expectations in g7 countries - slacalek...11 sun life oct 89{ nov 98 priv. canadian insurance...
TRANSCRIPT
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Disagreement among Forecasters in G7 Countries
Online Appendix
Jonas Dovern, Ulrich Fritsche and Jiri Slacalekβ
June 4, 2009
AbstractUsing the Consensus Economics dataset with individual expert
forecasts from G7 countries we investigate determinants of disagree-ment (cross-sectional dispersion of forecasts) about six key economicindicators. Disagreement about real variables (GDP, consumption,investment and unemployment) has a distinct dynamic from disagree-ment about nominal variables (inflation and interest rate). Disagree-ment about real variables intensifies strongly during recessions, includ-ing the current one (by about 40 percent in terms of the interquartilerange). Disagreement about nominal variables rises with their level,has fallen after 1998 or so (by 30 percent), and is considerably lower un-der independent central banks (by 35 percent). Cross-sectional disper-sion for both groups increases with uncertainty about the underlyingactual indicators, though to a lesser extent for nominal series. Country-by-country regressions for inflation and interest rates reveal that boththe level of disagreement and its sensitivity to macroeconomic vari-ables tend to be larger in Italy, Japan and the United Kingdom, wherecentral banks became independent only around the mid-1990s. Thesefindings suggest that more credible monetary policy can substantiallycontribute to anchoring of expectations about nominal variables; itseffects on disagreement about real variables are moderate.
βDovern: Kiel Economics Research & Forecasting, Kiel,[email protected]; Fritsche: University Hamburg,[email protected], http://www.ulrich-fritsche.net/; Sla-calek: European Central Bank, Frankfurt am Main, [email protected],http://www.slacalek.com/. We are grateful to Torsten Schunemann and DavidSondermann for excellent research assistance; to Jonathan Wright for helpfulcomments and programs to estimate the UCSV model; to Michael Ehrmann,Michael Lamla, Bartosz Mackowiak, Adina Popescu and seminar audiences atthe Ceska narodnΔ± banka, ECB and ZEW Mannheim for valuable feedback; andto Philip Hubbard for information about the data. Online appendix with ad-ditional results and replication programs are available at http://www.slacalek.
com/research/dfs09disagreement/dfs09disagreement_onlineAppendix.pdf andhttp://www.slacalek.com/research/dfs09disagreement/dfs09disagreement.zip
respectively. The views presented in this paper are the authorsβ, and do not necessarilyreflect those of the European Central Bank.
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onlineAppendix.tex
Contents
1 Coverage of Variables 3
2 Outlier Observations 62.1 Inflation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62.2 Short-Run Interest Rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62.3 GDP Growth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62.4 Consumption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62.5 Investment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62.6 Unemployment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
3 Description of Panelists 7
4 ECRI Recession Dates 18
5 Monetary Policy Institutions 19
6 Additional Descriptive Statistics about the Data Set and Data Issues 216.1 Original, Interpolated, Extrapolated and Missing Observations . . . . . . . 216.2 Descriptive Statistics about the Dataset and Macro Variables . . . . . . . . 236.3 Descriptive Statistics on Disagreement and Uncertainty . . . . . . . . . . . 23
7 MCMC Diagnostics 34
8 Drivers of DisagreementβAdditional Results 368.1 Drivers of DisagreementβResults for Uncertainty Measured with β12x
2t . . 36
8.2 Drivers of DisagreementβDetailed Country-by-Country Results . . . . . . . 498.2.1 Inflation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 498.2.2 Short-run Interest Rate . . . . . . . . . . . . . . . . . . . . . . . . . 578.2.3 GDP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 658.2.4 Consumption . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 738.2.5 Investment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 818.2.6 Unemployment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
8.3 Drivers of DisagreementβDetailed Panel Results . . . . . . . . . . . . . . . 97
9 Estimates for Industrial Production 104
10 Disagreement Measured with Cross-sectional Standard DeviationβSelectedResults 114
11 Additional Figures 12811.1 Number of Forecasters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12811.2 Consensus (Mean) Forecasts and Actual Variables . . . . . . . . . . . . . . 13511.3 OECD Output Gaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14211.4 Measures of Uncertainty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14411.5 Dynamics of Expectations 2008β2009 . . . . . . . . . . . . . . . . . . . . . . 151
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1 Coverage of Variables
3
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Tab
le1:
Cov
erag
eof
Var
iabl
esI.
Lab
elC
ou
ntr
yT
arg
etV
ari
ab
leL
oca
lD
escr
ipti
on
Note
Infl
ati
on
Can
ad
aC
on
sum
erP
rice
sP
rix
ala
Con
som
mati
on
Fra
nce
Con
sum
erP
rice
sP
rix
ala
Con
som
mati
on
Ger
many
Con
sum
erP
rice
sP
reis
ind
exfu
rL
eben
shalt
un
gC
on
sum
erP
rice
s(W
est)
unti
lS
ep1996
Italy
Con
sum
erP
rice
sP
rezz
ial
Con
sum
oJap
an
Con
sum
erP
rice
sU
KR
etail
Pri
ces
Ret
ail
Pri
ces
(un
der
lyin
gra
te)
RP
(hea
dlin
era
te)
unti
lM
ar
1997
US
Con
sum
erP
rice
s
GD
PC
an
ad
aG
DP
Pro
du
itIn
teri
eur
Bru
tF
ran
ceG
DP
Pro
du
itIn
teri
eur
Bru
tG
erm
any
GD
PB
rutt
oin
lan
dsp
rod
ukt
GN
Pu
nti
lD
ec1992
Italy
GD
PP
rodott
oIn
tern
oL
ord
oJap
an
GD
PG
NP
unti
lD
ec1998
UK
GD
PU
SG
DP
GN
Pu
nti
lD
ec1991
Inte
rest
Rate
Can
ad
a3
month
Tre
asu
ryB
ill
Rate
Ren
dem
ent
sur
les
Bon
sd
uT
reso
rd
e3
mois
Fra
nceβ‘
3m
onth
euro
rate
Tau
xd
βinte
ret
3m
ois
Eu
roG
erm
anyβ‘
3m
onth
euro
rate
3M
on
ate
Eu
roIt
alyβ‘
3m
onth
euro
rate
Inte
ress
iE
uro
Tri
mes
trali
Jap
an
3m
onth
Yen
Cer
tof
Dep
osi
tU
K3
month
Inte
rban
kR
ate
US
3m
onth
Tre
asu
ryB
ill
Rate
Con
sum
pti
on
Can
ad
aP
erso
nal
Exp
end
itu
reD
epen
ses
de
Con
som
mati
on
des
Men
ages
Fra
nce
Hou
seh
old
Con
sum
pti
on
Con
som
mati
on
des
Men
ages
Pri
vate
Con
sum
pti
on
unti
lJan
1990
Ger
manyβ
Pri
vate
Con
sum
pti
on
Pri
vate
rV
erb
rau
chIt
aly
Hou
seh
old
Con
sum
pti
on
Con
sum
id
elle
Fam
igli
eC
on
sum
erS
pen
din
gu
nti
lJan
1993
Pri
vate
Con
sum
pti
on
unti
lJu
ne
1999
Jap
an
Pri
vate
Con
sum
pti
on
UK
Hou
seh
old
Con
sum
pti
on
Con
sum
erE
xp
end
itu
reu
nti
lS
ep1998
US
Per
son
al
Con
sum
pti
on
Note
s:*:
Wes
tG
erm
any
seri
esunti
lSep
1995.
4
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Tab
le2:
Cov
erag
eof
Var
iabl
esII
.
Lab
elC
ou
ntr
yT
arg
etV
ari
ab
leL
oca
lD
escr
ipti
on
Note
Inves
tmen
tC
an
ad
aM
ach
iner
y&
Equ
ipm
ent
Inves
tmen
tIn
ves
tiss
emen
tP
rod
uct
ifB
usi
nes
sIn
ves
tmen
tu
nti
lJu
ly1993
Fra
nce
Busi
nes
sIn
ves
tmen
tIn
ves
tiss
emen
tsd
esE
ntr
epri
ses
Ger
manyβ
Mach
iner
y&
Equ
ipm
ent
Inves
tmen
tA
usr
ust
un
gsi
nves
titi
on
enB
usi
nes
sIn
ves
tmen
tu
nti
lJu
ly1993
Italy
Gro
ssF
ixed
Inves
tmen
tIn
ves
tim
enti
Fis
siL
ord
iJap
an
Bu
sin
ess
Inves
tmen
tU
KG
ross
Fix
edIn
ves
tmen
tU
SB
usi
nes
sIn
ves
tmen
t
Un
emp
loym
ent
Can
ad
aU
nem
plo
ym
ent
Rate
Tau
xd
eC
hom
age
Fra
nce
Un
emp
loym
ent
Rate
,IL
OT
au
xd
eC
hom
age,
BIT
Ger
manyβ
Un
emp
loym
ent
Rate
Arb
eits
lose
nqu
ote
(%d
erE
rwer
bsp
ers.
)It
aly
Un
emp
loym
ent
Rate
Tass
od
iD
isocc
up
azi
on
eJap
an
Un
emp
loym
ent
Rate
UK
Un
emp
loym
ent
Rate
US
Un
emp
loym
ent
Rate
Ind
.P
rod
uct
ion
Can
ad
aIn
du
stri
al
Pro
du
ctio
nP
rod
uct
ion
Ind
ust
riel
leIn
du
stri
al
Pro
du
ctio
nunti
lA
pr
1993
Manu
fact
uri
ng
Pro
du
ctio
nu
nti
lS
ep1995
Fra
nce
Ind
ust
rial
Pro
du
ctio
nP
rod
uct
ion
Ind
ust
riel
leIP
(excl
.co
nst
ruct
ion
,(e
xcl
.co
nst
ruct
ion
,en
ergy
an
dfo
od
)(h
ors
ener
gie
etIA
A)
ener
gy
an
dagri
c.u
nti
lO
ct2000
Ger
manyβ
Ind
ust
rial
Pro
du
ctio
nP
rod
ukti
on
imP
rod
uzi
eren
den
Gew
erb
eIt
aly
Ind
ust
rial
pro
du
ctio
nP
rod
uzi
on
eIn
du
stri
ale
Jap
an
Ind
ust
rial
Pro
du
ctio
nU
KM
anu
fact
uri
ng
Pro
du
ctio
nU
SIn
du
stri
al
Pro
du
ctio
n
Note
s:*:
Wes
tG
erm
any
seri
esunti
lSep
1995,β :
Unem
plo
ym
ent
Wes
tG
erm
any
unti
lJan
1991,β‘:
3m
onth
loca
lin
tere
stra
teunti
lD
ec1998.
5
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2 Outlier Observations
The following outlier observations were checked and found correct (ratherthan a consequence of a bug in the program).
2.1 Inflation
Germany: high figure in Oct 1989 for Bank in Liechtenstein [LGT]
Japan: outliers in Jan, Feb, March 2002 due to Sanwa Bank (Jan. extrapo-lated)
US: outliers in Nov, Dec 1993 and Jan 1994 due to Chemical Banking
2.2 Short-Run Interest Rates
No outliers detected.
2.3 GDP Growth
Japan: low observations in 1992β94 for Smith and Barney Japan
UK: systematically lower forecasts May 2002 for Economic Perspectives
US: high observation in Oct 2000 for Mortgage Bankers (drives up inter-polated values for Nov and Dec 2000)low observation in Nov 1998 for JP Morgan
2.4 Consumption
UK: low observation in Oct 1992 for Robert Fleming (interpolated overnext months)high figure in July-Sept 1994 for Nomura Researchhigh figure in Jan 2002 for Goldman Sachs
2.5 Investment
Japan: high figure in Nov 1993 for Merrill Lynch Japan
UK: high figure in March 1992 for Williams de Broeβfunnyβ figure in Oct 1991 for Williams de Broelow figures for Economic Perspectives in Oct 1992 and around (partlyinterpolated)
US: low figure in Jan 1991 for First Boston
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2.6 Unemployment
Germany: high figure in April 1991 for WGZ Bank (interpolated to March 1991)
Japan: low figure in Sept 1990 for Nikko Research Center
3 Description of Panelists
Table 3: Participants in the Canadian Consensus Survey
ID Name Date Funding Notes
1 McLean McCarthy Oct 89βFeb 91 priv. In 1988 McLean McCarthy became acquiredby Deutsche Bank. Since 1992 it is includedin Deutsche Bank North America.
2 Scotia McLeodScotia Economics
Oct 89βOct 06 priv. In 1988 the Bank of Nava Scotia acquiredMcLeod Young Weir. The new subsidiarywas renamed Scotia McLeod Inc.
3 Conf Board of CanadaCent Board of CanadaConference Board
Oct 89βOct 06 priv. Research and consulting agency
4 CIBCCIBC MarketsCIBC World Markets
Oct 89βOct 06 priv. CIBC stands for Canadian Imperial Bank ofCommerce. It stems from the merger of theCanadian Bank of Commerce and the Impe-rial Bank of Canada in 1961.
5 Toronto Dominion Oct 89βOct 06 priv.Toronto Dominion Bank
6 Bunting Warburg Oct 89βDec95 priv. Meanwhile Bunting Warburg is a fully ownedsubsidiary of UBS.
7 DRI CanadaDRIβCanada
Oct 89βAug 94 priv. DRI stands for Data Resources, Inc. In 2001DRI and WEFA were brought together toform Global Insight.
8 DuPont CanadaDu Pont
Oct 89βOct 93 priv. Du Pont describes itself as a science com-pany.
9 National Bank of Canada Oct 89βApr 02 priv.10 Royal Trust Oct 89βOct 93 priv. In September 1993, Royal Trust became part
of RBC Financial Group.
11 Sun Life Oct 89β Nov 98 priv. Canadian insurance company12 Bank of Nova Scotia Oct 89βMay 98 priv.13 Bank of Montreal Oct 89βOct 06 priv. BMO Capital Markets is a subsidiary of the
Bank of Montreal (see ID 20).14 RBC Dominion Securities
RBC DominionRBCβDominion Securities
Oct 89βApr 00 priv. 1988: The Royal Bank of Canada (RBC) ac-quired Dominion Securities.
15 Caisse de DepotsCaisse de depotCaisse de Depot
Oct 89βOct 06 priv.
16 Nesbitt ThomsonNesbitt BurnsBMO Nesbitt BurnsBMO Capital Markets
Oct 89βOct 06 priv. 1987: Acquirement of Nesbitt Thomson bythe Bank of Montreal.1994: Nesbitt Thomson and Burns Fry mergeand the new company is named NesbittBurns.2000: Renaming into BMO Nesbitt Burns
17 Wood Gundy Oct 89βAug 99 priv. Wood Gundy is a subsidiary of CIBC since1988.
CIBC Wood Gundy18 Royal Bank of Canada Oct 89βOct 06 priv. 1988: The Royal Bank of Canada (RBC) ac-
quired Dominion Securities (see ID 18).In September 1993, Royal Trust became partof RBC Financial Group (see ID 14).1997: RBC acquires Richardson Green-shields (see ID 23).
19 Richardson Greenshields Oct 89βJul 96 priv. 1997: RBC acquires Richardson Green-shields.
20 Merrill LynchβCanada Nov 98βOct 06 priv.Merrill Lynch Canada
21 Informetrica Nov 92βOct 06 priv. Infometrica is a privatly held Canadian eco-nomic research company
22 Burns Fry Feb 93βAug 94 priv. 1994: Burns Fry merged with Nesbitt Thom-son to Nesbitt Burns (see ID 20).
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ID Name Date Funding Notes
23 Levesque BeaubienNational Bank Financial
Nov 93βAug 99Sep 99βOct 06
priv. 1988: Lvesque Beaubien becomes a NationalBank subsidiary.1999: First Marathon and the LvesqueBeaubien merged to form National Bank Fi-nancial.
24 JP Morgan Canada Jul 95βOct 06 priv.JP Morgan
25 Institute of Policy Analysis Oct 95βOct 06 publ.University of Toronto
26 Economap Nov 99βOct 06 priv.27 Global Insight Dec02βOct 06 priv. Global Insight stems from the two companies
WEFA and DIR. It was founded in 2001. (seealso ID 11)
28 EDC Economics Jul 03βOct 06 priv. EDC stands for Export DevelopmentCanada.
29 Desjardins Aug 04βOct 06 priv. Desjardins is a life and health insurance com-pany.
Excluded from sample (less than 10 observations): Loewen Ondaatje, Wefa Canada, Centre for Spatial Economics, andCanadian Imperial Bank.
Table 4: Participants in the French Consensus Survey
ID Name Date Funding Notes
1 Credit Comml de France Oct 89βOct 05 priv. April 2000: HSBC acquires Crdit Commer-cial de France (CCF).Nov 1, 2005: CCF became HSCB France.
2 Credit National Oct 89βMar 96 priv.3 BNP Oct 89βOct 06 priv. May 2005: Acquirement of Paribas through
BNP.BNP-Paribas
4 Credit Lyonnais Oct 89βJan 04 priv. 2003: CL becomes acquired by Credit Agri-cole.
5 Elf AquitaineTotal Fina ElfTotal
Oct 89βOct 06 priv. 2000: Fusion of TotalFina (former Totaland Petrofina) to TotalFinaElf which was re-named as to Total in 2003.
6 Credit Agricole Oct 89βOct 06 priv. 2003: Acquirement of Crdit Lyonnais7 GAMA Oct 89βOct 06 priv. GAMA is a small French consultancy, run by
Professor Courbis of Nanterre University.8 Societe Generale Oct 89βOct 06 priv.9 Bq Fr du Commerce Ex-
terieurBFCEBFCE Credit NationalCredit NationalβBFCENatexis BanqueNatexis Bques Populaires
Oct 89βOct 06 priv. 1997: Credit National acquired BFCE givingbirth to Natexis1998: Acquisition of Natexis throughBanque Populaire.
10 Banque Indosuez Oct 89βJun 06 priv. 1996: Acquisition of Banque Indosuezthrough Credit Agricole.
11 Gaz de France Oct 89βJan 91 priv. 2005: Gaz de France becomes privatized.12 INSEE Oct 89βDec91 publ. The INSEE (Institut National de la Statis-
tique et des Etudes Economiques) is adirectorate-general of the ministry of theeconomy, finance and industry. It only pro-vides forecasts for the current year.
13 IPECODEIPECODE-REXECOREXECODE
Oct 89βOct 06 priv. The two institutes IPECODE and REXECOfusion. The name of the new company isRexecode.
14 COEβCCIP May 90βOct 06 priv. October 2006: Fusion of Rexecode and COEto Coe-Rexecode.
15 Banque Paribas Jun 91- Jan 00 priv.16 OFCE Jun 91βOct 06 publ. OFCE = Observatoire Francais des Conjon-
tures Economiques.17 Caisse des Depots
CDC IXISIXIS CIB
Jul 91βJul 01Sep 01βOct 06
publ. 2001: CDC IXIS was founded as the invest-ment banking and asset management sub-sidiary of Caisse de Depots.Nov 2001: Renaming of CDC IXIS into IXISCIB.Nov 06: IXIS CIB becomes a subisiary ofNatixis.
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ID Name Date Funding Notes
18 Banque Populaire Jul 91βJun 00 priv.Banques Populaires
19 Morgan GuarantyβParis Jul 91βOct 06 priv. Subsidiary of J.P. Morgan & Co.JP MorganβParisJP Morgan
20 SG Warburg Jul 91βFeb 95 priv. 1995: S.G. Warburg becomes acquired byUBS.
S.G. Warburg Bacot
21 Banque DβOrsay Nov 91βNov 00 priv. Meanwhile Banque DβOrsay became a mem-ber of the WestLB-Group.
22 Deutsche Bank Sep 93βFeb 06 priv.Deutsche Bank France
23 Nomura France Oct 93βJul 95 priv.24 CPE Aug 94βNov 00 publ. CPE =Center of popular economics25 BIPEβConseil Jul 95βOct 06 priv.
BIPE ConseilBIPERIPE
26 Morgan Stanley France Jul 95βOct 06 priv.Morgan Stanley
27 EXANE Apr 00βOct 06 priv. Since 2004 Exanxe is owned by 40% by BNPParibas. Forecasts are made independently.
28 Merrill Lynch France Aug 00βNov 02 priv.Merrill Lynch
29 Centre Prev lβExpansion Dec00βOct 06 priv. Forecasting devision of the journallβExpansion.
30 UBS Warburg Sep 01βOct 06 priv.UBS
31 Goldman Sachs Sep 03βOct 06 priv.32 FAZ Institut Nov 03βNov 05 priv.33 HSBC Nov 03βOct 06 priv. April 2000: Acquisition Crdit Commercial
de France.HSBC France
34 Econ Intelligence Unit Nov 03βOct 06 priv. Forecasting devision of the Economist35 ING Financial Markets Nov 03βOct 06 priv.36 Bank of America Nov 03βOct 06 priv.
Excluded from sample (less than 10 observations): Meeschaert-Rousselle and Paris Chambre de Commerce.
Table 5: Participants in the German Consensus Survey
ID Name Date Funding Notes
1 Sal OppenheimOppenheimOppenheim Finanzanalyse
Okt 89βOct 06 priv. 1995: The Oppenheim Finanzanalyse GmbHwas founded as a 100% owned subsidiary ofSal. Oppenheim Jr. Meanwhile it was re-named into
2 Kiel InstituteIFW - KielIFW - Kiel Institute
Oct 89βSept 06 publ.
3 Delbruck & Co Oct 89βApr 03 priv. January 01: Merger of Delbrck & Co., Beth-man and Maffei to the Delbrck BethmanMaffei AG. The newly created bank becomespart of the ABN AMRO Group.
4 IFO MunichIFOβMunich Institut
Oct 89βSep 06 publ.
5 Westdeutsche LandesbankWestdeutsche LBWestdeutsche LBankWestdeutsche LbankWestLB
Oct 89βOct 06 priv.
6 Bank in LiechtensteinLGT Bk in Liechtenstein
Oct 89βAug 98 priv.
