.03737 11.09022 11.31946 11.34821 11.36817 11.40257 11.38005 11.37544 11.36989 11.36988 11.37416 11.37652 ju 10 11 12 13 14 15 16 17 18 DLM2 DL E 0.098791 0.256585 5.940443 7.023636 9.250227 11.16131 11.60632 11.82997 11.79437 11.84522 12.02137 12.22141 12.40293 12.50084 12.52423 12.52608 12.52954 12.54510 94.43266 86.56971 77.01279 75.08646 72.97074 71.42350 70.97201 70.71625 70.51662 70.44187 70.25161 70.03750 69.89338 69.80874 69.79147 69.78696 69.77619 69.75801 0.000000 3.378579 5.774241 6.248454 6.532030 6.418442 6.384290 6.363567 6.369551 6.364701 6.358860 6.338519 6.323642 6.314978 6.314414 6.317082 6.320113 6.320368 DL_M2 DL_E 1.114055 2.213346 2.381212 3.316196 4.190378 4.503077 5.401071 5.580851 5.603151 5.613657 5.827658 5.874443 5.925962 5.926237 5.927969 5.937793 5.948731 5.948609 96.47462 92.54011 87.64974 86.39249 81.25872 78.43684 77.22294 76.40376 76.02449 75.92708 75.75317 75.57424 75.46293 75.37046 75.33923 75.30965 75.29923 75.29806 yi DL_CPI pl Variance Decomposition of DL_E: Period S.E GROWTH n va ll fu oi m at z z k jm ht vb Cholesky Ordering: GROWTH DL_CPI DL_M2 DL_E nh 1.853263 1.675291 5.655393 6.037955 6.673506 9.451198 9.861155 10.37329 10.41101 10.45183 10.42888 10.46964 10.52504 10.58706 10.62010 10.64275 10.64333 10.64364 n 0.558066 3.571252 4.313652 4.253357 7.877394 7.608889 7.514830 7.642097 7.961349 8.007440 7.990294 8.081676 8.086073 8.116244 8.112707 8.109808 8.108707 8.109685 ua 1.480161 1.564857 1.685018 1.697239 1.764020 1.797734 1.818691 1.828461 1.835951 1.837213 1.839416 1.841684 1.843137 1.844271 1.844704 1.845069 1.845204 1.845236 al 10 11 12 13 14 15 16 17 18 DL_CPI om l.c gm BASIC MODEL WITH GROWTH, DL_CPI_UB, DL_M2 0.000000 0.242600 0.813466 1.201785 1.303618 2.025616 2.035028 2.061049 2.146324 0.000000 0.547863 3.786457 11.02899 11.63391 11.57659 11.57670 11.58192 11.56654 -90- n 100.0000 99.20954 95.40008 87.76923 87.06247 86.39780 86.38827 86.35703 86.28713 va 14.84195 15.95194 16.55048 17.38286 17.46052 17.53415 17.54384 17.55881 17.57714 n DL_M2 a Lu Variance Decomposition of GROWTH: S.E GROWTH DL_CPI_UB Period t to ng hi 10 11 12 13 14 15 16 17 18 17.60319 17.61189 17.61787 17.61875 17.61983 17.62044 17.62112 17.62148 17.62180 86.27036 86.25785 86.23182 86.22355 86.21484 86.21537 86.21561 86.21463 86.21344 2.141456 2.164907 2.168601 2.169256 2.171578 2.171616 2.171918 2.172793 2.172746 11.58818 11.57724 11.59957 11.60719 11.61358 11.61302 11.61247 11.61258 11.61381 ep Variance Decomposition of DL_CPI_UB: Period S.E GROWTH DL_CPI_UB w lo ad y th 7.330892 5.487470 8.366155 7.280776 9.424229 8.941669 9.644354 9.645153 9.588184 9.641831 9.664939 9.652083 9.657618 9.656832 9.664626 9.664662 9.665454 9.665928 ju yi 92.66911 93.73884 84.92527 86.80981 83.91341 81.17195 79.13218 79.05066 78.74891 78.72144 78.73397 78.76509 78.71789 78.71783 78.69917 78.69277 78.68899 78.68814 0.000000 0.773685 6.708579 5.909413 6.662362 9.886378 11.22346 11.30418 11.66290 11.63673 11.60109 11.58283 11.62449 11.62533 11.63621 11.64257 11.64556 11.64593 pl n ua al n va ll fu 0.625179 0.729581 0.854062 0.919367 0.952985 0.981845 0.995337 0.995968 0.998929 1.000176 1.001713 1.002502 1.003220 1.003535 1.003683 1.003740 1.003764 1.003775 n 10 11 12 13 14 15 16 17 18 DL_M2 k jm