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GDP in 1987 Dollars 1.62 0.05 0.25 0.46 0.68 0.86 1.00 0.86 0.68 0.46 0.25 0.05
(RGDP)
Consumption 1.23 0.27 0.45 0.62 0.77 0.87 0.88 0.73 0.54 0.33 0.10 -.09
Durables 5.00 0.34 0.48 0.59 0.71 0.78 0.80 0.61 0.40 0.18 -.04 -.22
Nondurables and 0.83 0.18 0.38 0.57 0.73 0.84 0.86 0.74 0.59 0.40 0.19 0.01
Services
Private Domestic 7.72 0.14 0.29 0.46 0.63 0.79 0.91 0.76 0.55 0.31 0.08 -.15
Investment
Fixed Investment 5.63 0.15 0.32 0.50 0.68 0.83 0.90 0.81 0.63 0.42 0.19 -.03
Hours Worked 1.54 -.19 -.01 0.19 0.42 0.67 0.88 0.92 0.86 0.73 0.56 0.37
(Estab.)
Productivity 0.80 0.47 0.54 0.55 0.56 0.47 0.35 -.01 -.26 -.48 -.58 -.59
(RGDP/Hours Worked)
GDP Deflator 0.87 -.57 -.65 -.71 -.72 -.67 -.58 -.46 -.33 -.18 -.04 0.10
CPI 1.42 -.60 -.71 -.76 -.77 -.71 -.59 -.42 -.26 -.07 0.11 0.27
Monetary Base 0.88 0.11 0.20 0.26 0.32 0.37 0.38 0.34 0.29 0.22 0.14 0.09
M1 1.94 0.24 0.30 0.35 0.39 0.38 0.31 0.20 0.10 0.01 -.05 -.07
M2 1.38 0.40 0.51 0.59 0.62 0.58 0.45 0.26 0.08 -.09 -.25 -.37
Base Velocity 1.40 -.35 -.24 -.08 0.13 0.34 0.55 0.50 0.39 0.28 0.18 0.07
M1 Velocity 2.29 -.38 0.32 -.25 -.13 0.03 0.22 0.26 0.26 0.24 0.20 0.14
M2 Velocity 1.71 -.56 -.51 -.41 -.23 0.01 0.29 0.37 0.40 0.41 0.42 0.40
C hi-square testfor equality of correlations across sam ple periods (break in 1979:IIIQ )
V ariable x x(t-5) x(t-4) x(t-3) x(t-2) x(t-1) x(t) x(t+1) x(t+2) x(t+3) x(t+4) x(t+5)
C onsum ption 1.30 0.99 0.23 0.20 0.11 0.16 0.13 0.00 0.19 1.29 2.55
(6.12) (5.77) (5.59) (6.52) (8.36) (9.05) (6.04) (5.31) (5.40) (6.16) (6.80)
D urables 0.64 (5.91) 0.23 (5.96) 0.01 (6.67) 0.29 (7.64) 0.69 (8.37) 1.94 (7.44) 1.70 (5.01) 0.52 (4.41) 0.10 (4.78) 0.15 (5.10) 0.62
(5.51)
N ondurs.& 1.63 1.44 0.40 0.07 0.13 0.56 0.31 0.29 0.87 2.40 4.10
Services (5.68) (5.32) (4.96) (5.87) (7.57) (10.15) (7.96) (7.64) (7.44) (7.87) (8.07)
Investm ent 0.01 0.03 0.06 0.14 0.11 0.01 0.01 0.32 0.24 0.15 0.01
(5.82) (6.10) (5.76) (6.10) (6.95) (9.25) (4.82) (3.07) (3.00) (3.21) (3.62)
Fixed Investm ent 0.08 0.03 0.01 0.26 0.09 1.93 0.45 0.08 0.04 0.13 0.26
(6.86) (6.68) (7.47) (7.71) (9.45) (12.71) (7.95) (5.47) (4.65) (4.56) (5.32)
Hours (Estab.) 0.23 0.39 0.23 0.24 1.07 2.98 0.51 0.07 0.10 0.00 0.18
(6.22) (6.18) (5.80) (5.22) (4.51) (5.61) (9.07) (9.49) (7.88) (6.99) (6.67)
Productivity 0.25 0.01 0.26 1.20 0.77 0.35 0.12 0.31 0.06 0.00 0.05
(9.69) (8.40) (6.80) (5.31) (4.87) (4.85) (3.76) (4.21) (5.77) (6.63) (7.07)
N ote:Shading indicates thatthe Wald statistic rejects stability assum ing the asym totic 10% criticalvalue, 2.71. Sim ulated 10% criticalvalues are show n in parentheses.
Source:A uthors calculations.