7 BfG BankSED
Oct 89βMar 01Apr 01βOct 06
priv. In 2000 the BfG Bank was acquired by theSED Group. In March 2001 the company wasrenamed SEC AG.
8 BHF BankING BHF-Bank
Oct 89βOct 06 priv. 1999: Acquired through the ING Group. Dec2004: Acquired through Sal. Oppenheim.The forecasts are being made independently.
9 DG-BankDZ Bank
Oct 89βDec01Oct 01βOct 06
priv. 2001: Fusion of the DG-Bank and GZ-Bank.The new institute was named DZ-Bank.
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ID Name Date Funding Notes
10 Dresdner Bank Oct 89βOct 06 priv. July 2001: The Dresdner Bank becomes partof the Allianz Group. Forecasts are contin-uously being made by the same research fa-cility.
11 Baverische Landesbank Oct 89βOct 06 priv.Bayerische LandesBayerische LBank
12 Berliner Bank Oct 89βFeb 94 priv.13 Citibank AG Oct 89βOct 06 priv.
Citigroup14 Commerzbank Oct 89βOct 06 priv.15 Deutsche Bank Oct 89βOct 06 priv.
Deutsche Bank AGDeutsche Bank ResearchDeutsche Bank Rsrch
16 Deutsche GirozentraleDGZ DekaBankDeka Bank
Oct 89βOct 06 priv. January 1999: Fusion of DGZ and Deka-Bank. From January 1999 on the forecastsof the former DGZ are labeled Deka Bank.
17 Hessische LandesbankHessische LBankHelaba Frankfurt
Oct 89βOct 06 priv.
18 Industrie KreditbankIndustriekreditbankIKB Deutsche Indus-triebank AG
Oct 89βOct 92 priv.
19 HYPO Bank Oct 89βJul 98 priv. 1998: Fusion of Hypo Bank with BayerischeVereinsbank. From that point in time theforecasts of the newly created company arecomputed by the former research facility ofBayerische Vereinsbank.
20 Trinkaus & BurkhardtHSBC Trinkaus
Oct 89βOct 06 priv. 1992: HSBC Hoildings plc takes over theMidland Bank who owns the majority of vot-ing rights of Trinkaus & Burkhardt.
21 WGZ Bank Oct 89βOct 06 priv. 1999: Fusion of Hchst and Rhne-Poulenc.The new companyβs name is Aventis.
22 Hoechst AG Oct 89βApr 99 priv. 1997: Acquirement through UBS. Mean-while the former SMH Bank is named UBSDeutschland AG.
23 SMH Bank Nov 89βMay 98 priv.24 Bayerische Vereinsbank Nov 89βOct 06 priv.
Bayerische VereinsbkHypoVereinsbank
25 Deutsches Institut Oct 89βOct 06 publ.DIW BerlinDIWβBerlin InstituteDIWβBerlin
26 FAZ InfoDienste Jan 92βNov 05 priv.FAZ Institute
27 MM Warburg May 93βOct 06 priv.28 Bankgesellschaft Berlin Mar 94βOct 06 priv. Meanwhile renamed into Landesbank Berlin
Holding AG.29 UBS Frankfurt
SBC Warburg Dillon ReadWarburg Dillon ReadUBS WarburgUBS
Apr 94βOct 06 priv. 1997: Acquirement of Dillon Read bySBC (Schweizerischer Bankenverein). Dec8, 1997: SBC and SBG (SchweizerischeBankgesellschaft) fusion and the new com-pany is named UBS AG.
30 Bank Julius Baer Apr 94βOct 06 priv.
31 JP Morgan FrankfurtJP Morgan
Apr 94βOct 06 priv.
32 RWI Essen May 94βOct 06 publ.33 HWWA Feb 96βOct 06 priv.34 Morgan Stanley Jul 96β Oct 06 priv.35 Merrill Lynch Jun 98βNov 02 priv.36 Invesco Bank Sep 98βSept 04 priv.
Invesco Bank Frankfurt37 IWβCologne Institut Dec99βOct 06 priv.38 Lehman Brothers Mar 02βOct 06 priv.39 Econ Intelligence Unit Nov 03- Oct 06 priv.40 Goldman Sachs Nov 03- Oct 06 priv.
41 Bank of America Nov 03- Oct 06 priv.42 Global Insight Nov 04- Oct 06 priv.
Excluded from sample (less than 10 observations): Bank Schroder & Munchmeyer.
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Table 6: Participants in the Italian Consensus Survey
ID Name Date Funding Notes
1 Centro Europa Ricerche Oct 89βOct 06 publ. Cer is an independent research instituteCentro Europa Richerche
2 Banco di RomaBanca di Roma
Oct 89βApr 99 priv. Meanwhile Banca die Roma became part ofthe Capitalia Group.
3 Credito ItalianoUni Credito ItalianoUniCredit Banca MobiliareUniCredit Ban ea MobiliareUniCredito Banca MobiliareUniCredit Banca
Oct 89βOct 06 priv. 1998: Creation of UniCredito Italianothrough a merger of several Italian banks.Established in 2000, UniCredit Banca Mobil-iare is a part of the UniCredit Group. Since2005 UniCredit Group is a part of the HVBGroup.
4 Euromobiliare Oct 89βJul 97 priv.5 Fiat SpA Oct 89βJul 05 priv.6 Istituto Bancario Oct 89βDec91 priv.
Istituto Bancario Italiano7 Studi Finanziari Oct 89βDec92 publ.8 IRS Oct 89βOct 06 priv. IRS: Instituto per la ricerca sociale
IRSβMilanref.irsRef.
9 Confindustria Oct 89βOct 06 priv.10 ISCO
ISAE!SAE
Nov 89βDec98Feb 99βOct 06
publ. ISCO: Italian Institute for Studies on Eco-nomic CyclesISAE: Insituto di Studie Analisi EconomicaThe ISAE stems from a merger of ISCOand ISPE (Institute of Studies for EconomicPlanning) in 1998.
11 Banca Comerz. ItalBanca CommercialeIntesa BCIBanca Intesa
Nov 89βMay 01Jun 01βOct 06
priv. May 2001: Merger of Banca CommercialeItaliano with Banca Intesa into IntesaBci.December 2002: IntesaBci changes itβs nameinto Banca Intesa s.p.a.2007: Banca Intesa and Sanpaolo merged to-gether.
12 Prometeia Jan 91βOct 06 priv.Prometia
13 Cariplo SpABanca Intesa Cariplo
Jan 92βApr 99 priv. Jan 1998: Cariplo gets acquired by BancaIntesa.
14 ENI Oct 92βOct 06 priv. ENI S.p.A. is an Italian Oil company.15 JP MorganβMilan Jun 93βOct 06 priv.
JP Morgan16 Bank of AmericaβMilan Mar 95βOct 06 priv.
Bank of America17 Chase ManhattanβMilan Jul 96βJun 98 priv.18 Deutsche BankβMilan Feb 97βJan 00 priv.19 Salomon Smith Barney
Salomon SB CitibankSchroder SSB CitibankCitigroup
Sep 98βSep 06 priv. 1998: Traveler who owned Solomon SmithBarney merged with Citigroup.2000: Acquisition of Schroders PLC
20 Morgan Stanley Sept 99βMar 06 priv.
21 Banca Nzle. del LavoroBanca Nzle del Lavoro
Nov 99βOct 06 priv. 2004: Banca Nacionale del Lavoro becomesmember of the PNB Paribas Group.
22 Caboto Nov 99βFeb 01 private Meanwhile Caboto is part of Intesa San-paolo.
23 RASFIN Nov 99βApr 02 priv.24 Goldman Sachs Jan 00βOct 06 priv.25 Banca IMI Feb 03βOct 06 priv.26 Cofiri SIM
CapitaliaMar 03βFeb 04Apr 04βOct 06
priv. Meanwhile Cofiri Sim s.p.a. became part ofthe Capitalia Group.
27 Econ Intelligence Unit Nov 03 βOct 06 priv. Forecasting devision of the Economist28 FAZ Institut Nov 03βDec04 priv.29 HSBC Nov 03βOct 06 priv.30 ING Financial Markets Nov 03βOct 06 priv.31 IXIS CIB Jun 05βOct 06 priv. IXIS CIB is part of Natixis which belongs to
Banque Populaire.
Excluded from sample (less than 10 observations): CS First Boston, Romagest, and Merrill Lynch.
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Table 7: Participants in the Japanese Consensus Survey
ID Name Date Funding Notes
1 Bank of TokyoBank of TokyoβLondonSanwa Research InstituteSanwa Research InstituteCorp.UFJ InstituteMitsubishi UFJ Research
Oct 89βOct 06 priv. 1996: Fusion with the Mitsubishi Bank. Themerged companyβs name is Bank of Tokyo-Mitsubishi Ltd.January 2006: The Bank of TokyoβMitsubishi and the UFJ Holdings Inc.merged forming the Bank of Tokyo-Mitsubishi UFJ, Ltd. (see ID 35). The UFJholding stems from a merger of Sanwa Bankand Tokai Bank in 2002.
2 Deutsche Bank (Asia)Deutsche Securities
Oct 89βOct 06 priv. Deutsche Securities Limited, Hongkong isthe official name Deutsche Bankβs subsidiaryin Asia.
3 Long Term Credit Bank Oct 89β Jun 98 priv. LTCB was placed under state control in Oc-tober 1998 and collapsed in 2000. (see ID19)
4 Industrial Bank of Japan Oct 89βJul 00 priv. 2002: Merger with Dai-Ichi Kangyo Bank(see ID 15).
5 Daiwa Securities Rsrch Oct 89βOct 06 priv. Priv. research and consulting instituteDaiwa Institute of RsrchDaiwa Securities ResearchDaiwa Institute of Research
6 Jardine FlemingJardine FlemingβTokyoJardine Fleming Securities
Oct 89βJan 01 priv. Jardine Fleming had been owned by ChaseManhattan Corporation. In 2001 it becamepart of J.P. Morgan Securities Asia.
7 Japan Ctr Economic RsrchJap Ctr for Econ RsrchJapan Ctr for Econ Research
Oct 89βOct 06 publ. The JCER is a non-profit independent re-search institution established in 1963.
8 Mitsubishi RsrchMitsubishi Research Inst
Oct 89βOct 06 priv. January 2006: The Bank of TokyoβMitsubishi and the UFJ Holdings Inc.merged.
9 Tokai Bank Oct 89βSep 01 priv. 2002: Merger with Sanwa Bank to form UFJHoldings Inc. (see ID 5).
10 Baring SecuritiesβJapan Oct 89βFeb 95 priv. In 1995 ING took over the Barings Bank.The end of Barings Bank is closely tied tothe name Nicholas Leeson.
11 Dai-Ichi Kangyo BankDai-Ichi Kangyo Rsrch Insti-tuteDai-Ichi Kangyo Rsrch InstMizuho Research Institute
Oct 89βOct 06 priv. 2002: Dai-Ichi Kangyo Bank merged withthe Industrial Bank of Japan and Fuji Bankto form Mizuho Financial Group.
12 Nikko Rsrch CenterNikko Research CenterNikko Citigroup
Oct 89βOct 06 priv. Nikko Securities established in 1999. Inmarch 2007 Citigroup launched a tender of-fer for Nikko Cordial, the holding companyof Nikko Securities. (See ID 32)
13 Nomura Rsrch Center Oct 89βOct 06 priv.Nomura SecuritiesNomura Research Institute
14 Smith BarneyβTokyoSmith BarneyβJapanSmith Barney ShearsonβTokyo
Oct 89βNov 97 priv. Smith Barney is combined with Salomon toform Salomon Smith Barney Holding Inc.
15 S G WarburgβTokyoS G WarburgβJapanSBC WarburgβJapanLTCB WarburgβJapanLTCBUBS WarburgUBS
Oct 89βOct 06 priv. LTCB stands for Long-term Credit Bank (seeID 7). In 1997 SBC and LTCB formed astrategic alliance.
16 Toyota Motor Corporation Oct 89βOct 06 priv.17 Yamaichi Rsrch Institute
Yamaichi Research InstituteOct 89βNov 97 priv. Yamachi Securities suffered bankruptcy in
1997.18 Merrill LynchβJapan Oct 89βOct 06 priv.19 Nippon Credit Bank Oct 89βMay 97 priv. 1998: Nippon Credit Bank was put under
state control.20 Mitsubishi Bank Oct 89βSep 94 priv. Merged with Bank of Tokyo in 1996 (see ID
5).
21 UBS Phillips & DrewUBS Phillips & DrewβTokyoUBS SecuritiesβTokyoUBS SecuritiesβJapan
Nov 89βAug 97 priv. Meanwhile Phillips & Drew became UBSGlobal Asset Management.
22 Sumitomo BankSumitomo Life Rsrch Institute
Jan 90βMar 05 priv. April 2001: Sakura Bank and SumitomoBank merge to form Sumitomo Mitsui Bank-ing Corporation.
23 JP Morgan Oct 92βOct 06 priv.JP MorganβJapan
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ID Name Date Funding Notes
24 BZWβJapanBarclays Capital GroupBarclays Capital
Jun 93βOct 98 priv. BZW was formed in 1986 my combing twoacquired firms. In 1996 BZW was mergedwith WFNIA and formed Barclays CapitalGroup and in 1998 most parts of the formerBZW were sold to CS First Boston.
25 Fuji Research Institute Oct 94βOct 01 priv. Meanwhile part of Mizuho Rsrch Inst. (seeID 15).
26 Kleinwort BensonβTokyoDresdner Kleinwort (Asia)Dresdner Kleinwort Benson
Nov 94βDec00 priv. 1995: The Dresdner Bank purchases Klein-wort Benson, a British investment bank.
27 Schroder SecuritiesSchrodersβJapanSchroders
Mar 96βFeb 01 priv. In 2000 Schroders sold its investment bank-ing division to Citigroup. Till 2003 it wastraded under the name Salomon Smith Bar-ney.
28 Salomon Brothers Asia Ltd.Salomon Brothers AsiaSalomon Smith Barney AsiaSalomon Smith BarneyNikko Salomon Smith Barney
Apr 96βMar 03 priv. 1997: Salomon Brothers and Smith Barneymerged to form Salomon Smith Barney Hold-ing (see ID 18). Nikko Salomon Smith Bar-ney was a joint venture between CitigroupInc.βs Salomon Smith Barney and Nikko Se-curities established in 1999.
29 NLI Research Institute Apr 96βOct 06 priv. Research and consulting firm30 Bank of Tokyo Mitsubishi
Bank of Tokyo-Mitsubishi UFJAug 96βOct 06 January 2006: The Bank of Tokyoβ
Mitsubishi and the UFJ Holdings Inc.merged forming The Bank of Tokyo-Mitsubishi UFJ, Ltd. (see ID 5).
31 CS First BostonCredit SuisseCredit Suisse First Boston
Oct 96βOct 06 priv. Credit Suisse took control over First Bostenin 1990. In 2006 Credit Suisse retired theFirst Boston name.
32 NCB Research Institute Jun 97βApr 00 priv.33 Goldman Sachs May 00βOct 06 priv.34 HSBC Jun 00βOct 06 priv.35 Shinsei Bank Jun 00βDec02 priv. Shinsei Bank is the predecessor of the Long-
term Credit Bank of Japan.36 Morgan Stanley Jun 00βMay 06 priv.37 Kokumin Keizai Research Inst.
Kokumin Keizai Research InstJul 00βMar 04 priv. KKRI was a non-profit economic research in-
stitute.38 ITOCHU Institute Jan 03βOct 06 priv. Research facility of ITOCHU Corporation39 Econ Intelligence Unit Nov 03βOct 06 priv. Forecasting division of the Economist40 Global Insight Nov 03βOct 06 priv. Global Insight stems from the two companies
WEFA and DRI. It was founded in 2001.
Excluded from sample (less than 10 observations): Lehman Brothers, Sakura Institute of Research, IBJ Securities, andWarburg Dillon Read.
Table 8: Participants in the UK Consensus Survey
ID Name Date Funding Notes
1 ChaseChase Manhattan
Oct 89βNov 00 priv. In 2000 Chase Manhattan merged with JPMorgan.
Chase Manhattan Bank2 ITEM Club Oct 89βOct 06 priv. ITEM stands for βIndependent Treasury
Economic Modelβ. The ITEM Club wasfounded in 1977 by some companies in orderto share the cost of economic forecasting.
3 Shearson LehmanLehman Brothers
Oct 89βOct 06 priv. In 1994 Sherson Lehman became seperated,when Traverlerβs Group spun of LehmanBrothers without Shearson.
4 City Univ Business Sch Oct 89βJun 93 publ.City Univ Business SchoolCity University BusinessSchool
5 Greenwell Montagu Oct 89βJun 93 priv. Greenwell Montagu was bought by the Mid-land Bank and is meanwhile part of HSBC.
6 OxfordβLBS Oct 89βOct 06 priv. Research and consulting firmOxford Econ Forecasting
7 SG Warburg Oct 89βApr 00 priv. 1997: Acquirement of Dillon Read by SBCSBC WarburgSBC Warburg Dillon ReadWarburg Dillon Read
8 Merrill Lynch Oct 89βOct 06 priv.continued on next page...
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ID Name Date Funding Notes
9 National WestminsterNatWest Group
Oct 89βMay 00 priv. March 2000: Acquisition through the RoyalBank of Scotland
10 Robert FlemingRobert Fleming Secs
Oct 89βJan 97 priv. In 2000 Robert Flemmings Holdings weresold to Chase Manhattan Bank.
11 Baring Brothers Oct 89βOct 06 priv. In 1995 ING took over the Barings Bank.ING Financial MarketsING-Barings
12 British Telecom Oct 89βOct 01 priv.13 Cambridge Economet Oct 89βOct 06 publ.
Cambridge Econometrics14 NIESR Oct 89βOct 06 priv. NIESR stands for Natinal Insitute Economic
and Social Research. It is a independent eco-nomic research insitute.
15 Nomura Research Inst Oct 89βApr 95 priv.Nomura Research InstituteNomura Securities
16 Smith New Court Oct 89βOct 95 priv. 1995: Takeover through Merrill Lynch17 James Capel
HSBC James CapelOct 89βMar 98 priv. The investment management subsidiary
changed its name to HSBC Securities in1998.
18 Panmure Gordon Oct 89βMar 00 priv. 1996: Acquisition of Panmure Gordon byWest LB.
West LB Panmure19 Barclays de Zoete
Barclays de Zoete WeddBarclays Capital
Oct 89βOct 06 priv. In 1996 BZW was merged with WFNIA andformed Barclays Capital Group. In 1998most parts of the former BZW were sold toCS First Boston.
20 CBIConfed of British Ind
Oct 89βOct 06 priv. Lobbying organisation of British businessowners
Confed of British Industry
21 Imperial Chem Ind Oct 89βJul 99 priv. British Chemical GroupImperial Chemical Inds
22 ABN Amro Hoare Govett Oct 89βJul 02 priv.Hoare Govett
23 Schroder SSB CitibankSchroders
Oct 89βOct 06 priv. In 2000 Schroders sold its investment bank-ing division to Citigroup. Till 2003 it wastraded under the name Salomon Smith Bar-ney.
24 Salomon BrosSalomon BrothersSalomon SB CitibankSalomon Smith BarneyCitigroup
Oct 89βOct 06 priv. 1997: Salomon Brothers and Smith Bar-ney merged to form Salomon Smith BarneyHolding. In 1998 Traverlerβs Group whichowned Solomon Smith Barney and Citigroupmerged.
25 UBS Oct 89βOct 06 priv.UBS LimitedUBS Phillips & DrewUBS UK LimitedUBS Warburg
26 London Bus School Oct 89βAug 98 publ.London Business SchLondon Business School
27 Hambros Bank Oct 89βMar 98 priv. In 1998 Socit Gnrale acquired Habros Bank.28 Dresdner Kleinwort Ben-
sonKleinwort Benson
Oct 89βMay 97 priv. 1995: The Dresdner Bank purchases Klein-wort Benson, a British investment bank.
29 Williams de Broe Oct 89βJun 06 priv. Investment Broker and part of the EvulutionGroup
30 Barclays Bank Oct 89βJun 01 priv.
31 Henley Centre Oct 89βJul 01 priv. Research and consultancy firm32 Midland Bank Oct 89βNov 94 priv. 1992: Friendly takeover through HSBC
Midland Global Markets33 County Nat West
Greenwich NatWestNat West SecuritesNatWest Markets
Nov 89βJul 00 priv. March 2000: Acquisition through the RoyalBank of Scotland
34 Credit Lyonnais Secs Nov 89βJul 97 priv. 2003: CL becomes acquired by Credit Agri-cole
35 Goldman Sachs Jul 90βOct 06 priv.36 Yamaichi Feb 91- Sept 92 priv. Takeover
Citibank Oct 92βJan 9837 Morgan Guaranty
JP MorganJun 91βOct 06 priv. Morgan Guaranty is a subsidiary of JP Mor-
gan & Co. In 2000 JP Morgan merged withChase Manhattan
38 SGST Securities Oct 91βApr 00 priv.Societe Generale
39 Industrial Bank of Japan Jan 93βDec99 priv.40 Lombard Street Res.
Lombard Street ResearchJan 93βOct 06 priv. Independent research institute founded in
1989.continued on next page...
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ID Name Date Funding Notes
Lombard Street Rsrch
41 Liverpool Macro Res . Liv-erpool Macro ResearchLiverpool Macro Rsrch
Jan 93βOct 06 publ. Group of researchers based at Liverpool Uni-versity and Cardiff Business School. Theypublish the Quarterly Economic Bulletin.
42 Halifax B.S.Halifax Building SocHalifax PLCHBOSHBOS plc
Feb 93βOct 06 priv. Halifax merged with the Royal Bank of Scot-land in September 2001 forming HBOS.