ht vb om l.c gm n a Lu Cholesky Ordering: GROWTH DL_CPI_UB DL_M2 z 92.21439 86.63065 77.86684 76.03629 75.00779 73.43210 72.29897 72.05494 71.89240 71.85896 71.88780 71.87526 71.86808 71.86368 71.86155 71.85754 71.85606 71.85554 z 1.310585 1.816992 9.859450 11.21161 12.41254 14.10191 14.47426 14.78267 14.82513 14.84831 14.83224 14.82837 14.83527 14.84071 14.84286 14.84762 14.84794 14.84863 at 6.475023 11.55236 12.27371 12.75210 12.57967 12.46599 13.22676 13.16239 13.28247 13.29273 13.27995 13.29637 13.29665 13.29561 13.29558 13.29484 13.29600 13.29583 nh 1.779204 1.836222 1.949027 1.974732 1.988232 2.009838 2.026999 2.034800 2.039231 2.039710 2.040839 2.041111 2.041227 2.041331 2.041387 2.041444 2.041473 2.041487 DL_M2 oi 10 11 12 13 14 15 16 17 18 m Variance Decomposition of DL_M2: S.E Period GROWTH DL_CPI_UB va ~· BASIC MODEL WITH GROWTH, DL_CPI_RR, DL_M2 Variance Decomposition of GROWTH: GROWTH DL_CPI_RR S.E Period DL_M2 - 91 - ' t to ng hi ep w 14.77800 15.88186 16.45851 17.36782 17.46600 17.51517 17.51895 17.53615 17.56173 17.58443 17.59258 17.59669 17.59754 17.59841 17.59893 17.59947 17.59991 17.60016 n lo ad 10 11 12 13 14 15 16 17 18 100.0000 98.60264 95.12795 86.87740 86.00833 85.54174 85.51480 85.49177 85.43882 85.44609 85.43971 85.41569 85.40759 85.40252 85.40232 85.40123 85.39910 85.39819 0.000000 0.845506 1.220421 1.503145 1.668212 2.186679 2.214316 2.212029 2.287932 2.285957 2.299178 2.302024 2.301940 2.304643 2.305546 2.305803 2.307708 2.307645 0.000000 0.551853 3.651628 11.61946 12.32346 12.27158 12.27089 12.29620 12.27325 12.26796 12.26111 12.28228 12.29047 12.29284 12.29213 12.29296 12.29319 12.29417 y th ju Variance Decomposition of DL_CPI_RR: Period S.E GROWTH DL_CPI_RR 97.32903 97.65885 89.46873 90.75511 89.72576 87.25559 85.98817 85.76707 85.40067 85.43127 85.50680 85.57643 85.57124 85.57302 85.55005 85.53300 85.52212 85.51928 n ua al va 0.000000 0.603892 5.041158 4.229118 5.041339 7.705418 8.839282 9.073348 9.465805 9.451851 9.393325 9.344803 9.355204 9.361703 9.380437 9.397965 9.408826 9.411395 n ll fu oi m DL_M2 om l.c gm n a Lu n va - 92- k Cholesky Ordering: GROWTH DL_CPI_RR DL_M2 jm 94.52630 87.77897 79.17559 76.18497 74.90182 73.46006 72.50396 72.32613 72.27711 72.26746 72.26185 72.23861 72.20045 72.16609 72.14897 72.13844 72.13541 72.13526 ht vb 0.021096 1.520036 9.733502 12.26731 13.74544 15.36113 15.94963 16.18604 16.20792 16.20614 16.21856 16.24401 16.28837 16.32816 16.34759 16.36032 16.36343 16.36383 z 5.452605 10.70099 11.09091 11.54772 11.35274 11.17882 11.54642 11.48783 11.51497 11.52640 11.51959 11.51738 11.51119 11.50574 11.50344 11.50123 11.50116 11.50091 z 1.774125 1.841272 1.944544 1.986760 2.004191 2.024122 2.038181 2.043373 2.045572 2.045732 2.046411 2.046788 2.047340 2.047828 2.048126 2.048323 2.048406 2.048432 at Variance Decomposition of DL_M2: Period S.E GROWTH DL_CPI_RR 10 11 12 13 14 15 16 17 18 nh 2.670969 1.737263 5.490113 5.015774 5.232904 5.038997 5.172551 5.159580 5.133524 5.116880 5.099871 5.078771 5.073555 5.065281 5.069510 5.069039 5.069054 5.069326 pl 0.563588 0.709076 0.857863 0.937981 0.975350 1.007758 1.018219 1.019539 1.023227 1.025606 1.028824 1.031492 1.033302 1.034401 1.034861 1.035033 1.035099 1.035146 yi 10 11 12 13 14 15 16 17 18 DL_M2