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e j ,τ

0.263

0.193

0.300

0.103

0.041

0.106

(0.079)

(0.071)

(0.074)

(0.070)

(0.086)

(0.079)

* τ (i ij,τ )

0.580

-0.122

0.081

0.816

0.705

-0.535

(1.22)

(1.14)

(1.10)

(0.93)

(1.02)

(0.96)

reported in the next section and thus less interested in a conventional structural impulse response analysis. Moreover, causative interpretation of impulse responses would have required unverifiable structural identification assumptions (such as the well-known Cholesky decomposition for a particular Wold causal ordering) that we are unwilling to make.

mj,τ +6

brevity but reported in table 2) along with one standard-error bands. Because we use no transformation, the coefficients displayed can be read directly as resulting from 1

Table 2 – Local Projection Estimates

F i g u r e 1 r e p o r t s t h e d y n a m i c r e s p o n s e o f h m + τ t o ) ( , , * τ τ τ τ i i q e a n d τ V X ( t h e

and

the

total

PPP

response

are

omitted

in

the

figure

for

-0.147

-0.145

-0.158

-0.160

(0.026)

(0.029)

(0.030)

(0.029)

0.153

0.144

0.158

313

304

295

0.781 (0.554)

  • -

    0.104

(0.025)

0.0003 (0.0005)

responses

panel data estimates. Sample: December

-0.0003

-0.0005

-0.0001

0.0001

(0.0005)

(0.0005)

(0.0005)

(0.0005)

Model Specification:

mj,τ +5

) ( , * τ τ π π j

(q j,τ

q)

VXτ

0.071 (0.451)

  • -

    0.081

(0.023)

  • -

    0.0001

(0.0005)

Notes: Robust standard errors in parenthesis 2000 to March 2009. Quarterly frequency data.

0.146

322 . Fixed-effects,

to

R2

0.092

0.096

Obs.

340

331

-0.621

1.261

-0.285

0.977

(0.467)

(0.599)

(0.487)

(0.449)

Regressors

π j,τ

mj,τ +h

k =1

mj,τ +1

π

* j ,τ

+ + + + = ) ( ) ( , * , * , τ τ π τ τ τ π π β β β α j j i j e j i i e

+u

j ,τ

mj,τ +2

Dependent Variables

mj,τ +3

mj,τ +4

τ β , ( j q q

τ β , ) j v V X q +

+

j ,τ k

y

K

γ

h k

15

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