43 Morgan StanleyMorgan Stanley DW
Mar 94βOct 06 priv. Morgan Stanley DW is the retail broker-dealer subsidiary of Morgan Stanley
44 HSBC May 94βOct 06 priv.HSBC Economics & Strat-egyHSBC Econs & StrategyHSBC GreenwellHSBC MarketsHSBC Markets ResearchHSBC Securities
45 Lloyds BankLloyds TSB FinancialMarketsLloyds TSB FinancialMrktsLloyds TSB Group
Oct 94βOct 06 priv. In 1995 Lloyds Bank Group merged withTSB Group forming Lloyds TSB Group.
46 Deutsche BankDeutsche Morgan Grenfell
Aug 96βJan 06 priv. Today this subsidiary of Deutsche Bank islabeled Deutsche Securities Limited.
47 Business Strategies Mar 97βJul 03 priv. Research and consulting insitute48 Norwich Union Aug 97βJan 99 priv. Insurance Company49 RBC Dominion
RBC Dominion SecuritiesRBC DS Global Markets
Apr 98βJun 01 priv. 1988: The Royal Bank of Canada (RBC) ac-quired Dominion Securities.
50 Royal Bank of ScotlandRBS Financial Markets
May 98βOct 06 priv. RBS Financial Markets was the result ofsome restructuring within the Royal Bank ofScotland.
51 Capital Economics Oct 00βOct 06 priv. Independend research insitute founded in1999.
52 Credit SuisseCredit Suisse First BostonCS First Boston
Apr 01βOct 06 priv. Credit Suisse took control over First Bostonin 1990. In 2006 Credit Suisse retired theFirst Boston name.
53 DRI-WEFAStandard & Poors DRIGlobal Insight
Apr 01βOct 06 priv. Global Insight stems from the two companiesWEFA and DRI. It was founded in 2001.
54 Economic Perspectives May 02βOct 06 publ. Journal of the Federal Reserve Bank ofChicago
55 ABN Amro Apr 03βOct 06 priv.56 Experian Bus Strategies Aug 03 βOct 06 priv. Consulting agency
Experian Business Strate-gies
57 DTZ Research Jun 05βOct 06 priv. DTZ is a real estate advisor.
Excluded from sample (less than 10 observations): Beacon Econ Forecasting, Citicorp Scrimgeour, CL Alexanders,and ANZ McCaughan.
Table 9: Participants in the US Consensus Survey
ID Name Date Funding Notes
1 Morgan Stanley Oct 89βOct 06 priv.2 Shearson Lehman
Lehman BrothersOct 89βOct 06 priv. In 1994 Shearson Lehman separated, when
Traverlerβs Group spun of Lehman Brotherswithout Shearson.
3 Amoco CorporationAmoco
Oct 89βApr 99 priv. In August 1998 Amoco merged with BritishPetroleum forming BP Amoco.
Amoco CorpBP Amoco
4 US Chamber of Commerce Oct 89βMar 93 priv.5 Chase Manhattan
Chase Chase ManhattanBank
Oct 89βMar 97 priv. Chase Manhattan purchased ChemicalBanking in 1996 (see ID 16). In 2000 itmerged with JP Morgan (see ID 13).
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ID Name Date Funding Notes
6 Continental Bank Oct 89βAug 94 priv.7 First Chicago Oct 89βFeb 94 priv. 1995: First Chicago merged with DBD of
Detroit. The resulting company becamemerged with Bank One in 1998 and is todaypart of JP Morgan.
8 Manufacturers Hanover Oct 89βFeb 92 priv. June 92: Merger with Chemical Banking (seeID 16).
9 Morgan GuarantyJP Morgan
Oct 89βOct 06 priv. Morgan Guaranty is a subsidiary of JP Mor-gan & Co. In 2000 JP Morgan merged withChase Manhattan Bank (see ID 10).
10 Smith BarneySmith Barney Shearson
Oct 89βOct 97 priv. Smith Barney and Shearson where combinedin 1994 by there holding company TravelerβsGroup.
11 Bear Stearns Oct 89βOct 06 priv.12 Chemical Bank
Chemical BankingChemical Banking
Oct 89βMar 96 priv. Merged with Manufacturers Hanvoer in 1992(see ID 12) and was purchased by ChaseManhattan in 1996 (see ID 9).
13 Core StatesCoreStates Fin CorpFirst Union CorpWachovia Corp
Oct 89βOct 06 priv. In April 1998 CoreStates merged with FirstUnion. Wachovia was formed by the 2001merger of First Union Corporation and theformer Wachovia Corp.
14 First BostonCS First BostonCredit Suisse First Boston
Oct 89βOct 04 priv. Credit Suisse took control over First Bostonin 1990. In 2006 Credit Suisse retired theFirst Boston name.
15 First Fidelity Oct 89βAug 90 priv.16 Ford Motor Oct 89βOct 06 priv.
Ford Motor Corp17 General Motors Oct 89βOct 06 priv.18 Merrill Lynch Oct 89βOct 06 priv.19 Northern Trust Oct 89βOct 06 priv.20 Kemper Financial Oct 89βJan 92 priv. Insurance Company
21 Metropolitan Life Oct 89βSep 96 priv. Metropolitan Life Insurance Company isknow as MetLife.
22 Provident Bank Oct 89βSep 92 priv.23 Sears Roebuck Oct 89βOct 90 priv.
Sears Roebuck & Co24 Shawmut National
Shawmut BankOct 89βSep 90 priv. Through some mergers Shawmut Bank is to-
day part of the Bank of America.25 Paine Webber Oct 89βApr 93 priv. In 2000 Paine Webber merged with UBS.
Meanwhile its name changed into UBSWealth Management USA.
26 Nat Assn Manufacturers Oct 89βDec95 priv.Nat Assn of Manufacturers
27 Griggs & Santow Nov 89βSep 01 priv. Griggs & Santow was a prv. consulting firm.28 Standard & Poorβs Jul 90βSep 96 priv.29 CRT Govt. Securities Sep 90βJul 93 priv.30 Dun & Bradstreet Mar 91βFeb 97 priv.
31 The WEFA GroupDRI-WEFAGlobal Insight
Jul 91βOct 06 priv. Global Insight stems from the two companiesWEFA and DRI. It was founded in 2001.
32 Bethlehem Steel Oct 91βSep 93 priv.33 Eaton Corporation Oct 92βSep 97 priv. Eaton is a diversified industrial manufac-
turer.34 DuPont Oct 92βOct 06 priv. Du Pont describes itself as a science com-
pany.35 Wells Fargo Bank Jan 93βOct 06 priv.
Wells FargoWells Capital
36 NationsBankBank America Corp
Aug 93βOct 06 priv. In 1998 the NationsBank acquired the BankAmerica and assumed the new name Bank ofAmerica.
37 The Conference Board Oct 93 βOct 06 priv. The Conference Board is a not-for-profit or-ganization providing research and consultingactivities to itβs members.
38 Bankers Trust Oct 93 βJan 98 priv. 1999: Acquisition through Deutsche Bank39 U.S. Trust Nov 03βOct 06 priv.
United States Trust40 Brown Brothers Oct 93βJan 99 priv.
Brown Brothers Harriman
41 Fannie Mae Oct 93 βOct 06 priv.42 Mortgage Bankers
Mortgage Bankers AssocMortgage Bankers Associ-ation
Oct 93βMay 05 priv. National association representing the real es-tate finance industry.
43 Nat. Ass. of Homebuilders Oct 93 βOct 06 priv.Natl Assoc of HomeBuilders
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ID Name Date Funding Notes
Nat Assn of Home Builders44 The University of Michi-
ganUniv of MichiganβRSQE
Oct 93 βOct 06 publ. RSQE stands for Research Seminar in Quan-titative Economics.
45 Prudential Insurance Dec93βOct 02 priv.Prudential Financial
46 Chrysler Apr 04βOct 06 priv.Daimler Chrysler
47 Regional Financial Assocs May 94 -Jan 01 priv.Regional Financial Ass.
48 Georgia State University Feb 96βOct 06 publ.Georgia State Uni.
49 Oxford Economics Oct 97βOct 06 priv. Research and consulting firm50 InforumβUniv of Maryland Apr 98βOct 06 publ. Inforum stands for: Interindustry Forecast-
ing at the University of Maryland.
51 Goldman Sachs Feb 99βOct 06 priv.52 Bank One Corp Mar 00βAug 04 priv. Bank One Corporation became acquired by
JP Morgan Chase & Co in July 2004 (see ID13).
53 Macroeconomic Advisers Mar 00βOct 06 priv. Priv. reseach facility with a specializationfor macroeconomic forecasting.
54 Economy.comMoodyβs Economy.com
Feb 01βOct 06 priv. Moodyβs Economy.com is a private researchcompany
55 Econ Intelligence Unit Nov 93βOct 06 priv. Forecasting division of the Economist56 Swiss Re Apr 05βOct 06 priv. Reinsurance Company
Excluded from sample (less than 10 observations): Marine Midland, Mass Financial Services, Bank of Boston, Mellon Bank,and PNC Bank.
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Table 10: Recession Dates as Determined by ECRI: Business Cycle Method,1989β2009, available at: http://www.businesscycle.com/.
Country Peak Trough
Canada March 1990 March 1992France February 1992 August 1993
August 2002 May 2003February 2008
Germany January 1991 April 1994January 2001 August 2003April 2008
Italy February 1992 October 1993August 2008
Japan April 1992 February 1994March 1997 July 1999August 2000 April 2003February 2008
United Kingdom May 1990 March 1992May 2008
United States July 1990 March 1991March 2001 November 2001December 2007
Euro Areaβ 1992Q1 1993Q32008Q1
Note: β: Recession dates as determined by CEPRβs euro area business cycle dating com-mittee.
4 ECRI Recession Dates
18
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5 Monetary Policy Institutions
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Tab
le11
:M
onet
ary
Pol
icy
Sett
ing
inG
7C
ount
ries
,19
89β2
006
Countr
yIn
dep
enden
tC
entr
al
Bank
Inflati
on
Targ
etin
gG
oal
of
Monet
ary
Policy
Quanti
tati
ve
Inflati
on
Targ
etD
um
my
Vari
able
Sourc
e
Canada
De
fact
oin
dep
enden
tβSin
ceF
eb1991
Pri
ceSta
bilit
yB
etw
een
1%
and
3%
1fu
llsa
mple
1,
2
Fra
nceβ
Yes
,si
nce
Aug
4,
1993
No
Pri
ceSta
bilit
yN
o0
bef
ore
Aug
1993,
1oth
erw
ise
3,
4
Ger
manyβ
Yes
,si
nce
Aug
1,
1957
No
Safe
guard
ing
the
curr
ency
,kee
pin
gpri
cest
abilit
yβ‘
2%
(indir
ectl
y)οΏ½
1fu
llsa
mple
5,
6
Italyβ
Yes
,si
nce
Jan
1,
1994?
No
Exch
ange
rate
stabilit
yN
o0
bef
ore
Jan
1994,
1oth
erw
ise
7,
8
Japan
Yes
,si
nce
June
18,
1997
No
Pri
cest
abilit
yN
o0
bef
ore
July
1997,
1oth
erw
ise
9,
10
Unit
edK
ingdom
Yes
,si
nce
June
1,
1998
Sin
ceF
all
1992
Pri
cest
abilit
yand
supp
ort
of
gov
ern-
men
tβs
econom
icob
ject
ives
incl
udin
gth
ose
for
gro
wth
and
emplo
ym
ent
2%
(dec
ided
annually
by
Chance
llor
of
the
Exch
equer
0b
efore
June
1998,
1oth
erw
ise
11,
12
Unit
edSta
tes
Yes
,si
nce
Dec
23,
1913
No
Pri
cest
abilit
y,fu
llem
plo
ym
ent,
sus-
tain
able
econom
icgro
wth
No
1fu
llsa
mple
13
Euro
Are
aβE
CB
Yes
,si
nce
June
1,
1998
No
Pri
ceSta
bilit
yB
elow
but
close
to2%
Not
applica
ble
14,
15
Note
s:*:
Bank
of
Canada
was
tech
nic
ally
indep
enden
tuntil
1967
and
has
bee
nde
jure
dep
enden
ton
the
Min
iste
rof
Fin
ance
since
then
.β :
Ref
ers
toth
ep
erio
db
efore
the
countr
yjo
ined
the
euro
are
a.β‘:
Safe
guard
ing
the
curr
ency
by
regula
ting
the
am
ount
of
money
inci
rcula
tion
and
of
cred
itsu
pplied
toth
eec
onom
y.B
ykee
pin
gpurc
hasi
ng
pow
erst
able
,th
ece
ntr
al
bank
ina
mark
etec
onom
ycr
eate
sth
em
onet
ary
condit
ions
per
mit
ting
the
main
tenance
of
ahig
hle
vel
of
emplo
ym
ent
over
the
longer
term
,w
ith
stea
dy
econom
icgro
wth
(see
Sourc
e6,
p.
66).οΏ½:
The
Bundes
bank
was
targ
etin
gm
onet
ary
gro
wth
consi
sten
tw
ith
the
bankβs
long-r
un
des
ired
rate
of
inflati
on,
norm
ally
2p
erce
nt
per
yea
r,se
eso
urc
e6,
p.
81.?:
Form
ally
since
Feb
7,
1992,
how
ever
,gra
nti
ng
of
indep
enden
cew
as
effec
tivel
ynot
com
ple
ted
unti
l1994.
Sourc
es:
1:http://www.bankofcanada.ca/en/speeches/2000/sp00-6.pdf;
2:http://www.bankofcanada.ca/en/monetary/inflation_target.
html;
3:
http://www.banque-france.fr/gb/instit/histoire/histor5.htm;
4:
http://www.banquedefrance.fr/gb/publications/telechar/
bulletin/17etud1.pdf;
5:http://bundesrecht.juris.de/bundesrecht/bbankg/gesamt.pdf;
6:http://www.bundesbank.de/download/presse/
publikationen/geldpolitik_bundesbank_199610_en.pdf;
7:http://www.bancaditalia.it/bancaditalia/storia/europa/;
8:http://www.bos.
frb.org/economic/neer/neer2002/neer202h.pdf;
9:http://www.boj.or.jp/en/type/law/bojlaws/bojlaw1.htm;
10:http://www.boj.or.jp/
en/type/exp/about/expboj.htm;
11:http://www.bankofengland.co.uk/monetarypolicy/history.htm;
12:http://www.bankofengland.co.uk/
publications/speeches/1998/speech27.pdf;
13:http://www.federalreserve.gov/aboutthefed/section2a.htm;
14:http://www.ecb.int/ecb/
legal/pdf/maastricht_en.pdf;
15:http://www.ecb.int/press/pr/date/2003/html/pr030508_2.en.html.
Dow
nlo
aded
on
Dec
emb
er8,
2008.
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6 Additional Descriptive Statistics about the DataSet and Data Issues
6.1 Original, Interpolated, Extrapolated and Missing Obser-vations
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Table 12: Original, Interpolated, Extrapolated and Missing ObservationsAveraged Across Respondents and Time, by Country and Variable
Expectations about the Current Year Expectations about the Next Year
ID Orig Int Extr Miss Total Orig Int Extr Miss Total
cninfl 105.5 8.9 2.1 97.5 214.0 104.4 8.7 2.9 98.0 214.0cngdp 105.7 8.8 2.0 97.4 214.0 104.8 8.6 2.7 98.0 214.0cnip 49.9 6.7 2.0 155.4 214.0 49.5 6.2 2.0 156.3 214.0cninv 104.1 9.4 2.0 98.5 214.0 103.2 9.3 2.8 98.7 214.0cncons 105.4 9.0 2.0 97.6 214.0 104.4 8.8 2.8 98.1 214.0cnun 105.3 9.2 2.1 97.4 214.0 104.3 8.9 2.9 98.0 214.0cnr3m 103.9 9.7 2.1 98.2 214.0 103.7 9.7 2.3 98.3 214.0frinfl 100.5 7.5 1.8 104.2 214.0 92.1 7.5 3.4 111.1 214.0frgdp 100.9 7.3 1.8 104.0 214.0 92.8 7.4 3.3 110.5 214.0frip 70.8 7.4 2.1 133.8 214.0 64.2 7.4 2.9 139.6 214.0frinv 98.6 7.6 1.8 106.0 214.0 90.3 7.8 3.3 112.6 214.0frcons 100.9 7.2 1.9 104.0 214.0 92.6 7.5 3.3 110.6 214.0frun 100.2 7.7 1.8 104.4 214.0 91.2 8.2 3.4 111.1 214.0frr3m 93.1 7.5 1.8 111.6 214.0 92.4 7.7 2.2 111.6 214.0geinfl 131.3 8.3 1.7 72.7 214.0 126.0 7.5 3.3 77.2 214.0gegdp 130.2 8.2 1.5 74.1 214.0 124.8 7.2 3.0 79.0 214.0geip 122.1 7.6 1.7 82.5 214.0 116.9 7.0 3.3 86.8 214.0geinv 129.5 8.6 1.6 74.2 214.0 123.9 7.8 3.2 79.1 214.0gecons 131.0 8.0 1.5 73.5 214.0 125.8 7.5 2.9 77.7 214.0geun 129.3 8.7 1.8 74.1 214.0 123.4 8.2 3.4 79.0 214.0ger3m 116.4 7.4 1.6 88.6 214.0 115.3 8.0 1.7 89.0 214.0itinfl 89.8 7.5 1.4 115.3 214.0 86.6 7.5 1.9 117.9 214.0itgdp 90.0 7.4 1.4 115.3 214.0 86.9 7.4 1.9 117.7 214.0itip 74.1 6.4 1.5 132.0 214.0 71.5 6.0 1.9 134.6 214.0itinv 89.8 7.5 1.4 115.4 214.0 86.6 7.5 1.9 117.9 214.0itcons 89.8 7.4 1.4 115.5 214.0 86.6 7.5 1.9 118.0 214.0itun 85.2 8.5 1.5 118.7 214.0 82.3 8.3 1.9 121.5 214.0itr3m 70.2 7.7 1.5 134.7 214.0 69.8 7.8 1.6 134.7 214.0jpinfl 99.0 10.0 3.3 101.7 214.0 80.2 9.2 4.3 120.3 214.0jpgdp 100.0 9.8 3.2 101.0 214.0 81.2 8.9 4.2 119.8 214.0jpip 98.7 10.4 3.2 101.8 214.0 80.0 8.6 4.1 121.3 214.0jpinv 97.4 10.2 3.3 103.1 214.0 79.0 8.8 4.3 121.8 214.0jpcons 99.9 9.9 3.2 101.0 214.0 81.1 8.8 4.2 119.8 214.0jpun 94.3 10.7 3.3 105.7 214.0 78.0 9.8 4.3 121.9 214.0jpr3m 86.4 11.5 3.5 112.6 214.0 80.3 13.7 3.9 116.2 214.0ukinfl 104.6 10.7 2.9 95.8 214.0 104.2 10.5 3.4 95.9 214.0ukgdp 105.8 10.4 2.7 95.1 214.0 105.4 10.3 3.2 95.2 214.0ukip 98.1 10.1 2.9 102.9 214.0 97.8 10.0 3.3 102.9 214.0ukinv 101.8 10.6 2.8 98.8 214.0 101.4 10.5 3.2 99.0 214.0ukcons 104.4 10.3 2.8 96.5 214.0 104.0 10.2 3.2 96.6 214.0ukun 102.4 10.9 3.1 97.7 214.0 101.9 10.8 3.6 97.8 214.0ukr3m 95.6 12.4 3.2 102.8 214.0 95.8 12.6 3.2 102.3 214.0usinfl 94.7 9.2 2.3 107.9 214.0 90.8 9.1 3.1 110.9 214.0usgdp 94.7 9.0 2.3 107.9 214.0 91.1 9.0 3.0 110.8 214.0usip 92.3 9.3 2.7 109.7 214.0 88.4 9.0 3.4 113.2 214.0usinv 93.8 9.2 2.4 108.6 214.0 89.8 9.1 3.1 112.0 214.0uscons 94.3 9.2 2.4 108.1 214.0 90.4 9.0 3.1 111.5 214.0usun 94.7 9.1 2.3 107.9 214.0 90.9 9.0 3.1 111.1 214.0usr3m 85.5 10.5 2.7 115.3 214.0 84.3 10.8 2.9 116.0 214.0
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6.2 Descriptive Statistics about the Dataset and Macro Vari-ables
6.3 Descriptive Statistics on Disagreement and Uncertainty
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Table 13: Dataset and Macro StatisticsβINFL, Disagr Measure: IQR
Statistic Full Sample Pre-1999 1999+ Booms Recessions
CNAverage # Forecasters 16.40 17.27 15.38 16.09 18.64
Average Forecast Errorβ 0.21 0.62 β0.34 0.01 1.61Average MSE 1.87 2.28 1.31 1.21 6.26Average Disagreement 0.34 0.37 0.30 0.32 0.43Average Level of INFL 2.31 2.33 2.28 1.97 4.74Variance of INFL 2.05 3.18 0.72 1.11 2.10
FRAverage # Forecasters 18.07 16.68 19.71 18.23 17.10
Average Forecast Errorβ 0.15 0.54 β0.37 0.10 0.45Average MSE 0.43 0.52 0.31 0.41 0.59Average Disagreement 0.21 0.21 0.21 0.21 0.22Average Level of INFL 1.89 2.07 1.69 1.84 2.20Variance of INFL 0.59 0.77 0.30 0.65 0.13
GEAverage # Forecasters 28.02 26.38 29.96 29.11 26.00
Average Forecast Errorβ β0.01 0.13 β0.19 0.03 β0.08Average MSE 0.81 1.14 0.37 0.68 1.04Average Disagreement 0.24 0.23 0.27 0.24 0.25Average Level of INFL 2.19 2.79 1.47 1.69 3.10Variance of INFL 1.73 2.13 0.31 0.46 2.77
ITAverage # Forecasters 14.53 12.16 17.32 14.86 11.62
Average Forecast Errorβ 0.04 0.34 β0.38 β0.06 0.81ββ
Average MSE 0.75 1.05 0.34 0.74 0.79Average Disagreement 0.26 0.33 0.17 0.24 0.41Average Level of INFL 3.49 4.49 2.31 3.32 4.96Variance of INFL 2.62 2.53 0.16 2.63 0.14
JPAverage # Forecasters 18.27 18.51 17.99 18.54 17.89
Average Forecast Errorβ 0.14 0.22 0.04 0.01 0.32Average MSE 0.66 0.90 0.33 0.80 0.47Average Disagreement 0.33 0.40 0.25 0.31 0.36Average Level of INFL 0.59 1.42 β0.39 0.72 0.41Variance of INFL 1.76 1.56 0.22 1.99 1.38
UKAverage # Forecasters 32.84 36.68 28.31 32.61 34.65
Average Forecast Errorβ 0.28 0.59 β0.14 0.06 1.89βββ
Average MSE 1.19 1.87 0.27 0.81 4.01Average Disagreement 0.38 0.50 0.24 0.37 0.50Average Level of INFL 3.20 3.92 2.34 2.70 7.13Variance of INFL 3.96 6.06 0.13 1.40 6.83
USAverage # Forecasters 28.16 28.29 28.00 28.30 26.67
Average Forecast Errorβ 0.05 0.42 β0.44 β0.07 1.28β
Average MSE 0.92 0.72 1.19 0.80 2.11Average Disagreement 0.33 0.33 0.33 0.32 0.43Average Level of INFL 2.94 3.14 2.70 2.81 4.26Variance of INFL 1.08 1.32 0.71 0.78 2.38
Estimated: 6 Apr 2009, 15:50:47Notes: Averages taken across forecasters and time periods. β : {*,**,***}=Statistical significance
at {10,5,1} percent.