Table 6. Tests for Stability of Nominal Variables
Chi-square test for equality of correlations across sample periods (break in 1979:IIIQ)
Variable x x(t-5) x(t-4) x(t-3) x(t-2) x(t-1) x(t) x(t+1) x(t+2) x(t+3) x(t+4) x(t+5)
GDP 12.14 13.84 3.58 0.03 1.05 1.74 1.88 1.25 0.41 0.00 0.80
Deflator (9.59) (10.33) (10.76) (11.10) (11.94) (11.87) (10.39) (9.04) (8.06) (7.64) (7.42)
CPI 8.61 1.87 1.84 8.97 10.65 9.76 6.28 3.47 1.31 0.08 0.26
(7.08) (7.37) (9.70) (12.46) (10.89) (8.67) (6.56) (5.83) (6.05) (6.66) (7.06)
Monetary 15.17 16.84 12.64 5.70 0.97 0.69 5.62 10.74 10.80 8.62 6.06
Base (7.39) (6.72) (6.38) (7.03) (7.24) (8.02) (7.83) (8.65) (9.28) (9.56) (10.43)
M1 16.64 9.39 1.69 0.51 6.04 17.08 21.06 17.21 11.68 6.65 2.40
(6.93) 6.13) (5.92) (6.89) (7.75) (7.60) (7.46) (8.02) (9.15) (9.19) (8.81)
M2 1.22 5.51 14.85 23.08 24.05 21.68 14.60 5.95 0.94 0.08 2.29
(8.75) (8.76) (10.17) (11.60) (10.12) (7.84) (6.74) (6.86) (7.85) (9.50) (10.48)
Variable x x(t-5) x(t-4) x(t-3) x(t-2) x(t-1) x(t) x(t+1) x(t+2) x(t+3) x(t+4) x(t+5)
Base 12.57 15.21 13.61 12.91 11.07 13.79 1.46 0.00 0.43 1. 1.87
Velocity (7.85) (7.92) (7.55) (6.69) (6.48) (8.67) (4.91) (4.46) (5.05) (4.98) (4.54)
M1 Velocity 11.46 10.57 6.17 4.40 3.81 5.03 0.47 0.02 0.50 0.96 1.00
(7.16) (6.68) (7.67) (6.90) (6.06) (7.80) (6.71) (5.67) (6.08) (5.92) (5.84)
M2 Velocity 1.35 4.27 8.25 9.10 10. 12.95 10.94 3.23 0.10 1.01 4.48
(10.28) (10.29) (9.17) (8.02) (7.19) (8.67) (8.78) (8.24) (9.53) (10.20) (10.89)
Note: Shading indicates that the Wald statistic rejects stability assuming the asymtotic 10% critical value, 2.71. Simulated 10% critical values are shown in
parentheses.
Light shading indicates that stability is not rejected using the simulated critical values.
Source: Authors’ calculations.
T able 7. C yclicalB ehavior of Econom y w ith Fixed M oney Stocka
Std.
V ariables x D ev. x(t-5) x(t-4) x(t-3) x(t-2) x(t-1) x(t) x(t+1) x(t+2) x(t+3) x(t+4) x(t+5)
Output 1.15 -.11 .01 .17 .42 .69 1.00 .69 .42 .17 .01 -.11
(.11) (.11) (.11) (.10) (.08) (.05) (.00) (.05) (.08) (.10) (.11) (.11)
N ondurables .59 -.17 -.05 .09 .36 .65 .97 .69 .47 .31 .13 .01
C onsum ption (.05) (.09) (.09) (.09) (.07) (.05) (.00) (.05) (.08) (.10) (.12) (.12)
D urables Expenditures 2.57 -.06 .06 .21 .44 .70 .99 .67 .38 .10 -.03 -.15
(.23) (.11) (.11) (.10) (.08) (.05) (.00) (.04) (.07) (.09) (.10) (.10)
Hours .43 -.03 .09 .24 .45 .69 .98 .66 .35 .03 -.08 -.19
(.04) (.12) (.11) (.10) (.08) (.05) (.00) (.04) (.07) (.09) (.09) (.09)
Price Level .67 .21 .10 -.03 -.31 -.61 -.93 -.68 -.50 -.38 -.20 -.07
(.07) (.08) (.08) (.08) (.06) (.04) (.01) (.05) (.08) (.10) (.12) (.12)
V elocity .59 .04 .16 .30 .47 .67 .92 .59 .26 -.10 -.18 -.28
(.05) (.13) (.12) (.10) (.08) (.05) (.01) (.04) (.05) (.07) (.07) (.07)
a T hese are the m eans of 50 m odelhistories, each of w hich w as 144 periods long. T he num bers in parentheses are standard deviations.
Source:A uthors calculations.