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Table 14: Dataset and Macro StatisticsβGDP, Disagr Measure: IQR
Statistic Full Sample Pre-1999 1999+ Booms Recessions
CNAverage # Forecasters 16.41 17.27 15.40 16.11 18.64
Average Forecast Errorβ β0.02 β0.01 β0.04 β0.23 1.36Average MSE 3.52 4.25 2.53 3.29 5.10Average Disagreement 0.46 0.53 0.38 0.43 0.66Average Level of GDP 2.65 2.09 3.31 3.15 β0.93Variance of GDP 3.98 4.86 2.13 2.20 2.18
FRAverage # Forecasters 18.18 16.82 19.79 18.36 17.10
Average Forecast Errorβ 0.45 0.55 0.32 0.36 0.96Average MSE 2.06 2.43 1.57 1.76 3.77Average Disagreement 0.30 0.29 0.32 0.30 0.32Average Level of GDP 1.85 1.69 2.04 2.02 0.78Variance of GDP 1.49 1.65 1.23 1.28 1.45
GEAverage # Forecasters 27.65 25.69 29.96 28.54 26.00
Average Forecast Errorβ 0.17 β0.02 0.42 β0.06 0.54Average MSE 3.10 3.71 2.27 2.47 4.15Average Disagreement 0.34 0.38 0.29 0.30 0.42Average Level of GDP 1.85 2.27 1.36 2.22 1.17Variance of GDP 3.38 4.34 1.79 2.43 4.41
ITAverage # Forecasters 14.56 12.19 17.35 14.89 11.62
Average Forecast Errorβ 0.59 0.65 0.52 0.59 0.59Average MSE 2.82 3.16 2.35 2.65 4.23Average Disagreement 0.26 0.26 0.27 0.25 0.36Average Level of GDP 1.37 1.42 1.32 1.56 β0.25Variance of GDP 1.90 2.01 1.76 1.62 1.34
JPAverage # Forecasters 18.39 18.45 18.31 18.67 17.99
Average Forecast Errorβ 0.38 1.18 β0.69 0.33 0.45Average MSE 3.63 3.14 4.30 2.10 5.58Average Disagreement 0.69 0.67 0.71 0.60 0.81Average Level of GDP 1.46 1.52 1.38 2.28 0.30Variance of GDP 3.34 4.36 2.13 2.70 1.94
UKAverage # Forecasters 33.03 36.67 28.74 32.83 34.65
Average Forecast Errorβ β0.26 β0.23 β0.32 β0.42 0.89Average MSE 1.90 2.24 1.45 1.78 2.81Average Disagreement 0.43 0.52 0.34 0.41 0.67Average Level of GDP 2.33 2.00 2.73 2.71 β0.66Variance of GDP 2.02 3.08 0.48 0.88 0.92
USAverage # Forecasters 28.19 28.27 28.09 28.31 26.89
Average Forecast Errorβ β0.25 β0.81 0.49 β0.29 0.12Average MSE 2.59 2.76 2.36 2.63 2.27Average Disagreement 0.38 0.37 0.39 0.36 0.61Average Level of GDP 2.89 2.86 2.93 3.10 0.72Variance of GDP 2.03 2.30 1.72 1.69 0.42
Estimated: 6 Apr 2009, 16:02:12Notes: Averages taken across forecasters and time periods. β : {*,**,***}=Statistical significance
at {10,5,1} percent.
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Table 15: Dataset and Macro StatisticsβR3M, Disagr Measure: IQR
Statistic Full Sample Pre-1999 1999+ Booms Recessions
CNAverage # Forecasters 16.36 17.35 15.19 16.04 18.64
Average Forecast Errorβ 0.55 0.51 0.60 0.36 1.85β
Average MSE 2.71 3.39 1.79 2.44 4.51Average Disagreement 0.76 0.93 0.56 0.71 1.07Average Level of R3M 5.35 6.77 3.67 4.64 10.45Variance of R3M 7.76 8.69 1.49 3.95 5.54
FRAverage # Forecasters 17.98 16.66 19.53 18.01 17.76
Average Forecast Errorβ 0.03 β0.08 0.18 β0.06 0.56Average MSE 1.39 1.76 0.89 1.36 1.57Average Disagreement 0.50 0.55 0.44 0.47 0.71Average Level of R3M 5.20 7.01 3.07 4.82 7.54Variance of R3M 8.64 8.14 0.81 6.94 12.64
GEAverage # Forecasters 25.61 23.72 27.84 26.26 24.42
Average Forecast Errorβ 0.25 0.23 0.27 0.12 0.45Average MSE 0.93 0.93 0.93 0.91 0.96Average Disagreement 0.46 0.52 0.39 0.42 0.53Average Level of R3M 4.72 6.13 3.07 3.93 6.20Variance of R3M 5.97 6.06 0.81 3.40 7.37
ITAverage # Forecasters 11.99 10.15 14.15 12.27 9.48
Average Forecast Errorβ 0.20 0.13 0.29 β0.02 2.02Average MSE 2.53 3.74 0.89 1.93 7.50Average Disagreement 0.58 0.75 0.38 0.55 0.87Average Level of R3M 6.76 9.89 3.07 6.12 12.42Variance of R3M 16.29 8.06 0.81 13.41 5.86
JPAverage # Forecasters 19.09 20.46 17.48 18.88 19.39
Average Forecast Errorβ 0.48 0.74 0.11 0.51 0.43Average MSE 1.00 1.70 0.05 1.44 0.43Average Disagreement 0.27 0.40 0.13 0.30 0.24Average Level of R3M 1.78 3.19 0.12 2.22 1.16Variance of R3M 6.37 7.42 0.02 8.95 2.08
UKAverage # Forecasters 31.05 35.13 26.23 30.56 34.91
Average Forecast Errorβ 0.57 0.66 0.44 0.46 1.41Average MSE 1.60 2.01 1.05 1.41 3.04Average Disagreement 0.71 0.87 0.53 0.67 1.04Average Level of R3M 6.75 8.43 4.77 6.03 12.45Variance of R3M 9.08 10.11 0.61 5.20 3.24
USAverage # Forecasters 26.77 26.65 26.90 26.80 26.39
Average Forecast Errorβ 0.35 0.26 0.46 0.18 1.94βββ
Average MSE 2.14 1.57 2.91 1.96 3.88Average Disagreement 0.56 0.56 0.57 0.55 0.68Average Level of R3M 4.55 5.40 3.54 4.45 5.54Variance of R3M 3.77 2.21 3.72 3.57 4.76
Estimated: 6 Apr 2009, 16:13:30Notes: Averages taken across forecasters and time periods. β : {*,**,***}=Statistical significance
at {10,5,1} percent.
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Table 16: Dataset and Macro StatisticsβCONS, Disagr Measure: IQR
Statistic Full Sample Pre-1999 1999+ Booms Recessions
CNAverage # Forecasters 16.40 17.24 15.40 16.11 18.52
Average Forecast Errorβ β0.23 β0.02 β0.52 β0.38 0.75Average MSE 2.23 2.90 1.32 1.95 4.12Average Disagreement 0.47 0.53 0.41 0.44 0.71Average Level of CONS 2.68 2.01 3.47 3.08 β0.18Variance of CONS 2.39 2.99 0.53 0.99 3.16
FRAverage # Forecasters 18.16 16.81 19.76 18.34 17.10
Average Forecast Errorβ 0.16 0.51 β0.32 0.02 0.96Average MSE 1.66 2.47 0.56 1.49 2.61Average Disagreement 0.31 0.29 0.32 0.30 0.34Average Level of CONS 2.03 1.46 2.69 2.19 1.04Variance of CONS 1.54 1.77 0.45 1.41 1.20
GEAverage # Forecasters 27.90 26.28 29.82 28.94 25.99
Average Forecast Errorβ β0.06 β0.71 0.82 β0.13 0.05Average MSE 2.38 2.78 1.84 1.59 3.71Average Disagreement 0.40 0.41 0.39 0.37 0.46Average Level of CONS 1.71 2.36 0.94 1.65 1.81Variance of CONS 2.77 2.59 1.90 2.12 3.96
ITAverage # Forecasters 14.51 12.16 17.29 14.84 11.62
Average Forecast Errorβ 0.40 0.08 0.83 0.22 1.88Average MSE 3.90 5.47 1.78 2.59 14.63Average Disagreement 0.34 0.36 0.33 0.32 0.52Average Level of CONS 1.43 1.62 1.21 1.69 β0.81Variance of CONS 2.91 4.45 1.00 1.70 7.93
JPAverage # Forecasters 18.37 18.53 18.18 18.67 17.95
Average Forecast Errorβ 0.18 0.62 β0.41 0.45 β0.17Average MSE 2.19 2.96 1.14 2.34 2.00Average Disagreement 0.65 0.64 0.67 0.57 0.78Average Level of CONS 1.71 2.12 1.22 2.27 0.92Variance of CONS 2.55 3.84 0.59 2.47 1.60
UKAverage # Forecasters 32.65 36.17 28.49 32.31 35.35
Average Forecast Errorβ β0.26 β0.22 β0.33 β0.44 1.03Average MSE 2.46 3.01 1.72 2.12 4.97Average Disagreement 0.55 0.58 0.50 0.53 0.72Average Level of CONS 2.59 2.08 3.19 3.01 β0.78Variance of CONS 2.71 3.32 1.33 1.27 1.35
USAverage # Forecasters 28.00 28.10 27.89 28.13 26.67
Average Forecast Errorβ β0.54 β0.95 0.03 β0.55 β0.38Average MSE 1.86 2.61 0.84 1.88 1.69Average Disagreement 0.38 0.38 0.39 0.37 0.58Average Level of CONS 3.23 3.04 3.45 3.38 1.61Variance of CONS 1.46 1.78 0.98 1.21 1.19
Estimated: 6 Apr 2009, 16:24:52Notes: Averages taken across forecasters and time periods. β : {*,**,***}=Statistical significance
at {10,5,1} percent.
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Table 17: Dataset and Macro StatisticsβINV, Disagr Measure: IQR
Statistic Full Sample Pre-1999 1999+ Booms Recessions
CNAverage # Forecasters 16.29 17.22 15.20 16.00 18.40
Average Forecast Errorβ 2.43 3.69 0.73 2.24 3.68Average MSE 46.67 67.27 18.78 46.31 49.03Average Disagreement 2.60 2.85 2.31 2.61 2.56Average Level of INV 3.66 1.68 6.01 4.80 β4.50Variance of INV 35.83 50.70 8.12 27.50 19.96
FRAverage # Forecasters 17.81 16.81 19.00 17.93 17.10
Average Forecast Errorβ 1.38 2.16 0.33 1.44 1.05Average MSE 20.90 24.94 15.43 19.75 27.36Average Disagreement 1.17 1.17 1.17 1.17 1.17Average Level of INV 2.26 0.89 3.87 3.11 β2.89Variance of INV 15.07 15.41 9.85 11.23 7.43
GEAverage # Forecasters 27.64 26.28 29.24 28.56 25.94
Average Forecast Errorβ 2.61 1.79 3.72 2.91 2.10Average MSE 32.41 25.64 41.58 27.30 41.00Average Disagreement 1.56 1.39 1.76 1.46 1.74Average Level of INV 1.67 2.62 0.55 2.88 β0.57Variance of INV 19.73 18.28 19.14 12.50 25.35
ITAverage # Forecasters 14.53 12.14 17.35 14.86 11.62
Average Forecast Errorβ 1.35 1.92 0.57 0.80 5.84Average MSE 22.20 32.68 8.02 13.60 92.67Average Disagreement 1.01 1.07 0.94 0.98 1.25Average Level of INV 1.81 1.06 2.69 2.77 β6.62Variance of INV 22.32 33.25 7.98 12.68 27.74
JPAverage # Forecasters 17.98 18.38 17.51 18.28 17.55
Average Forecast Errorβ 1.74 1.88 1.64 1.64 1.85Average MSE 42.06 51.08 35.45 24.12 63.91Average Disagreement 2.42 2.26 2.61 2.30 2.60Average Level of INV β0.19 β0.53 β0.02 1.83 β2.80Variance of INV 13.84 23.39 8.87 3.89 14.59
UKAverage # Forecasters 31.99 35.58 27.74 31.56 35.35
Average Forecast Errorβ β0.57 β0.54 β0.61 β0.79 1.05Average MSE 16.89 21.22 11.02 15.25 29.00Average Disagreement 1.66 1.79 1.49 1.57 2.37Average Level of INV 2.89 2.47 3.39 3.94 β5.38Variance of INV 23.31 35.84 8.05 15.43 8.58
USAverage # Forecasters 27.86 28.14 27.54 27.98 26.67
Average Forecast Errorβ 1.31 0.03 3.05 1.21 2.29Average MSE 23.66 14.70 35.78 23.48 25.38Average Disagreement 1.93 1.93 1.94 1.84 2.86Average Level of INV 4.13 4.77 3.37 4.83 β3.17Variance of INV 20.11 21.10 17.87 15.90 5.42
Estimated: 6 Apr 2009, 16:36:22Notes: Averages taken across forecasters and time periods. β : {*,**,***}=Statistical significance
at {10,5,1} percent.
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Table 18: Dataset and Macro StatisticsβUN, Disagr Measure: IQR
Statistic Full Sample Pre-1999 1999+ Booms Recessions
CNAverage # Forecasters 16.41 17.27 15.40 16.11 18.64
Average Forecast Errorβ β0.02 β0.14 0.16 0.20 β1.49ββ
Average MSE 0.81 1.11 0.40 0.55 2.56Average Disagreement 0.29 0.36 0.22 0.27 0.45Average Level of UN 8.54 9.71 7.16 8.41 9.51Variance of UN 2.50 1.44 0.24 2.52 1.34
FRAverage # Forecasters 18.07 16.68 19.70 18.26 16.93
Average Forecast Errorβ 0.43 0.40 0.48 0.63 β0.68Average MSE 0.89 0.92 0.85 0.93 0.65Average Disagreement 0.24 0.24 0.24 0.24 0.27Average Level of UN 9.98 10.55 9.31 10.00 9.89Variance of UN 1.30 1.36 0.40 1.42 0.56
GEAverage # Forecasters 27.65 25.99 29.62 28.85 25.44
Average Forecast Errorβ 0.05 0.28 β0.28 0.01 0.11Average MSE 1.09 1.43 0.63 1.25 0.83Average Disagreement 0.41 0.53 0.27 0.29 0.63Average Level of UN 9.58 8.91 10.36 10.10 8.63Variance of UN 2.79 3.70 0.56 2.19 2.48
ITAverage # Forecasters 13.99 11.37 17.07 14.54 9.14
Average Forecast Errorβ 0.79 0.59 1.08βββ 0.80 0.76Average MSE 0.97 0.71 1.33 0.97 1.01Average Disagreement 0.33 0.38 0.28 0.31 0.51Average Level of UN 9.95 10.94 8.79 9.93 10.10Variance of UN 2.06 0.38 1.54 2.21 0.70
JPAverage # Forecasters 17.98 17.84 18.14 18.28 17.54
Average Forecast Errorβ β0.01 β0.19 0.23 0.12 β0.18Average MSE 0.18 0.14 0.23 0.11 0.26Average Disagreement 0.25 0.22 0.28 0.23 0.27Average Level of UN 3.75 2.84 4.81 3.55 4.02Variance of UN 1.28 0.46 0.16 1.14 1.35
UKAverage # Forecasters 32.32 36.66 27.19 31.93 35.35
Average Forecast Errorβ 0.63 0.76 0.46 0.85 β0.94Average MSE 1.21 1.82 0.38 1.20 1.29Average Disagreement 0.31 0.38 0.22 0.28 0.52Average Level of UN 5.34 7.19 3.15 5.13 7.05Variance of UN 5.88 3.20 0.21 6.00 1.60
USAverage # Forecasters 28.12 28.24 27.97 28.24 26.83
Average Forecast Errorβ 0.07 0.14 β0.01 0.18 β0.92βββ
Average MSE 0.42 0.47 0.36 0.37 0.95Average Disagreement 0.22 0.22 0.21 0.21 0.31Average Level of UN 5.50 5.92 5.00 5.50 5.44Variance of UN 0.93 0.90 0.51 0.96 0.64
Estimated: 6 Apr 2009, 16:47:51Notes: Averages taken across forecasters and time periods. β : {*,**,***}=Statistical significance
at {10,5,1} percent.
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Table 19: Dataset and Macro StatisticsβIP, Disagr Measure: IQR
Statistic Full Sample Pre-1999 1999+ Booms Recessions
CNAverage # Forecasters 8.15 8.96 7.19 7.87 10.20
Average Forecast Errorβ 0.63 0.25 1.16 0.56 1.11Average MSE 15.24 10.05 22.27 16.16 9.06Average Disagreement 1.24 1.40 1.05 1.20 1.52Average Level of IP 2.17 2.27 2.05 2.84 β2.68Variance of IP 15.75 14.53 17.16 13.41 5.88
FRAverage # Forecasters 13.07 13.10 13.04 13.05 13.21
Average Forecast Errorβ 1.17 1.13 1.22 1.17 1.19Average MSE 11.86 15.39 7.10 10.65 18.71Average Disagreement 0.75 0.72 0.79 0.74 0.81Average Level of IP 1.18 1.19 1.18 1.74 β2.21Variance of IP 7.91 10.75 4.55 6.27 4.43
GEAverage # Forecasters 26.03 25.68 26.46 26.74 24.72
Average Forecast Errorβ 0.67 1.40 β0.31 0.10 1.64Average MSE 18.09 21.94 12.89 11.63 28.95Average Disagreement 0.81 0.76 0.86 0.74 0.93Average Level of IP 1.63 1.13 2.22 3.13 β1.14Variance of IP 14.39 18.17 9.28 6.08 17.90
ITAverage # Forecasters 12.00 10.20 14.14 12.28 9.62
Average Forecast Errorβ 1.39 1.23 1.62 1.62 β0.45Average MSE 17.86 22.09 12.13 16.96 25.21Average Disagreement 0.75 0.70 0.81 0.75 0.74Average Level of IP 0.78 1.28 0.17 1.08 β1.91Variance of IP 11.76 15.52 6.66 11.66 4.60
JPAverage # Forecasters 18.06 17.97 18.17 18.44 17.53
Average Forecast Errorβ 0.95 1.83 β0.25 1.45 0.30Average MSE 36.21 30.67 43.71 22.69 53.39Average Disagreement 1.71 1.60 1.84 1.53 1.96Average Level of IP 0.81 0.22 1.51 3.05 β2.34Variance of IP 22.66 20.94 23.79 6.80 28.01
UKAverage # Forecasters 30.89 35.54 25.39 30.32 35.35
Average Forecast Errorβ 0.95 0.57 1.47 0.96 0.92Average MSE 7.35 6.68 8.26 6.99 10.03Average Disagreement 0.89 0.98 0.79 0.85 1.25Average Level of IP 0.50 1.09 β0.21 0.81 β2.01Variance of IP 5.16 5.76 3.53 4.38 4.34
USAverage # Forecasters 27.53 27.47 27.61 27.64 26.39
Average Forecast Errorβ β0.26 β1.31 1.17 β0.25 β0.35Average MSE 9.81 7.18 13.37 10.10 6.98Average Disagreement 0.84 0.79 0.91 0.82 1.08Average Level of IP 2.93 3.66 2.07 3.40 β2.01Variance of IP 8.99 7.93 8.87 6.59 7.21
Estimated: 6 Apr 2009, 16:59:17Notes: Averages taken across forecasters and time periods. β : {*,**,***}=Statistical significance
at {10,5,1} percent.
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Table 20: Average Disagreement Across Countries and Variables
Variable Canada France Germany Italy Japan UK US Mean
Full SampleββAbsolute AverageInflation 0.34 0.21 0.24 0.26 0.33 0.38 0.33 0.30Interest Rate 0.76 0.50 0.46 0.58 0.27 0.71 0.56 0.55GDP 0.46 0.30 0.34 0.26 0.69 0.43 0.38 0.41Consumption 0.47 0.31 0.40 0.34 0.65 0.55 0.38 0.44Investment 2.60 1.17 1.56 1.01 2.42 1.66 1.93 1.76Unemployment 0.29 0.24 0.41 0.33 0.25 0.31 0.22 0.29
Boomsβ
Inflation 0.96 0.99 0.99 0.93 0.94 0.96 0.97 0.97Interest Rate 0.94 0.93 0.91 0.94 1.09 0.94 0.98 0.98GDP 0.94 0.99 0.88 0.96 0.88 0.93 0.94 0.90Consumption 0.93 0.98 0.92 0.94 0.87 0.96 0.95 0.92Investment 1.00 1.00 0.94 0.97 0.95 0.95 0.95 0.95Unemployment 0.93 0.98 0.70 0.94 0.93 0.91 0.96 0.89
Recessionsβ
Inflation 1.26 1.03 1.01 1.58 1.09 1.31 1.29 1.14Interest Rate 1.42 1.42 1.16 1.50 0.88 1.45 1.20 1.07GDP 1.44 1.06 1.22 1.36 1.18 1.53 1.62 1.42Consumption 1.50 1.12 1.14 1.51 1.18 1.32 1.51 1.36Investment 0.98 1.00 1.12 1.24 1.07 1.43 1.48 1.20Unemployment 1.54 1.13 1.55 1.54 1.10 1.71 1.40 1.46
Pre-1999β
Inflation 1.10 1.01 0.92 1.28 1.20 1.32 1.00 1.13Interest Rate 1.22 1.11 1.13 1.29 1.45 1.22 0.99 1.19GDP 1.15 0.95 1.12 1.00 0.98 1.19 0.98 1.05Consumption 1.12 0.96 1.02 1.04 0.99 1.07 0.99 1.03Investment 1.09 1.00 0.89 1.06 0.93 1.08 1.00 1.01Unemployment 1.22 1.01 1.30 1.14 0.90 1.23 1.02 1.14
1999+β
Inflation 0.89 0.98 1.09 0.67 0.77 0.62 0.99 0.84Interest Rate 0.74 0.87 0.85 0.65 0.47 0.74 1.01 0.78GDP 0.82 1.06 0.86 1.01 1.03 0.78 1.03 0.94Consumption 0.86 1.05 0.98 0.95 1.02 0.92 1.01 0.97Investment 0.89 1.00 1.13 0.93 1.08 0.90 1.00 0.99Unemployment 0.74 0.99 0.65 0.84 1.11 0.73 0.97 0.84
Notes: Grey cells indicate relative averages β₯ 1.00. *: Absolute average (across the full sample).
β : Averages relative to full-sample averages (shown in the top panel). Disagreement measure:
cross-sectional IQR. All averages taken across time periods.
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Table 21: Average Disagreement Across Countries and Variables
Variable Canada France Germany Italy Japan UK US Mean
Full SampleββAbsolute AverageInflation 0.34 0.21 0.24 0.26 0.33 0.38 0.33 0.30Interest Rate 0.76 0.50 0.46 0.58 0.27 0.71 0.56 0.55GDP 0.46 0.30 0.34 0.26 0.69 0.43 0.38 0.41Consumption 0.47 0.31 0.40 0.34 0.65 0.55 0.38 0.44Investment 2.60 1.17 1.56 1.01 2.42 1.66 1.93 1.76Unemployment 0.29 0.24 0.41 0.33 0.25 0.31 0.22 0.29
Boomsβ
Inflation 0.96 0.99 0.99 0.93 0.94 0.96 0.97 0.97Interest Rate 0.94 0.93 0.91 0.94 1.09 0.94 0.98 0.98GDP 0.94 0.99 0.88 0.96 0.88 0.93 0.94 0.90Consumption 0.93 0.98 0.92 0.94 0.87 0.96 0.95 0.92Investment 1.00 1.00 0.94 0.97 0.95 0.95 0.95 0.95Unemployment 0.93 0.98 0.70 0.94 0.93 0.91 0.96 0.89
Recessionsβ
Inflation 1.26 1.03 1.01 1.58 1.09 1.31 1.29 1.14Interest Rate 1.42 1.42 1.16 1.50 0.88 1.45 1.20 1.07GDP 1.44 1.06 1.22 1.36 1.18 1.53 1.62 1.42Consumption 1.50 1.12 1.14 1.51 1.18 1.32 1.51 1.36Investment 0.98 1.00 1.12 1.24 1.07 1.43 1.48 1.20Unemployment 1.54 1.13 1.55 1.54 1.10 1.71 1.40 1.46
Pre-1999β
Inflation 1.10 1.01 0.92 1.28 1.20 1.32 1.00 1.13Interest Rate 1.22 1.11 1.13 1.29 1.45 1.22 0.99 1.19GDP 1.15 0.95 1.12 1.00 0.98 1.19 0.98 1.05Consumption 1.12 0.96 1.02 1.04 0.99 1.07 0.99 1.03Investment 1.09 1.00 0.89 1.06 0.93 1.08 1.00 1.01Unemployment 1.22 1.01 1.30 1.14 0.90 1.23 1.02 1.14
1999+β
Inflation 0.89 0.98 1.09 0.67 0.77 0.62 0.99 0.84Interest Rate 0.74 0.87 0.85 0.65 0.47 0.74 1.01 0.78GDP 0.82 1.06 0.86 1.01 1.03 0.78 1.03 0.94Consumption 0.86 1.05 0.98 0.95 1.02 0.92 1.01 0.97Investment 0.89 1.00 1.13 0.93 1.08 0.90 1.00 0.99Unemployment 0.74 0.99 0.65 0.84 1.11 0.73 0.97 0.84
Notes: Grey cells indicate relative averages β₯ 1.00. *: Absolute average (across the full sample).
β : Averages relative to full-sample averages (shown in the top panel). Disagreement measure:
cross-sectional IQR. All averages taken across time periods.
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Table 22: Average Variance of the Permanent Component Ο2Ξ΅,t Across Coun-
tries and Variables
Variable Canada France Germany Italy Japan UK US Mean
Full SampleββAbsolute AverageInflation 0.14 0.04 0.06 0.03 0.08 0.06 0.09 0.07Interest Rate 0.11 0.08 0.03 0.16 0.02 0.05 0.04 0.07GDP 0.12 0.08 0.16 0.12 0.18 0.05 0.09 0.11Consumption 0.15 0.10 0.24 0.22 0.25 0.12 0.07 0.16Investment 1.89 0.34 1.28 1.41 0.79 1.23 0.56 1.09Unemployment 0.03 0.01 0.02 0.01 0.01 0.01 0.01 0.01
Boomsβ
Inflation 0.99 0.99 0.71 0.99 1.01 0.77 0.96 0.93Interest Rate 0.89 0.76 0.84 0.62 1.14 0.75 0.90 0.81GDP 0.89 0.94 0.83 0.97 0.83 0.82 0.95 0.85Consumption 0.80 1.04 0.70 0.85 1.07 0.90 0.93 0.84Investment 0.90 0.96 0.95 0.98 0.80 0.97 0.93 0.94Unemployment 0.87 0.92 1.00 0.77 1.00 0.74 0.93 0.89
Recessionsβ
Inflation 1.05 1.08 1.53 1.10 0.98 2.81 1.39 1.28Interest Rate 1.82 2.48 1.30 4.29 0.81 3.01 2.07 1.79GDP 1.76 1.34 1.31 1.31 1.23 2.41 1.57 1.64Consumption 2.43 0.76 1.56 2.32 0.90 1.81 1.69 1.68Investment 1.75 1.22 1.10 1.18 1.26 1.22 1.68 1.27Unemployment 1.96 1.51 1.00 3.01 1.00 3.04 1.72 1.45
Pre-1999β
Inflation 0.66 0.88 1.18 1.41 1.30 1.33 0.56 0.94Interest Rate 1.60 1.66 1.28 1.72 1.68 1.53 1.03 1.58GDP 1.18 1.06 1.33 1.23 0.88 1.38 1.16 1.15Consumption 1.42 1.51 1.34 1.40 1.43 1.31 1.16 1.38Investment 1.56 1.21 1.45 1.18 0.91 0.88 1.10 1.27Unemployment 1.44 1.08 1.07 1.21 0.69 1.67 1.09 1.26
1999+β
Inflation 1.40 1.14 0.79 0.52 0.65 0.61 1.52 1.07Interest Rate 0.29 0.22 0.66 0.15 0.20 0.37 0.96 0.31GDP 0.79 0.93 0.61 0.73 1.14 0.55 0.81 0.83Consumption 0.51 0.40 0.60 0.53 0.49 0.63 0.81 0.55Investment 0.34 0.75 0.47 0.79 1.05 1.14 0.88 0.70Unemployment 0.48 0.90 0.92 0.76 1.36 0.21 0.89 0.69
Notes: Grey cells indicate relative averages β₯ 1.00. *: Absolute average (across the full sample).
β : Averages relative to full-sample averages (shown in the top panel). All averages taken across
time periods.
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7 MCMC Diagnostics
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Table 23: MCMC Diagnostics
Perm Component Ο Var of Perm Component Ο2Ξ΅ Var of Trans Component Ο2
Ξ·
Variable Ser corrβV/N
βV/Nvarg(a)
(%) Ser corrβV/N
βV/Nvarg(a)
(%) Ser corrβV/N
βV/Nvarg(a)
(%)
CNINFL 0.09 0.0023 0.16 0.19 0.0016 1.06 0.61 0.0014 1.53FRINFL 0.11 0.0016 0.19 0.31 0.0011 1.44 0.57 0.0009 1.68GEINFL 0.08 0.0016 0.13 0.22 0.0011 1.22 0.56 0.0009 1.84ITINFL 0.06 0.0010 0.06 0.17 0.0007 1.15 0.50 0.0005 1.87JPINFL 0.10 0.0023 0.18 0.26 0.0015 1.41 0.58 0.0013 1.79UKINFL 0.09 0.0016 0.08 0.23 0.0011 1.09 0.58 0.0009 1.81USINFL 0.09 0.0017 0.16 0.17 0.0013 0.88 0.61 0.0011 1.57
CNR3M 0.03 0.0014 0.05 0.04 0.0012 0.73 0.59 0.0008 1.68FRR3M 0.05 0.0014 0.05 0.14 0.0011 0.66 0.53 0.0008 1.32GER3M 0.04 0.0010 0.04 0.10 0.0008 0.81 0.47 0.0005 1.44ITR3M 0.05 0.0017 0.04 0.12 0.0014 0.61 0.54 0.0010 1.27JPR3M 0.04 0.0008 0.03 0.17 0.0006 0.65 0.37 0.0003 1.41UKR3M 0.04 0.0013 0.04 0.10 0.0011 0.63 0.51 0.0007 1.21USR3M 0.04 0.0011 0.05 0.09 0.0009 0.80 0.51 0.0005 1.63
CNGDP 0.05 0.0025 0.13 0.17 0.0017 1.29 0.53 0.0014 1.69FRGDP 0.07 0.0023 0.18 0.22 0.0015 1.56 0.51 0.0013 1.79GEGDP 0.07 0.0033 0.18 0.21 0.0020 1.24 0.51 0.0018 1.46ITGDP 0.06 0.0027 0.18 0.19 0.0017 1.45 0.52 0.0015 1.76JPGDP 0.08 0.0034 0.24 0.23 0.0020 1.26 0.51 0.0019 1.65UKGDP 0.06 0.0019 0.13 0.19 0.0012 1.00 0.51 0.0011 1.21USGDP 0.07 0.0023 0.18 0.21 0.0014 1.30 0.51 0.0013 1.81
CNCONS 0.10 0.0033 0.22 0.29 0.0018 1.09 0.52 0.0019 1.31FRCONS 0.11 0.0027 0.23 0.28 0.0016 1.05 0.53 0.0016 1.32GECONS 0.13 0.0051 0.33 0.33 0.0028 1.24 0.53 0.0031 1.34ITCONS 0.11 0.0040 0.23 0.29 0.0024 1.27 0.53 0.0023 1.73JPCONS 0.12 0.0051 0.30 0.31 0.0028 1.31 0.52 0.0031 1.19UKCONS 0.08 0.0030 0.15 0.24 0.0019 1.27 0.51 0.0017 1.64USCONS 0.10 0.0024 0.22 0.28 0.0014 1.36 0.51 0.0014 1.64
CNINV 0.06 0.0102 0.17 0.18 0.0067 1.02 0.53 0.0057 1.32FRINV 0.06 0.0044 0.11 0.20 0.0029 1.40 0.51 0.0024 1.84GEINV 0.09 0.0105 0.26 0.26 0.0062 1.29 0.51 0.0062 1.24ITINV 0.08 0.0094 0.21 0.22 0.0057 1.38 0.52 0.0053 1.78JPINV 0.07 0.0073 0.20 0.23 0.0047 1.66 0.52 0.0042 1.94UKINV 0.07 0.0103 0.19 0.22 0.0062 1.16 0.52 0.0059 1.39USINV 0.07 0.0058 0.14 0.22 0.0037 1.39 0.52 0.0033 1.78
CNUN 0.07 0.0012 0.08 0.22 0.0008 1.17 0.51 0.0006 1.79FRUN 0.01 0.0006 0.06 0.07 0.0003 1.06 0.19 0.0001 1.74GEUN 0.04 0.0009 0.06 0.12 0.0005 0.89 0.34 0.0004 1.11ITUN 0.04 0.0007 0.06 0.19 0.0004 1.31 0.34 0.0003 1.67JPUN 0.06 0.0007 0.06 0.33 0.0004 1.37 0.28 0.0003 1.31UKUN 0.02 0.0007 0.04 0.10 0.0004 0.84 0.29 0.0002 1.72USUN 0.05 0.0008 0.09 0.22 0.0005 1.47 0.39 0.0004 1.84
CNIP 0.08 0.0081 0.21 0.23 0.0059 1.49 0.59 0.0047 1.90FRIP 0.09 0.0093 0.35 0.43 0.0059 1.75 0.42 0.0052 1.37GEIP 0.08 0.0115 0.33 0.42 0.0073 1.67 0.42 0.0064 1.64ITIP 0.09 0.0091 0.27 0.27 0.0067 1.62 0.58 0.0054 1.08JPIP 0.08 0.0117 0.24 0.28 0.0080 1.57 0.53 0.0066 1.64UKIP 0.09 0.0082 0.35 0.44 0.0051 1.71 0.42 0.0046 1.26USIP 0.07 0.0039 0.14 0.13 0.0030 1.36 0.63 0.0023 1.95
Notes: All statistics are averaged across time periods. βSer corrβ is the serial correlation
between draws of the Gibbs sampler.βV/N is the HAC standard deviation of the unob-
served variables across the draws.β
V/N
varg(a)is the square root of the ratio of the variance
across draws to variance of unobserved variable across time (g(a) = Ο , Ο2Ξ΅ or Ο2
Ξ·).
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8 Drivers of DisagreementβAdditional Results
8.1 Drivers of DisagreementβResults for Uncertainty Mea-sured with β12x
2t
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Table 24: Disagreement and Business CycleβPanel Results, INFL
Model Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 Ξ²5 R2
Panel A: Disagreement over Timedisagrt = Ξ²0 + Ξ²1 Γ rect + Ξ²2 Γ post-1998t + ut
1. 0.299βββ β0.004(0.003)
2. 0.287βββ 0.064βββ 0.029(0.004) (0.019)
3. 0.327βββ 0.050βββ β0.082βββ 0.129(0.005) (0.017) (0.014)
Panel B: Disagreement and Macro Variablesdisagrt = Ξ²0 + Ξ²2 Γ INFLt + Ξ²3 Γ Ο2
INFL,t + Ξ²4 Γ output gapt ++ Ξ²5 Γ βpolicy rate2
t + ut
4. 0.237βββ 0.026βββ 0.076(0.006) (0.005)
5. 0.237βββ 0.024βββ 0.004ββ 0.077(0.006) (0.005) (0.002)
6. 0.232βββ 0.023βββ 0.003ββ β0.015βββ 0.072(0.007) (0.006) (0.001) (0.005)
7. 0.232βββ 0.021βββ 0.003ββ β0.014βββ 0.056ββ 0.094(0.007) (0.005) (0.001) (0.005) (0.023)
Panel C: Disagreement and Central Bank Independencedisagrt = Ξ²0 + Ξ²1 Γ CB Independencet + Ξ²2 Γ INFLt + Ξ²3 Γ Ο2
INFL,t ++ Ξ²4 Γ output gapt + Ξ²5 Γ βpolicy rate2
t + ut
8. 0.420βββ β0.152βββ 0.169(0.006) (0.025)
9. 0.388βββ β0.147βββ 0.007 0.002 β0.017βββ 0.032β 0.225(0.012) (0.032) (0.006) (0.001) (0.004) (0.019)
Estimated: 6 Apr 2009, 22:28:16Notes: Fixed effects estimators, HAC standard errors, Bartlett kernel, bandwidth = 12
lags. The dependent variable is measured as cross-sectional IQR. Ξ²0 denotes the average
of country-specific intercepts. βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1
during recession set by the Economic Cycle Research Institute (ECRI) and 0 otherwise.
βoutput gaptβ denotes the ex-post output gap estimated in the OECD Economic Outlook
quarterly output gap revisions database (in August 2008). Ο2INFL,t denotes Delta INFL
Squared. βCB Independencetβ denotes a 0β1 indicator of independent monetary policy
defined in table 11.
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Table 25: Disagreement and Business CycleβPanel Results, GDP
Model Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 Ξ²5 R2
Panel A: Disagreement over Timedisagrt = Ξ²0 + Ξ²1 Γ rect + Ξ²2 Γ post-1998t + ut
1. 0.410βββ β0.004(0.004)
2. 0.378βββ 0.165βββ 0.126(0.005) (0.028)
3. 0.394βββ 0.160βββ β0.032β 0.134(0.006) (0.027) (0.018)
Panel B: Disagreement and Macro Variablesdisagrt = Ξ²0 + Ξ²2 ΓGDPt + Ξ²3 Γ Ο2
GDP,t + Ξ²4 Γ output gapt ++ Ξ²5 Γ βpolicy rate2
t + ut
4. 0.482βββ β0.035βββ 0.107(0.007) (0.006)
5. 0.463βββ β0.033βββ 0.004ββ 0.113(0.008) (0.006) (0.002)
6. 0.453βββ β0.030βββ 0.004ββ β0.002 0.094(0.009) (0.007) (0.002) (0.008)
7. 0.447βββ β0.029βββ 0.004ββ β0.002 0.047 0.102(0.010) (0.007) (0.002) (0.008) (0.035)
Panel C: Disagreement and Central Bank Independencedisagrt = Ξ²0 + Ξ²1 Γ CB Independencet + Ξ²2 ΓGDPt + Ξ²3 Γ Ο2
GDP,t ++ Ξ²4 Γ output gapt + Ξ²5 Γ βpolicy rate2
t + ut
8. 0.458βββ β0.061β 0.010(0.007) (0.034)
9. 0.494βββ β0.063ββ β0.026βββ 0.004ββ β0.005 0.036 0.116(0.014) (0.031) (0.007) (0.002) (0.007) (0.033)
Estimated: 6 Apr 2009, 22:28:38Notes: Fixed effects estimators, HAC standard errors, Bartlett kernel, bandwidth = 12
lags. The dependent variable is measured as cross-sectional IQR. Ξ²0 denotes the average
of country-specific intercepts. βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1
during recession set by the Economic Cycle Research Institute (ECRI) and 0 otherwise.
βoutput gaptβ denotes the ex-post output gap estimated in the OECD Economic Outlook
quarterly output gap revisions database (in August 2008). Ο2GDP,t denotes Delta GDP
Squared. βCB Independencetβ denotes a 0β1 indicator of independent monetary policy
defined in table 11.
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Table 26: Disagreement and Business CycleβPanel Results, R3M
Model Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 Ξ²5 R2
Panel A: Disagreement over Timedisagrt = Ξ²0 + Ξ²1 Γ rect + Ξ²2 Γ post-1998t + ut
1. 0.549βββ β0.004(0.007)
2. 0.519βββ 0.161βββ 0.052(0.007) (0.044)
3. 0.624βββ 0.124βββ β0.214βββ 0.232(0.009) (0.036) (0.026)
Panel B: Disagreement and Macro Variablesdisagrt = Ξ²0 + Ξ²2 ΓR3Mt + Ξ²3 Γ Ο2
R3M,t + Ξ²4 Γ output gapt ++ Ξ²5 Γ βpolicy rate2
t + ut
4. 0.319βββ 0.046βββ 0.276(0.011) (0.005)
5. 0.321βββ 0.042βββ 0.006ββ 0.270(0.011) (0.005) (0.003)
6. 0.330βββ 0.038βββ 0.006β β0.018ββ 0.221(0.012) (0.006) (0.003) (0.009)
7. 0.333βββ 0.036βββ 0.006β β0.018β 0.054ββ 0.227(0.012) (0.006) (0.003) (0.009) (0.025)
Panel C: Disagreement and Central Bank Independencedisagrt = Ξ²0 + Ξ²1 Γ CB Independencet + Ξ²2 ΓR3Mt + Ξ²3 Γ Ο2
R3M,t ++ Ξ²4 Γ output gapt + Ξ²5 Γ βpolicy rate2
t + ut
8. 0.783βββ β0.294βββ 0.165(0.011) (0.035)
9. 0.540βββ β0.180βββ 0.024βββ 0.005 β0.022βββ 0.042β 0.274(0.025) (0.044) (0.007) (0.003) (0.008) (0.025)
Estimated: 6 Apr 2009, 22:29:01Notes: Fixed effects estimators, HAC standard errors, Bartlett kernel, bandwidth = 12
lags. The dependent variable is measured as cross-sectional IQR. Ξ²0 denotes the average
of country-specific intercepts. βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1
during recession set by the Economic Cycle Research Institute (ECRI) and 0 otherwise.
βoutput gaptβ denotes the ex-post output gap estimated in the OECD Economic Outlook
quarterly output gap revisions database (in August 2008). Ο2R3M,t denotes Delta R3M
Squared. βCB Independencetβ denotes a 0β1 indicator of independent monetary policy
defined in table 11.
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Table 27: Disagreement and Business CycleβPanel Results, CONS
Model Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 Ξ²5 R2
Panel A: Disagreement over Timedisagrt = Ξ²0 + Ξ²1 Γ rect + Ξ²2 Γ post-1998t + ut
1. 0.445βββ β0.004(0.004)
2. 0.414βββ 0.164βββ 0.127(0.005) (0.024)
3. 0.419βββ 0.161βββ β0.012 0.128(0.006) (0.024) (0.015)
Panel B: Disagreement and Macro Variablesdisagrt = Ξ²0 + Ξ²2 Γ CONSt + Ξ²3 Γ Ο2
CONS,t + Ξ²4 Γ output gapt ++ Ξ²5 Γ βpolicy rate2
t + ut
4. 0.512βββ β0.031βββ 0.073(0.007) (0.007)
5. 0.491βββ β0.027βββ 0.004β 0.088(0.008) (0.006) (0.002)
6. 0.477βββ β0.021βββ 0.004ββ β0.001 0.071(0.010) (0.007) (0.002) (0.007)
7. 0.472βββ β0.020βββ 0.004ββ β0.001 0.052ββ 0.081(0.010) (0.007) (0.002) (0.007) (0.024)
Panel C: Disagreement and Central Bank Independencedisagrt = Ξ²0 + Ξ²1 Γ CB Independencet + Ξ²2 Γ CONSt + Ξ²3 Γ Ο2
CONS,t ++ Ξ²4 Γ output gapt + Ξ²5 Γ βpolicy rate2
t + ut
8. 0.469βββ β0.031 β0.001(0.007) (0.030)
9. 0.492βββ β0.027 β0.019βββ 0.004β β0.002 0.047ββ 0.083(0.014) (0.030) (0.007) (0.002) (0.007) (0.024)
Estimated: 6 Apr 2009, 22:29:25Notes: Fixed effects estimators, HAC standard errors, Bartlett kernel, bandwidth = 12
lags. The dependent variable is measured as cross-sectional IQR. Ξ²0 denotes the average
of country-specific intercepts. βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1
during recession set by the Economic Cycle Research Institute (ECRI) and 0 otherwise.
βoutput gaptβ denotes the ex-post output gap estimated in the OECD Economic Outlook
quarterly output gap revisions database (in August 2008). Ο2CONS,t denotes Delta CONS
Squared. βCB Independencetβ denotes a 0β1 indicator of independent monetary policy
defined in table 11.
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Table 28: Disagreement and Business CycleβPanel Results, INV
Model Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 Ξ²5 R2
Panel A: Disagreement over Timedisagrt = Ξ²0 + Ξ²1 Γ rect + Ξ²2 Γ post-1998t + ut
1. 1.764βββ β0.004(0.017)
2. 1.701βββ 0.329βββ 0.030(0.019) (0.104)
3. 1.702βββ 0.329βββ β0.002 0.029(0.025) (0.103) (0.071)
Panel B: Disagreement and Macro Variablesdisagrt = Ξ²0 + Ξ²2 Γ INVt + Ξ²3 Γ Ο2
INV,t + Ξ²4 Γ output gapt ++ Ξ²5 Γ βpolicy rate2
t + ut
4. 1.784βββ β0.025βββ 0.027(0.019) (0.008)
5. 1.700βββ β0.021βββ 0.002βββ 0.054(0.023) (0.007) (0.001)
6. 1.704βββ β0.019ββ 0.002βββ β0.003 0.043(0.024) (0.009) (0.001) (0.030)
7. 1.697βββ β0.018ββ 0.002βββ β0.002 0.092 0.043(0.025) (0.009) (0.001) (0.030) (0.111)
Panel C: Disagreement and Central Bank Independencedisagrt = Ξ²0 + Ξ²1 Γ CB Independencet + Ξ²2 Γ INVt + Ξ²3 Γ Ο2
INV,t ++ Ξ²4 Γ output gapt + Ξ²5 Γ βpolicy rate2
t + ut
8. 1.833βββ β0.086 β0.003(0.019) (0.107)
9. 1.720βββ β0.028 β0.018β 0.002βββ β0.003 0.088 0.042(0.054) (0.084) (0.009) (0.001) (0.030) (0.112)
Estimated: 6 Apr 2009, 22:29:50Notes: Fixed effects estimators, HAC standard errors, Bartlett kernel, bandwidth = 12
lags. The dependent variable is measured as cross-sectional IQR. Ξ²0 denotes the average
of country-specific intercepts. βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1
during recession set by the Economic Cycle Research Institute (ECRI) and 0 otherwise.
βoutput gaptβ denotes the ex-post output gap estimated in the OECD Economic Outlook
quarterly output gap revisions database (in August 2008). Ο2INV,t denotes Delta INV
Squared. βCB Independencetβ denotes a 0β1 indicator of independent monetary policy
defined in table 11.
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Table 29: Disagreement and Business CycleβPanel Results, UN
Model Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 Ξ²5 R2
Panel A: Disagreement over Timedisagrt = Ξ²0 + Ξ²1 Γ rect + Ξ²2 Γ post-1998t + ut
1. 0.293βββ β0.004(0.005)
2. 0.261βββ 0.169βββ 0.125(0.005) (0.044)
3. 0.297βββ 0.156βββ β0.074βββ 0.169(0.006) (0.041) (0.018)
Panel B: Disagreement and Macro Variablesdisagrt = Ξ²0 + Ξ²2 Γ UNt + Ξ²3 Γ Ο2
UN,t + Ξ²4 Γ output gapt ++ Ξ²5 Γ βpolicy rate2
t + ut
4. 0.302βββ β0.001 β0.005(0.023) (0.013)
5. 0.327βββ β0.009 0.053βββ 0.079(0.022) (0.013) (0.009)
6. 0.422βββ β0.023 0.055βββ β0.021ββ 0.104(0.028) (0.018) (0.009) (0.009)
7. 0.422βββ β0.023 0.054βββ β0.021ββ 0.020 0.104(0.028) (0.018) (0.009) (0.009) (0.018)
Panel C: Disagreement and Central Bank Independencedisagrt = Ξ²0 + Ξ²1 Γ CB Independencet + Ξ²2 Γ UNt + Ξ²3 Γ Ο2
UN,t ++ Ξ²4 Γ output gapt + Ξ²5 Γ βpolicy rate2
t + ut
8. 0.344βββ β0.064ββ 0.011(0.023) (0.029)
9. 0.549βββ β0.084ββ β0.030 0.049βββ β0.029βββ 0.006 0.124(0.036) (0.037) (0.019) (0.008) (0.011) (0.017)
Estimated: 6 Apr 2009, 22:30:15Notes: Fixed effects estimators, HAC standard errors, Bartlett kernel, bandwidth = 12
lags. The dependent variable is measured as cross-sectional IQR. Ξ²0 denotes the average
of country-specific intercepts. βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1
during recession set by the Economic Cycle Research Institute (ECRI) and 0 otherwise.
βoutput gaptβ denotes the ex-post output gap estimated in the OECD Economic Outlook
quarterly output gap revisions database (in August 2008). Ο2UN,t denotes Delta UN
Squared. βCB Independencetβ denotes a 0β1 indicator of independent monetary policy
defined in table 11.
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Table 30: Disagreement Over Time and Business CycleβCountry-by-Country Results, INFL
Country Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 R2
Panel A: Disagreement over Timedisagreementt = Ξ²0 + Ξ²1 Γ recessiont + Ξ²2 Γ post-1998t + ut
CN 0.353βββ 0.073βββ β0.054β 0.112(0.020) (0.026) (0.029)
FR 0.212βββ 0.007 β0.006 β0.007(0.012) (0.021) (0.015)
GE 0.224βββ 0.005 0.041β 0.056(0.013) (0.022) (0.022)
IT 0.310βββ 0.096β β0.137βββ 0.349(0.022) (0.055) (0.025)
JP 0.376βββ 0.055β β0.145βββ 0.321(0.024) (0.031) (0.028)
UK 0.503βββ β0.005 β0.268βββ 0.414(0.062) (0.081) (0.063)
US 0.324βββ 0.105ββ β0.005 0.088(0.012) (0.052) (0.024)
Panel B: Disagreement and Macro Variablesdisagreementt = Ξ²0 + Ξ²1 Γ INFLt + Ξ²2 Γ Ο2
INFL,t ++ Ξ²3 Γ output gapt + Ξ²4 Γβpolicy rate2
t + ut
CN 0.302βββ 0.029βββ β0.308 β0.004 0.069βββ 0.176(0.045) (0.010) (0.241) (0.011) (0.017)
FR 0.203βββ β0.013 0.678 β0.004 0.000 β0.000(0.027) (0.011) (0.641) (0.010) (0.024)
GE 0.252βββ β0.006 β0.014 β0.012 0.022 0.042(0.022) (0.012) (0.481) (0.008) (0.073)
IT 0.076βββ 0.040βββ 1.107 β0.016β 0.081βββ 0.363(0.027) (0.010) (1.003) (0.009) (0.019)
JP 0.163βββ β0.007 2.019βββ 0.004 0.007 0.218(0.036) (0.017) (0.445) (0.008) (0.009)
UK 0.314βββ β0.007 0.373 β0.137βββ 0.233βββ 0.527(0.057) (0.026) (0.669) (0.027) (0.072)
US 0.280βββ 0.001 0.296ββ β0.022βββ 0.120ββ 0.112(0.043) (0.015) (0.120) (0.007) (0.061)
Estimated: 6 Apr 2009, 22:14:17Notes: Country-by-country regressions, NeweyβWest standard errors, 12 lags. The
dependent variable is measured as cross-sectional IQR. Ξ²0 denotes the average of
country-specific intercepts.βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1
during recession set by the Economic Cycle Research Institute (ECRI) and 0 other-
wise. Ο2INFL,t denotes variance of the permanent component of INFL. βoutput gaptβ
denotes the ex-post output gap estimated in the OECD Economic Outlook quarterly
output gap revisions database (in August 2008).
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Table 31: Disagreement Over Time and Business CycleβCountry-by-Country Results, GDP
Country Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 R2
Panel A: Disagreement over Timedisagreementt = Ξ²0 + Ξ²1 Γ recessiont + Ξ²2 Γ post-1998t + ut
CN 0.492βββ 0.170βββ β0.114ββ 0.240(0.025) (0.045) (0.049)
FR 0.283βββ 0.027 0.036 0.037(0.011) (0.039) (0.024)
GE 0.340βββ 0.114βββ β0.086βββ 0.214(0.023) (0.040) (0.033)
IT 0.241βββ 0.120βββ 0.025 0.076(0.024) (0.044) (0.027)
JP 0.589βββ 0.207βββ 0.029 0.141(0.053) (0.080) (0.083)
UK 0.477βββ 0.189βββ β0.138βββ 0.387(0.036) (0.055) (0.040)
US 0.348βββ 0.255βββ 0.015 0.211(0.026) (0.061) (0.031)
Panel B: Disagreement and Macro Variablesdisagreementt = Ξ²0 + Ξ²1 ΓGDPt + Ξ²2 Γ Ο2
GDP,t ++ Ξ²3 Γ output gapt + Ξ²4 Γβpolicy rate2
t + ut
CN 0.233βββ 0.003 1.684βββ β0.022ββ 0.011 0.321(0.083) (0.013) (0.526) (0.011) (0.021)
FR 0.406βββ β0.032β β0.588 0.038βββ 0.102ββ 0.112(0.073) (0.017) (0.630) (0.012) (0.052)
GE 0.256βββ β0.022ββ 0.814βββ β0.017 0.074 0.227(0.032) (0.010) (0.240) (0.014) (0.118)
IT 0.318βββ β0.029ββ β0.091 0.010 0.022 0.084(0.038) (0.012) (0.351) (0.011) (0.030)
JP 0.717βββ β0.032 0.116 β0.001 0.030 0.028(0.166) (0.032) (0.644) (0.019) (0.052)
UK 0.316βββ β0.012 2.648βββ β0.026 0.109 0.478(0.047) (0.010) (0.668) (0.020) (0.075)
US 0.439βββ β0.042βββ 0.598 0.027ββ 0.451βββ 0.429(0.061) (0.011) (0.372) (0.011) (0.106)
Estimated: 6 Apr 2009, 22:14:35Notes: Country-by-country regressions, NeweyβWest standard errors, 12 lags. The
dependent variable is measured as cross-sectional IQR. Ξ²0 denotes the average of
country-specific intercepts.βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1
during recession set by the Economic Cycle Research Institute (ECRI) and 0 other-
wise. Ο2GDP,t denotes variance of the permanent component of GDP. βoutput gaptβ
denotes the ex-post output gap estimated in the OECD Economic Outlook quarterly
output gap revisions database (in August 2008).
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Table 32: Disagreement Over Time and Business CycleβCountry-by-Country Results, R3M
Country Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 R2
Panel A: Disagreement over Timedisagreementt = Ξ²0 + Ξ²1 Γ recessiont + Ξ²2 Γ post-1998t + ut
CN 0.885βββ 0.190 β0.328βββ 0.295(0.084) (0.187) (0.093)
FR 0.514βββ 0.231ββ β0.101ββ 0.221(0.033) (0.111) (0.042)
GE 0.477βββ 0.110ββ β0.126ββ 0.191(0.054) (0.049) (0.049)
IT 0.720βββ 0.149β β0.341βββ 0.405(0.050) (0.080) (0.052)
JP 0.417βββ β0.052 β0.267βββ 0.513(0.026) (0.041) (0.050)
UK 0.827βββ 0.208ββ β0.299βββ 0.399(0.074) (0.086) (0.078)
US 0.549βββ 0.124βββ 0.008 0.031(0.035) (0.044) (0.056)
Panel B: Disagreement and Macro Variablesdisagreementt = Ξ²0 + Ξ²1 ΓR3Mt + Ξ²2 Γ Ο2
R3M,t ++ Ξ²3 Γ output gapt + Ξ²4 Γβpolicy rate2
t + ut
CN 0.543βββ 0.026 β0.263 β0.053ββ 0.075ββ 0.213(0.079) (0.021) (0.574) (0.026) (0.036)
FR 0.444βββ β0.018β 1.695βββ 0.007 0.030 0.460(0.037) (0.010) (0.393) (0.016) (0.090)
GE 0.232βββ 0.041βββ 0.886 β0.032βββ β0.046 0.248(0.053) (0.015) (1.297) (0.011) (0.198)
IT 0.251βββ 0.045ββ 0.053 β0.045βββ 0.008 0.435(0.057) (0.018) (0.281) (0.012) (0.067)
JP 0.243βββ β0.021 1.798 0.071βββ 0.020 0.580(0.025) (0.015) (2.289) (0.011) (0.012)
UK 0.634βββ β0.020 3.187βββ β0.109βββ β0.102 0.463(0.105) (0.022) (1.100) (0.037) (0.086)
US 0.625βββ β0.024 0.441 β0.007 0.112 0.058(0.072) (0.015) (0.972) (0.019) (0.095)
Estimated: 6 Apr 2009, 22:14:50Notes: Country-by-country regressions, NeweyβWest standard errors, 12 lags. The
dependent variable is measured as cross-sectional IQR. Ξ²0 denotes the average of
country-specific intercepts.βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1
during recession set by the Economic Cycle Research Institute (ECRI) and 0 other-
wise. Ο2R3M,t denotes variance of the permanent component of R3M. βoutput gaptβ
denotes the ex-post output gap estimated in the OECD Economic Outlook quarterly
output gap revisions database (in August 2008).
45
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Table 33: Disagreement Over Time and Business CycleβCountry-by-Country Results, CONS
Country Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 R2
Panel A: Disagreement over Timedisagreementt = Ξ²0 + Ξ²1 Γ recessiont + Ξ²2 Γ post-1998t + ut
CN 0.478βββ 0.231βββ β0.071β 0.208(0.031) (0.080) (0.040)
FR 0.285βββ 0.046 0.031 0.038(0.010) (0.033) (0.021)
GE 0.377βββ 0.088ββ β0.013 0.079(0.031) (0.035) (0.033)
IT 0.321βββ 0.198βββ 0.006 0.166(0.017) (0.066) (0.027)
JP 0.561βββ 0.206βββ 0.016 0.170(0.033) (0.053) (0.054)
UK 0.548βββ 0.176βββ β0.043 0.146(0.039) (0.052) (0.050)
US 0.364βββ 0.213βββ 0.003 0.182(0.026) (0.059) (0.029)
Panel B: Disagreement and Macro Variablesdisagreementt = Ξ²0 + Ξ²1 Γ CONSt + Ξ²2 Γ Ο2
CONS,t ++ Ξ²3 Γ output gapt + Ξ²4 Γβpolicy rate2
t + ut
CN 0.350βββ β0.014 1.129βββ 0.007 0.037 0.324(0.076) (0.021) (0.286) (0.012) (0.043)
FR 0.355βββ β0.006 β0.318βββ β0.020ββ 0.013 0.052(0.027) (0.007) (0.120) (0.009) (0.041)
GE 0.350βββ β0.024ββ 0.408βββ β0.018β β0.064 0.150(0.029) (0.010) (0.102) (0.011) (0.093)
IT 0.310βββ β0.023ββ 0.375ββ 0.027ββ 0.002 0.196(0.022) (0.009) (0.161) (0.013) (0.027)
JP 0.764βββ β0.020 β0.332 0.012 0.039 0.004(0.133) (0.028) (0.413) (0.033) (0.033)
UK 0.506βββ β0.023 0.848 0.018 0.183βββ 0.212(0.106) (0.014) (0.636) (0.025) (0.070)
US 0.294βββ β0.008 1.851βββ 0.019ββ 0.251βββ 0.293(0.057) (0.012) (0.313) (0.008) (0.089)
Estimated: 6 Apr 2009, 22:15:05Notes: Country-by-country regressions, NeweyβWest standard errors, 12 lags. The
dependent variable is measured as cross-sectional IQR. Ξ²0 denotes the average of
country-specific intercepts.βpost-1998tβ denotes a dummy variable which equals 0 be-
fore 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1 dur-
ing recession set by the Economic Cycle Research Institute (ECRI) and 0 otherwise.
Ο2CONS,t denotes variance of the permanent component of CONS. βoutput gaptβ de-
notes the ex-post output gap estimated in the OECD Economic Outlook quarterly
output gap revisions database (in August 2008).
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Table 34: Disagreement Over Time and Business CycleβCountry-by-Country Results, INV
Country Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 R2
Panel A: Disagreement over Timedisagreementt = Ξ²0 + Ξ²1 Γ recessiont + Ξ²2 Γ post-1998t + ut
CN 2.929βββ β0.369β β0.619ββ 0.083(0.150) (0.192) (0.248)
FR 1.170βββ 0.001 β0.004 β0.010(0.037) (0.093) (0.100)
GE 1.284βββ 0.293ββ 0.374βββ 0.201(0.104) (0.119) (0.112)
IT 1.027βββ 0.224 β0.085 0.024(0.117) (0.142) (0.183)
JP 2.141βββ 0.294 0.346 0.061(0.165) (0.296) (0.271)
UK 1.641βββ 0.727βββ β0.147 0.224(0.114) (0.178) (0.149)
US 1.845βββ 1.021βββ β0.003 0.217(0.097) (0.117) (0.138)
Panel B: Disagreement and Macro Variablesdisagreementt = Ξ²0 + Ξ²1 Γ INVt + Ξ²2 Γ Ο2
INV,t ++ Ξ²3 Γ output gapt + Ξ²4 Γβpolicy rate2
t + ut
CN 1.646βββ 0.017 0.580βββ 0.179β 0.125 0.170(0.252) (0.020) (0.162) (0.093) (0.177)
FR 1.244βββ β0.026β β0.047 0.034 0.050 0.037(0.100) (0.014) (0.161) (0.043) (0.238)
GE 1.745βββ β0.029β β0.079 0.047 0.032 0.061(0.119) (0.016) (0.091) (0.035) (0.513)
IT 0.661βββ β0.039βββ 0.362βββ 0.171βββ 0.004 0.217(0.124) (0.015) (0.088) (0.059) (0.087)
JP 2.227βββ 0.059 0.032 β0.188βββ β1.426 0.110(0.352) (0.038) (0.491) (0.071) (0.931)
UK 1.725βββ β0.047βββ 0.017 0.051 0.309 0.228(0.182) (0.011) (0.118) (0.050) (0.294)
US 1.825βββ β0.030 0.365 β0.001 0.968 0.168(0.264) (0.023) (0.273) (0.054) (0.630)
Estimated: 6 Apr 2009, 22:15:20Notes: Country-by-country regressions, NeweyβWest standard errors, 12 lags. The
dependent variable is measured as cross-sectional IQR. Ξ²0 denotes the average of
country-specific intercepts.βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals
1 during recession set by the Economic Cycle Research Institute (ECRI) and 0 oth-
erwise. Ο2INV,t denotes variance of the permanent component of INV. βoutput gaptβ
denotes the ex-post output gap estimated in the OECD Economic Outlook quarterly
output gap revisions database (in August 2008).
47
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Table 35: Disagreement Over Time and Business CycleβCountry-by-Country Results, UN
Country Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 R2
Panel A: Disagreement over Timedisagreementt = Ξ²0 + Ξ²1 Γ recessiont + Ξ²2 Γ post-1998t + ut
CN 0.330βββ 0.121βββ β0.112βββ 0.375(0.012) (0.027) (0.023)
FR 0.238βββ 0.035 β0.004 0.011(0.015) (0.036) (0.019)
GE 0.410βββ 0.341βββ β0.261βββ 0.395(0.061) (0.125) (0.097)
IT 0.344βββ 0.166 β0.066 0.100(0.038) (0.159) (0.044)
JP 0.208βββ 0.042 0.051 0.086(0.030) (0.030) (0.033)
UK 0.337βββ 0.187βββ β0.113βββ 0.498(0.020) (0.046) (0.027)
US 0.217βββ 0.098ββ β0.013 0.121(0.009) (0.040) (0.019)
Panel B: Disagreement and Macro Variablesdisagreementt = Ξ²0 + Ξ²1 Γ UNt + Ξ²2 Γ Ο2
UN,t ++ Ξ²3 Γ output gapt + Ξ²4 Γβpolicy rate2
t + ut
CN 0.240 β0.011 4.563βββ β0.004 β0.011 0.323(0.152) (0.023) (1.698) (0.011) (0.011)
FR 0.555βββ β0.038ββ 7.160ββ β0.050βββ 0.091 0.190(0.141) (0.015) (3.337) (0.015) (0.076)
GE 2.227βββ β0.202βββ 8.193ββ β0.061ββ 0.450β 0.662(0.428) (0.040) (3.932) (0.030) (0.240)
IT 0.057 0.017 7.452β β0.033 β0.093 0.165(0.163) (0.015) (4.149) (0.023) (0.063)
JP 0.335βββ β0.006 β7.022 β0.027βββ β0.013ββ 0.122(0.068) (0.024) (7.079) (0.008) (0.005)
UK 0.139βββ 0.016ββ 6.233βββ 0.034ββ 0.066 0.628(0.027) (0.006) (1.095) (0.016) (0.040)
US 0.306βββ β0.030ββ 5.979ββ β0.005 β0.026 0.073(0.060) (0.014) (2.644) (0.009) (0.031)
Estimated: 6 Apr 2009, 22:15:35Notes: Country-by-country regressions, NeweyβWest standard errors, 12 lags. The
dependent variable is measured as cross-sectional IQR. Ξ²0 denotes the average of
country-specific intercepts.βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals
1 during recession set by the Economic Cycle Research Institute (ECRI) and 0 oth-
erwise. Ο2UN,t denotes variance of the permanent component of UN. βoutput gaptβ
denotes the ex-post output gap estimated in the OECD Economic Outlook quarterly
output gap revisions database (in August 2008).
48
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8.2 Drivers of DisagreementβDetailed Country-by-CountryResults
8.2.1 Inflation
49
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Tab
le36
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IN
FL
,C
N,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.3
37βββ
0.0
00
(0.0
17)
2.
0.3
25βββ
0.1
01βββ
0.0
71
(0.0
17)
(0.0
24)
3.
0.3
95βββ
0.0
62ββ
0.0
05β
0.0
96
(0.0
46)
(0.0
35)
(0.0
03)
4.
0.3
53βββ
0.0
73βββ
β0.0
54β
0.1
12
(0.0
20)
(0.0
26)
(0.0
29)
5.
0.1
57βββ
0.0
22
0.6
06βββ
0.4
23
(0.0
34)
(0.0
18)
(0.0
74)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓINFLt
+Ξ²
2ΓΟ
2 INFL,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.2
89βββ
0.0
21βββ
0.0
59
(0.0
20)
(0.0
04)
7.
0.3
33βββ
0.0
25ββββ
0.3
64βββ
0.1
13
(0.0
30)
(0.0
06)
(0.1
37)
8.
0.3
21βββ
β0.0
13
0.0
49
(0.0
20)
(0.0
09)
9.
0.3
10βββ
0.0
28ββββ
0.2
92
β0.0
09
0.1
25
(0.0
46)
(0.0
09)
(0.2
44)
(0.0
11)
10.
0.3
25βββ
0.0
75βββ
0.0
63
(0.0
27)
(0.0
19)
11.
0.3
10βββ
0.0
26ββββ
0.3
11ββ
0.0
73βββ
0.1
72
(0.0
27)
(0.0
06)
(0.1
32)
(0.0
19)
12.
0.3
02βββ
0.0
29ββββ
0.3
08
β0.0
04
0.0
69βββ
0.1
76
(0.0
45)
(0.0
10)
(0.2
41)
(0.0
11)
(0.0
17)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.1
91βββ
.βββ
0.0
96
0.0
63
0.0
78
β0.0
81
0.1
88βββ
0.1
39
0.1
24
(0.0
43)
(.)
(0.1
12)
(0.1
01)
(0.0
79)
(0.0
73)
(0.0
54)
(0.0
87)
14.
0.2
19βββ
0.0
76βββ
.βββ
0.1
50
0.0
53
0.0
74
β0.1
10
0.1
70βββ
0.0
52
0.1
56
(0.0
43)
(0.0
26)
(.)
(0.1
12)
(0.0
99)
(0.0
78)
(0.0
72)
(0.0
53)
(0.0
90)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.2
08βββ
.βββ
β0.0
25
0.0
16
0.0
03
0.0
54
0.2
08ββ
0.0
34
0.0
94
(0.0
32)
(.)
(0.0
57)
(0.0
17)
(0.0
09)
(0.0
49)
(0.0
82)
(0.0
26)
16.
0.2
26βββ
0.0
56β
.βββ
β0.0
38
0.0
17
0.0
06
0.0
35
0.1
69ββ
0.0
26
0.1
05
(0.0
33)
(0.0
30)
(.)
(0.0
57)
(0.0
17)
(0.0
09)
(0.0
49)
(0.0
84)
(0.0
26)
Est
imate
d:
7A
pr
2009,
11:0
0:0
7N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 INFL,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INF
L.
50
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Tab
le37
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IN
FL
,F
R,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.2
10βββ
0.0
00
(0.0
08)
2.
0.2
09βββ
0.0
08
β0.0
03
(0.0
09)
(0.0
22)
3.
0.2
29βββ
0.0
05
β0.0
01
0.0
01
(0.0
21)
(0.0
20)
(0.0
01)
4.
0.2
12βββ
0.0
07
β0.0
06
β0.0
07
(0.0
12)
(0.0
21)
(0.0
15)
5.
0.1
28βββ
0.0
05
0.4
29βββ
0.1
81
(0.0
27)
(0.0
11)
(0.1
13)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓINFLt
+Ξ²
2ΓΟ
2 INFL,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.2
12ββββ
0.0
01
β0.0
05
(0.0
21)
(0.0
09)
7.
0.2
04ββββ
0.0
04
0.3
11
β0.0
04
(0.0
25)
(0.0
10)
(0.4
41)
8.
0.2
09βββ
0.0
02
β0.0
04
(0.0
09)
(0.0
06)
9.
0.2
03ββββ
0.0
13
0.6
78
β0.0
04
0.0
05
(0.0
27)
(0.0
11)
(0.6
39)
(0.0
10)
10.
0.2
10βββ
0.0
08
β0.0
05
(0.0
25)
(0.0
25)
11.
0.2
04ββββ
0.0
04
0.3
18
0.0
13
β0.0
09
(0.0
25)
(0.0
10)
(0.4
41)
(0.0
25)
12.
0.2
03ββββ
0.0
13
0.6
78
β0.0
04
0.0
00
β0.0
00
(0.0
27)
(0.0
11)
(0.6
41)
(0.0
10)
(0.0
24)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.1
18βββ
0.0
38
.βββ
β0.0
41
0.0
53
0.0
28
0.0
35
0.1
58βββ
0.0
89
(0.0
27)
(0.0
45)
(.)
(0.0
64)
(0.0
50)
(0.0
46)
(0.0
35)
(0.0
54)
14.
0.1
16ββββ
0.0
07
0.0
38
.βββ
β0.0
33
0.0
56
0.0
29
0.0
38
0.1
56βββ
0.0
86
(0.0
28)
(0.0
16)
(0.0
45)
(.)
(0.0
66)
(0.0
50)
(0.0
46)
(0.0
36)
(0.0
54)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.1
27βββ
.βββ
0.0
78
0.0
23
0.0
21
β0.0
46
β0.0
50
0.0
86βββ
0.0
84
(0.0
25)
(.)
(0.0
65)
(0.0
19)
(0.0
14)
(0.0
57)
(0.0
61)
(0.0
25)
16.
0.1
23ββββ
0.0
16
.βββ
0.0
78
0.0
25
0.0
19
β0.0
38
β0.0
49
0.0
97βββ
0.0
84
(0.0
25)
(0.0
16)
(.)
(0.0
65)
(0.0
19)
(0.0
14)
(0.0
58)
(0.0
61)
(0.0
28)
Est
imate
d:
7A
pr
2009,
11:0
0:0
9N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 INFL,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INF
L.
51
![Page 52: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/52.jpg)
Tab
le38
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IN
FL
,G
E,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.2
45βββ
0.0
00
(0.0
11)
2.
0.2
43βββ
0.0
04
β0.0
04
(0.0
11)
(0.0
24)
3.
0.2
04βββ
0.0
09
0.0
03
0.0
19
(0.0
39)
(0.0
26)
(0.0
03)
4.
0.2
24βββ
0.0
05
0.0
41β
0.0
56
(0.0
13)
(0.0
22)
(0.0
22)
5.
0.0
93βββ
0.0
03
0.5
56βββ
0.3
18
(0.0
31)
(0.0
12)
(0.0
74)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓINFLt
+Ξ²
2ΓΟ
2 INFL,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.2
63ββββ
0.0
09
0.0
15
(0.0
23)
(0.0
06)
7.
0.2
67βββ
0.0
01
β0.4
19
0.0
25
(0.0
24)
(0.0
09)
(0.2
94)
8.
0.2
39βββ
β0.0
14ββ
0.0
47
(0.0
11)
(0.0
05)
9.
0.2
52ββββ
0.0
06
β0.0
10
β0.0
12
0.0
47
(0.0
22)
(0.0
12)
(0.4
79)
(0.0
08)
10.
0.2
47βββ
β0.0
79
0.0
02
(0.0
24)
(0.0
63)
11.
0.2
68βββ
0.0
01
β0.4
12
β0.0
57
0.0
23
(0.0
24)
(0.0
09)
(0.2
96)
(0.0
63)
12.
0.2
52ββββ
0.0
06
β0.0
14
β0.0
12
0.0
22
0.0
42
(0.0
22)
(0.0
12)
(0.4
81)
(0.0
08)
(0.0
73)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.2
25βββ
0.0
31
β0.0
50
.βββ
β0.1
77βββ
0.0
76
0.0
25
0.0
94
0.0
36
(0.0
27)
(0.0
50)
(0.0
79)
(.)
(0.0
54)
(0.0
51)
(0.0
39)
(0.0
61)
14.
0.2
25βββ
0.0
10
0.0
38
β0.0
59
.βββ
β0.1
80βββ
0.0
77
0.0
19
0.0
87
0.0
35
(0.0
27)
(0.0
12)
(0.0
51)
(0.0
80)
(.)
(0.0
54)
(0.0
51)
(0.0
40)
(0.0
61)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.2
08βββ
.βββ
β0.0
56
0.0
06
0.0
03
0.0
92βββ
0.0
13
0.0
31
0.0
06
(0.0
26)
(.)
(0.0
46)
(0.0
22)
(0.0
12)
(0.0
47)
(0.0
19)
(0.0
32)
16.
0.2
10βββ
0.0
02
.βββ
β0.0
57
0.0
06
0.0
03
0.0
92βββ
0.0
14
0.0
30
0.0
01
(0.0
29)
(0.0
16)
(.)
(0.0
46)
(0.0
23)
(0.0
13)
(0.0
47)
(0.0
22)
(0.0
33)
Est
imate
d:
7A
pr
2009,
11:0
0:1
2N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 INFL,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INF
L.
52
![Page 53: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/53.jpg)
Tab
le39
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IN
FL
,IT
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.2
57βββ
0.0
00
(0.0
24)
2.
0.2
40βββ
0.1
66βββ
0.1
29
(0.0
21)
(0.0
56)
3.
0.4
41βββ
0.0
80
β0.0
14βββ
0.3
59
(0.0
40)
(0.0
54)
(0.0
02)
4.
0.3
10βββ
0.0
96β
β0.1
37βββ
0.3
49
(0.0
22)
(0.0
55)
(0.0
25)
5.
0.2
48βββ
0.0
52β
0.4
30βββ
0.4
75
(0.0
60)
(0.0
30)
(0.1
09)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓINFLt
+Ξ²
2ΓΟ
2 INFL,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.1
07βββ
0.0
43βββ
0.2
52
(0.0
31)
(0.0
09)
7.
0.0
96βββ
0.0
32βββ
1.7
77β
0.2
77
(0.0
27)
(0.0
11)
(0.9
73)
8.
0.2
42βββ
β0.0
18
0.0
25
(0.0
22)
(0.0
14)
9.
0.0
71ββ
0.0
45βββ
0.9
31
β0.0
20β
0.3
20
(0.0
31)
(0.0
13)
(1.1
05)
(0.0
11)
10.
0.2
44βββ
0.1
15βββ
0.0
90
(0.0
24)
(0.0
20)
11.
0.0
96βββ
0.0
30βββ
1.7
74β
0.0
90βββ
0.3
31
(0.0
24)
(0.0
09)
(0.9
13)
(0.0
20)
12.
0.0
76βββ
0.0
40βββ
1.1
07
β0.0
16β
0.0
81βββ
0.3
63
(0.0
27)
(0.0
10)
(1.0
03)
(0.0
09)
(0.0
19)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.0
38
0.0
63
0.1
08
β0.2
88βββ
.βββ
0.1
89βββ
0.3
23βββ
0.1
78ββ
0.4
63
(0.0
40)
(0.0
64)
(0.1
01)
(0.0
88)
(.)
(0.0
64)
(0.0
44)
(0.0
77)
14.
0.0
41
0.0
30
0.0
61
0.1
08
β0.2
84βββ
.βββ
0.1
75βββ
0.3
07βββ
0.1
91ββ
0.4
64
(0.0
40)
(0.0
27)
(0.0
64)
(0.1
01)
(0.0
88)
(.)
(0.0
65)
(0.0
47)
(0.0
78)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.0
41
.βββ
β0.0
17
β0.0
26
0.0
32β
0.0
98
0.1
27βββ
0.2
28βββ
0.3
73
(0.0
29)
(.)
(0.0
75)
(0.0
25)
(0.0
17)
(0.0
63)
(0.0
40)
(0.0
27)
16.
0.0
60β
0.0
57β
.βββ
β0.0
34
β0.0
20
0.0
34β
0.0
57
0.1
16βββ
0.2
13βββ
0.3
81
(0.0
31)
(0.0
30)
(.)
(0.0
75)
(0.0
25)
(0.0
17)
(0.0
66)
(0.0
41)
(0.0
28)
Est
imate
d:
7A
pr
2009,
11:0
0:1
4N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 INFL,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INF
L.
53
![Page 54: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/54.jpg)
Tab
le40
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IN
FL
,JP
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.3
32βββ
0.0
00
(0.0
24)
2.
0.3
11βββ
0.0
52
0.0
32
(0.0
30)
(0.0
46)
3.
0.5
28βββ
0.0
54βββ
0.0
16βββ
0.3
93
(0.0
42)
(0.0
25)
(0.0
03)
4.
0.3
76βββ
0.0
55β
β0.1
45βββ
0.3
21
(0.0
24)
(0.0
31)
(0.0
28)
5.
0.2
83βββ
0.0
27β
0.4
64βββ
0.5
18
(0.0
52)
(0.0
16)
(0.0
80)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓINFLt
+Ξ²
2ΓΟ
2 INFL,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.3
08βββ
0.0
41βββ
0.1
60
(0.0
19)
(0.0
12)
7.
0.1
68βββ
0.0
02
1.9
44βββ
0.2
59
(0.0
36)
(0.0
12)
(0.4
15)
8.
0.3
18βββ
0.0
19βββ
0.0
93
(0.0
21)
(0.0
07)
9.
0.1
63ββββ
0.0
06
2.0
32βββ
0.0
04
0.2
21
(0.0
37)
(0.0
17)
(0.4
49)
(0.0
08)
10.
0.3
30βββ
0.0
22
0.0
05
(0.0
36)
(0.0
10)
11.
0.1
68βββ
0.0
02
1.9
39βββ
0.0
07
0.2
57
(0.0
36)
(0.0
12)
(0.4
12)
(0.0
10)
12.
0.1
63ββββ
0.0
07
2.0
19βββ
0.0
04
0.0
07
0.2
18
(0.0
36)
(0.0
17)
(0.4
45)
(0.0
08)
(0.0
09)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.1
36βββ
β0.0
77
0.0
67
0.1
45
0.2
22βββ
.βββ
0.2
86βββ
0.0
22
0.3
37
(0.0
43)
(0.0
69)
(0.1
09)
(0.0
98)
(0.0
75)
(.)
(0.0
50)
(0.0
85)
14.
0.1
15βββ
0.0
41ββ
β0.0
50
β0.0
24
0.1
49
0.2
00βββ
.βββ
0.2
90βββ
0.0
74
0.3
54
(0.0
43)
(0.0
17)
(0.0
69)
(0.1
14)
(0.0
97)
(0.0
75)
(.)
(0.0
50)
(0.0
86)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.1
57βββ
.βββ
0.0
95βββ
0.0
20
0.0
08
0.0
78ββ
0.0
44
0.3
10βββ
0.2
64
(0.0
32)
(.)
(0.0
44)
(0.0
15)
(0.0
12)
(0.0
43)
(0.0
90)
(0.0
44)
16.
0.1
60βββ
0.0
57βββ
.βββ
0.0
65
β0.0
24
0.0
12
0.0
42
β0.0
21
0.3
41βββ
0.2
94
(0.0
32)
(0.0
19)
(.)
(0.0
44)
(0.0
15)
(0.0
12)
(0.0
44)
(0.0
89)
(0.0
44)
Est
imate
d:
7A
pr
2009,
11:0
0:1
6N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 INFL,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INF
L.
54
![Page 55: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/55.jpg)
Tab
le41
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IN
FL
,U
K,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.3
80βββ
0.0
00
(0.0
43)
2.
0.3
65βββ
0.1
33β
0.0
37
(0.0
47)
(0.0
70)
3.
0.8
35ββββ
0.1
28
β0.0
33βββ
0.5
08
(0.1
03)
(0.0
83)
(0.0
06)
4.
0.5
03ββββ
0.0
05
β0.2
68βββ
0.4
14
(0.0
62)
(0.0
81)
(0.0
63)
5.
0.3
22ββββ
0.0
64ββ
0.6
32βββ
0.7
17
(0.1
23)
(0.0
25)
(0.1
62)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓINFLt
+Ξ²
2ΓΟ
2 INFL,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.2
81βββ
0.0
31ββ
0.0
86
(0.0
76)
(0.0
12)
7.
0.2
67βββ
0.0
12
1.2
81
0.1
35
(0.0
68)
(0.0
23)
(0.9
85)
8.
0.3
24βββ
β0.1
50βββ
0.4
86
(0.0
21)
(0.0
30)
9.
0.2
98βββ
0.0
01
0.4
71
β0.1
43βββ
0.4
93
(0.0
60)
(0.0
27)
(0.7
39)
(0.0
28)
10.
0.3
62βββ
0.2
96ββ
0.0
69
(0.0
68)
(0.1
53)
11.
0.2
70βββ
0.0
10
1.1
14
0.1
95
0.1
60
(0.0
68)
(0.0
23)
(0.8
72)
(0.1
53)
12.
0.3
14ββββ
0.0
07
0.3
73
β0.1
37βββ
0.2
33βββ
0.5
27
(0.0
57)
(0.0
26)
(0.6
69)
(0.0
27)
(0.0
72)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
β0.0
46
0.3
06βββ
0.1
42
0.0
81
0.6
55βββ
0.4
93βββ
.βββ
β0.1
77
0.5
12
(0.0
57)
(0.0
88)
(0.1
43)
(0.1
29)
(0.0
90)
(0.0
86)
(.)
(0.1
10)
14.
β0.0
42
0.0
09
0.3
01βββ
0.1
49
0.0
80
0.6
54βββ
0.4
89βββ
.βββ
β0.1
86
0.5
10
(0.0
60)
(0.0
36)
(0.0
90)
(0.1
47)
(0.1
29)
(0.0
90)
(0.0
88)
(.)
(0.1
17)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
β0.0
06
.βββ
0.2
33βββ
0.0
80β
0.0
34
0.0
24
0.0
17
0.3
95βββ
0.4
54
(0.0
43)
(.)
(0.0
96)
(0.0
45)
(0.0
27)
(0.0
83)
(0.1
18)
(0.0
49)
16.
β0.0
67
β0.1
23βββ
.βββ
0.2
58ββββ
0.0
68
0.0
42
0.0
30
0.1
30
0.3
98βββ
0.4
74
(0.0
47)
(0.0
42)
(.)
(0.0
95)
(0.0
44)
(0.0
27)
(0.0
81)
(0.1
22)
(0.0
48)
Est
imate
d:
7A
pr
2009,
11:0
0:1
9N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 INFL,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INF
L.
55
![Page 56: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/56.jpg)
Tab
le42
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IN
FL
,U
S,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.3
31βββ
0.0
00
(0.0
14)
2.
0.3
22βββ
0.1
05ββ
0.0
92
(0.0
12)
(0.0
53)
3.
0.3
28βββ
0.1
04βββ
0.0
00
0.0
88
(0.0
27)
(0.0
51)
(0.0
02)
4.
0.3
24βββ
0.1
05ββ
β0.0
05
0.0
88
(0.0
12)
(0.0
52)
(0.0
24)
5.
0.1
72βββ
0.0
63β
0.4
61βββ
0.2
84
(0.0
38)
(0.0
37)
(0.0
91)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓINFLt
+Ξ²
2ΓΟ
2 INFL,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.2
67βββ
0.0
22
0.0
53
(0.0
48)
(0.0
16)
7.
0.2
64βββ
0.0
19
0.1
39
0.0
61
(0.0
47)
(0.0
16)
(0.1
33)
8.
0.3
19βββ
β0.0
14
0.0
35
(0.0
14)
(0.0
09)
9.
0.2
79βββ
0.0
04
0.2
88βββ
0.0
21ββ
0.0
95
(0.0
43)
(0.0
15)
(0.1
28)
(0.0
08)
10.
0.3
26βββ
0.1
32ββ
0.0
17
(0.0
47)
(0.0
46)
11.
0.2
63βββ
0.0
17
0.1
41
0.1
08ββ
0.0
71
(0.0
47)
(0.0
16)
(0.1
30)
(0.0
46)
12.
0.2
80βββ
0.0
01
0.2
96βββ
0.0
22βββ
0.1
20ββ
0.1
12
(0.0
43)
(0.0
15)
(0.1
20)
(0.0
07)
(0.0
61)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.1
99βββ
0.0
93
0.2
64βββ
0.1
26
0.1
48ββ
0.0
15
β0.0
72
.βββ
0.0
78
(0.0
34)
(0.0
58)
(0.0
90)
(0.0
82)
(0.0
64)
(0.0
60)
(0.0
45)
(.)
14.
0.1
91βββ
0.1
08βββ
0.1
15ββ
0.2
50βββ
0.1
59ββ
0.1
32βββ
0.0
47
β0.0
47
.βββ
0.1
72
(0.0
32)
(0.0
22)
(0.0
55)
(0.0
85)
(0.0
78)
(0.0
61)
(0.0
58)
(0.0
43)
(.)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.1
30βββ
.βββ
0.0
49
0.0
71βββ
0.0
11
0.1
09
β0.0
32
0.1
17βββ
0.2
47
(0.0
28)
(.)
(0.0
65)
(0.0
27)
(0.0
12)
(0.0
67)
(0.0
91)
(0.0
35)
16.
0.1
52βββ
0.0
42β
.βββ
0.0
33
0.0
79βββ
0.0
05
0.0
95
β0.0
40
0.1
07βββ
0.2
53
(0.0
31)
(0.0
25)
(.)
(0.0
66)
(0.0
28)
(0.0
13)
(0.0
67)
(0.0
90)
(0.0
35)
Est
imate
d:
7A
pr
2009,
11:0
0:2
1N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 INFL,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INF
L.
56
![Page 57: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/57.jpg)
8.2.2 Short-run Interest Rate
57
![Page 58: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/58.jpg)
Tab
le43
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,R
3M,
CN
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.7
58βββ
0.0
00
(0.0
68)
2.
0.7
14βββ
0.3
61β
0.1
08
(0.0
59)
(0.1
86)
3.
1.2
93βββ
0.0
35
β0.0
40βββ
0.3
34
(0.1
92)
(0.1
83)
(0.0
11)
4.
0.8
85βββ
0.1
90
β0.3
28βββ
0.2
95
(0.0
84)
(0.1
87)
(0.0
93)
5.
0.4
22βββ
0.0
08
0.6
54βββ
0.6
26
(0.0
77)
(0.0
66)
(0.0
50)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓR
3Mt
+Ξ²
2ΓΟ
2 R3M,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.3
30βββ
0.0
80βββ
0.3
95
(0.0
79)
(0.0
13)
7.
0.3
28βββ
0.0
77βββ
0.1
36
0.3
93
(0.0
82)
(0.0
16)
(0.3
61)
8.
0.6
45βββ
β0.0
58βββ
0.1
93
(0.0
35)
(0.0
16)
9.
0.5
37βββ
0.0
26
β0.1
05
β0.0
52ββ
0.2
07
(0.0
81)
(0.0
22)
(0.5
66)
(0.0
26)
10.
0.7
32βββ
0.1
58ββ
0.0
30
(0.0
82)
(0.0
41)
11.
0.3
29βββ
0.0
78βββ
0.0
41
0.0
49
0.3
93
(0.0
82)
(0.0
16)
(0.3
63)
(0.0
41)
12.
0.5
43βββ
0.0
26
β0.2
63
β0.0
53ββ
0.0
75ββ
0.2
13
(0.0
79)
(0.0
21)
(0.5
74)
(0.0
26)
(0.0
36)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
β0.0
30
.βββ
0.0
57
0.1
65
0.0
43
0.3
78βββ
0.3
98βββ
0.4
80βββ
0.3
56
(0.0
87)
(.)
(0.1
14)
(0.1
31)
(0.0
87)
(0.1
37)
(0.0
95)
(0.1
18)
14.
β0.0
11
0.1
25β
.βββ
0.0
99
0.1
63
0.0
49
0.3
56βββ
0.3
19βββ
0.4
89βββ
0.3
62
(0.0
87)
(0.0
72)
(.)
(0.1
16)
(0.1
31)
(0.0
87)
(0.1
37)
(0.1
05)
(0.1
17)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.2
51βββ
0.2
55
0.0
46
0.2
13ββββ
0.0
34
0.1
79
0.4
68ββ
.βββ
0.2
15
(0.0
94)
(0.1
94)
(0.1
57)
(0.0
44)
(0.0
24)
(0.1
33)
(0.2
26)
(.)
16.
0.3
15βββ
0.1
83ββ
0.1
91
β0.0
01
0.2
10ββββ
0.0
23
0.1
14
0.3
40
.βββ
0.2
31
(0.0
98)
(0.0
80)
(0.1
94)
(0.1
56)
(0.0
44)
(0.0
24)
(0.1
34)
(0.2
30)
(.)
Est
imate
d:
7A
pr
2009,
11:0
0:4
0N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 R3M,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
R3M
.
58
![Page 59: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/59.jpg)
Tab
le44
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,R
3M,
FR
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.5
00βββ
0.0
00
(0.0
34)
2.
0.4
66βββ
0.2
45β
0.1
66
(0.0
20)
(0.1
30)
3.
0.6
48βββ
0.2
15βββ
0.0
13βββ
0.2
62
(0.0
61)
(0.1
05)
(0.0
04)
4.
0.5
14βββ
0.2
31ββ
β0.1
01ββ
0.2
21
(0.0
33)
(0.1
11)
(0.0
42)
5.
0.2
63βββ
0.0
96ββ
0.5
83βββ
0.5
14
(0.0
62)
(0.0
46)
(0.0
94)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓR
3Mt
+Ξ²
2ΓΟ
2 R3M,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.3
29βββ
0.0
33βββ
0.2
15
(0.0
46)
(0.0
12)
7.
0.3
96ββββ
0.0
01
1.3
84βββ
0.4
20
(0.0
35)
(0.0
09)
(0.3
26)
8.
0.4
86βββ
β0.0
31
0.0
26
(0.0
34)
(0.0
21)
9.
0.4
46ββββ
0.0
19ββ
1.7
21βββ
0.0
08
0.4
63
(0.0
35)
(0.0
09)
(0.3
39)
(0.0
15)
10.
0.4
85βββ
0.4
58βββ
0.0
56
(0.0
35)
(0.0
72)
11.
0.3
93ββββ
0.0
01
1.3
38βββ
0.0
95
0.4
20
(0.0
35)
(0.0
09)
(0.3
38)
(0.0
72)
12.
0.4
44ββββ
0.0
18β
1.6
95βββ
0.0
07
0.0
30
0.4
60
(0.0
37)
(0.0
10)
(0.3
93)
(0.0
16)
(0.0
90)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.2
21βββ
0.0
22
.βββ
0.1
86ββ
0.1
96ββββ
0.1
83ββ
0.2
33ββββ
0.0
94
0.2
78
(0.0
51)
(0.0
44)
(.)
(0.0
81)
(0.0
52)
(0.0
85)
(0.0
59)
(0.0
76)
14.
0.2
26βββ
0.1
69βββ
0.0
37
.βββ
0.0
62
0.1
87ββββ
0.1
35
0.1
99ββββ
0.0
34
0.3
42
(0.0
49)
(0.0
37)
(0.0
42)
(.)
(0.0
82)
(0.0
50)
(0.0
82)
(0.0
57)
(0.0
73)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.1
34β
0.6
36ββββ
0.0
32
0.0
08
0.0
56
0.1
10
0.5
69βββ
.βββ
0.1
26
(0.0
71)
(0.1
88)
(0.1
78)
(0.0
52)
(0.0
38)
(0.1
56)
(0.1
61)
(.)
16.
0.1
66ββ
0.2
25βββ
0.6
03ββββ
0.0
35
β0.0
10
0.0
71βββ
0.0
06
0.4
67βββ
.βββ
0.2
63
(0.0
66)
(0.0
36)
(0.1
73)
(0.1
64)
(0.0
48)
(0.0
35)
(0.1
44)
(0.1
49)
(.)
Est
imate
d:
7A
pr
2009,
11:0
0:4
2N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 R3M,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
R3M
.
59
![Page 60: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/60.jpg)
Tab
le45
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,R
3M,
GE
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.4
58βββ
0.0
00
(0.0
34)
2.
0.4
18βββ
0.1
13β
0.0
79
(0.0
40)
(0.0
60)
3.
0.6
32βββ
0.0
82ββ
0.0
15βββ
0.2
33
(0.0
81)
(0.0
47)
(0.0
05)
4.
0.4
77βββ
0.1
10ββ
β0.1
26ββ
0.1
91
(0.0
54)
(0.0
49)
(0.0
49)
5.
0.2
67βββ
0.0
47ββ
0.5
46βββ
0.4
68
(0.0
65)
(0.0
21)
(0.0
64)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓR
3Mt
+Ξ²
2ΓΟ
2 R3M,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.2
79βββ
0.0
38βββ
0.2
45
(0.0
55)
(0.0
10)
7.
0.2
74βββ
0.0
30ββ
1.5
65
0.2
55
(0.0
55)
(0.0
14)
(1.3
89)
8.
0.4
44βββ
0.0
10
0.0
01
(0.0
35)
(0.0
19)
9.
0.2
32βββ
0.0
41βββ
0.8
47
β0.0
32βββ
0.2
52
(0.0
53)
(0.0
15)
(1.2
91)
(0.0
11)
10.
0.4
47βββ
0.3
35ββ
0.0
17
(0.0
55)
(0.1
73)
11.
0.2
74βββ
0.0
30ββ
1.4
47
0.0
91
0.2
53
(0.0
55)
(0.0
14)
(1.4
25)
(0.1
73)
12.
0.2
32βββ
0.0
41βββ
0.8
86
β0.0
32ββββ
0.0
46
0.2
48
(0.0
53)
(0.0
15)
(1.2
97)
(0.0
11)
(0.1
98)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.0
45
0.0
48
0.1
41ββ
.βββ
0.1
35ββββ
0.0
33
0.1
64βββ
0.2
12βββ
0.3
23
(0.0
47)
(0.0
38)
(0.0
61)
(.)
(0.0
46)
(0.0
75)
(0.0
52)
(0.0
64)
14.
0.0
55
0.0
76βββ
0.0
79ββ
0.1
00
.βββ
0.1
33βββ
0.0
03
0.1
16ββ
0.1
85βββ
0.3
51
(0.0
46)
(0.0
25)
(0.0
39)
(0.0
61)
(.)
(0.0
45)
(0.0
74)
(0.0
54)
(0.0
64)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.2
57βββ
0.1
50
0.0
69
β0.0
42
0.0
20
0.2
66βββ
0.0
87ββ
.βββ
0.0
85
(0.0
64)
(0.1
57)
(0.1
02)
(0.0
49)
(0.0
27)
(0.1
03)
(0.0
41)
(.)
16.
0.3
23βββ
0.0
91βββ
0.1
41
0.0
44
β0.0
79
0.0
01
0.2
66βββ
0.0
22
.βββ
0.1
13
(0.0
67)
(0.0
34)
(0.1
55)
(0.1
01)
(0.0
50)
(0.0
28)
(0.1
01)
(0.0
47)
(.)
Est
imate
d:
7A
pr
2009,
11:0
0:4
5N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 R3M,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
R3M
.
60
![Page 61: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/61.jpg)
Tab
le46
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,R
3M,
IT,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.5
79βββ
0.0
00
(0.0
53)
2.
0.5
46βββ
0.3
23βββ
0.1
06
(0.0
51)
(0.0
84)
3.
1.0
03βββ
0.1
28
β0.0
33βββ
0.3
65
(0.0
95)
(0.0
81)
(0.0
05)
4.
0.7
20βββ
0.1
49β
β0.3
41βββ
0.4
05
(0.0
50)
(0.0
80)
(0.0
52)
5.
0.4
49βββ
0.0
60
0.5
46βββ
0.5
49
(0.0
46)
(0.0
48)
(0.0
68)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓR
3Mt
+Ξ²
2ΓΟ
2 R3M,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.2
78βββ
0.0
45βββ
0.3
68
(0.0
36)
(0.0
06)
7.
0.3
03βββ
0.0
37βββ
0.1
88
0.3
73
(0.0
44)
(0.0
12)
(0.2
08)
8.
0.5
43βββ
β0.0
51ββ
0.0
46
(0.0
52)
(0.0
25)
9.
0.2
52βββ
0.0
45ββ
0.0
61
β0.0
45βββ
0.4
38
(0.0
57)
(0.0
18)
(0.2
72)
(0.0
12)
10.
0.5
56βββ
0.2
04βββ
0.0
60
(0.0
44)
(0.0
69)
11.
0.3
02βββ
0.0
37βββ
0.1
68
0.0
19
0.3
70
(0.0
44)
(0.0
12)
(0.2
24)
(0.0
69)
12.
0.2
51βββ
0.0
45ββ
0.0
53
β0.0
45βββ
0.0
08
0.4
35
(0.0
57)
(0.0
18)
(0.2
81)
(0.0
12)
(0.0
67)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.0
89
0.0
29
0.3
35βββ
0.3
06βββ
.βββ
0.5
87βββ
0.0
51
β0.0
64
0.3
92
(0.0
70)
(0.0
58)
(0.0
90)
(0.1
05)
(.)
(0.1
05)
(0.0
81)
(0.0
99)
14.
0.0
85
β0.0
18
0.0
24
0.3
45βββ
0.3
15βββ
.βββ
0.5
93βββ
0.0
52
β0.0
70
0.3
89
(0.0
72)
(0.0
72)
(0.0
60)
(0.0
99)
(0.1
12)
(.)
(0.1
08)
(0.0
81)
(0.1
02)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.2
88βββ
1.1
56βββ
0.0
73
β0.0
87
0.0
49
0.0
79
β0.1
13
.βββ
0.3
08
(0.0
63)
(0.1
37)
(0.1
68)
(0.0
57)
(0.0
40)
(0.1
43)
(0.0
93)
(.)
16.
0.3
35βββ
0.1
62ββ
1.0
69βββ
0.0
20
β0.0
68
0.0
56
β0.0
36
β0.1
35
.βββ
0.3
25
(0.0
65)
(0.0
66)
(0.1
40)
(0.1
68)
(0.0
57)
(0.0
39)
(0.1
48)
(0.0
92)
(.)
Est
imate
d:
7A
pr
2009,
11:0
0:4
7N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 R3M,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
R3M
.
61
![Page 62: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/62.jpg)
Tab
le47
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,R
3M,
JP,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.2
73βββ
0.0
00
(0.0
42)
2.
0.2
97ββββ
0.0
58
0.0
18
(0.0
52)
(0.0
74)
3.
0.6
64ββββ
0.0
54
β0.0
28βββ
0.5
38
(0.0
54)
(0.0
40)
(0.0
05)
4.
0.4
17ββββ
0.0
52
β0.2
67βββ
0.5
13
(0.0
26)
(0.0
41)
(0.0
50)
5.
0.1
69ββββ
0.0
23ββ
0.7
48βββ
0.7
96
(0.0
51)
(0.0
11)
(0.0
67)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓR
3Mt
+Ξ²
2ΓΟ
2 R3M,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.1
95βββ
0.0
44βββ
0.3
44
(0.0
42)
(0.0
09)
7.
0.1
78βββ
0.0
13
3.5
98
0.3
67
(0.0
47)
(0.0
16)
(2.4
49)
8.
0.2
48βββ
0.0
70βββ
0.5
76
(0.0
22)
(0.0
10)
9.
0.2
43ββββ
0.0
21
1.9
72
0.0
71βββ
0.5
78
(0.0
25)
(0.0
15)
(2.1
94)
(0.0
11)
10.
0.2
67βββ
0.0
53
0.0
23
(0.0
47)
(0.0
14)
11.
0.1
78βββ
0.0
14
3.3
85
0.0
20
0.3
68
(0.0
47)
(0.0
16)
(2.4
95)
(0.0
14)
12.
0.2
43ββββ
0.0
21
1.7
98
0.0
71βββ
0.0
20
0.5
80
(0.0
25)
(0.0
15)
(2.2
89)
(0.0
11)
(0.0
12)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.0
44
0.0
98ββββ
0.1
24βββ
0.0
30
0.2
32βββ
.βββ
0.2
41ββββ
0.1
36ββ
0.4
14
(0.0
44)
(0.0
36)
(0.0
58)
(0.0
67)
(0.0
42)
(.)
(0.0
48)
(0.0
62)
14.
0.0
58
β0.0
40β
0.0
83βββ
0.0
96
β0.0
49
0.2
38βββ
.βββ
0.2
41ββββ
0.1
25ββ
0.4
21
(0.0
45)
(0.0
22)
(0.0
36)
(0.0
59)
(0.0
68)
(0.0
41)
(.)
(0.0
47)
(0.0
62)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.1
38βββ
0.6
44βββ
0.0
47
β0.0
12
β0.0
15
0.0
43
β0.3
27ββ
.βββ
0.2
30
(0.0
48)
(0.0
92)
(0.0
64)
(0.0
22)
(0.0
17)
(0.0
63)
(0.1
28)
(.)
16.
0.1
06βββ
0.1
11βββ
0.6
77βββ
0.0
92
β0.0
02
β0.0
23
0.1
02ββ
0.3
38βββ
.βββ
0.2
93
(0.0
47)
(0.0
26)
(0.0
88)
(0.0
62)
(0.0
21)
(0.0
17)
(0.0
62)
(0.1
22)
(.)
Est
imate
d:
7A
pr
2009,
11:0
0:4
9N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 R3M,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
R3M
.
62
![Page 63: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/63.jpg)
Tab
le48
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,R
3M,
UK
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.7
14βββ
0.0
00
(0.0
58)
2.
0.6
73βββ
0.3
62βββ
0.1
57
(0.0
53)
(0.0
75)
3.
1.2
44βββ
0.0
46
β0.0
40βββ
0.5
16
(0.1
16)
(0.0
71)
(0.0
08)
4.
0.8
27βββ
0.2
08ββ
β0.2
99βββ
0.3
99
(0.0
74)
(0.0
86)
(0.0
78)
5.
0.5
34ββββ
0.0
16
0.5
75βββ
0.6
71
(0.0
95)
(0.0
40)
(0.0
50)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓR
3Mt
+Ξ²
2ΓΟ
2 R3M,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.3
27βββ
0.0
57βββ
0.3
65
(0.0
72)
(0.0
06)
7.
0.4
25βββ
0.0
26
2.1
99β
0.4
05
(0.1
17)
(0.0
24)
(1.3
15)
8.
0.6
37βββ
β0.1
51βββ
0.3
11
(0.0
34)
(0.0
36)
9.
0.6
20ββββ
0.0
16
2.8
43ββββ
0.1
10βββ
0.4
62
(0.0
94)
(0.0
19)
(0.9
58)
(0.0
38)
10.
0.6
90βββ
0.3
83βββ
0.0
59
(0.1
25)
(0.1
13)
11.
0.4
24βββ
0.0
27
2.1
62
0.0
12
0.4
02
(0.1
25)
(0.0
26)
(1.6
12)
(0.1
13)
12.
0.6
34ββββ
0.0
20
3.1
87ββββ
0.1
09ββββ
0.1
02
0.4
63
(0.1
05)
(0.0
22)
(1.1
00)
(0.0
37)
(0.0
86)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.1
38ββ
0.2
04βββ
0.3
09βββ
0.2
88βββ
0.0
40
0.4
73βββ
.βββ
β0.0
31
0.4
95
(0.0
61)
(0.0
49)
(0.0
79)
(0.0
92)
(0.0
62)
(0.0
94)
(.)
(0.0
88)
14.
0.1
40ββ
0.1
98βββ
0.1
62βββ
0.3
30βββ
0.2
91βββ
0.0
29
0.4
06βββ
.βββ
0.0
05
0.5
35
(0.0
59)
(0.0
46)
(0.0
48)
(0.0
76)
(0.0
88)
(0.0
60)
(0.0
91)
(.)
(0.0
84)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.1
77βββ
0.6
33βββ
0.1
69
0.0
60
β0.0
05
β0.0
68
0.7
03βββ
.βββ
0.5
46
(0.0
52)
(0.0
78)
(0.1
23)
(0.0
57)
(0.0
34)
(0.1
05)
(0.1
41)
(.)
16.
0.2
21βββ
0.0
93β
0.6
56βββ
0.1
40
0.0
53
β0.0
12
β0.0
72
0.6
07βββ
.βββ
0.5
50
(0.0
58)
(0.0
55)
(0.0
79)
(0.1
24)
(0.0
57)
(0.0
34)
(0.1
04)
(0.1
52)
(.)
Est
imate
d:
7A
pr
2009,
11:0
0:5
2N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 R3M,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
R3M
.
63
![Page 64: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/64.jpg)
Tab
le49
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,R
3M,
US,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.5
64βββ
0.0
00
(0.0
30)
2.
0.5
53βββ
0.1
24βββ
0.0
35
(0.0
30)
(0.0
45)
3.
0.5
69βββ
0.1
21βββ
0.0
01
0.0
31
(0.0
94)
(0.0
54)
(0.0
06)
4.
0.5
49βββ
0.1
24βββ
0.0
08
0.0
31
(0.0
35)
(0.0
44)
(0.0
56)
5.
0.1
78βββ
0.0
55βββ
0.6
56βββ
0.4
71
(0.0
43)
(0.0
21)
(0.0
58)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓR
3Mt
+Ξ²
2ΓΟ
2 R3M,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.5
62βββ
0.0
01
β0.0
05
(0.0
90)
(0.0
19)
7.
0.5
37ββββ
0.0
03
1.0
69
0.0
12
(0.0
91)
(0.0
19)
(1.0
23)
8.
0.5
41βββ
β0.0
11
0.0
03
(0.0
32)
(0.0
18)
9.
0.6
23ββββ
0.0
24
0.6
44
β0.0
06
0.0
58
(0.0
73)
(0.0
15)
(1.0
29)
(0.0
19)
10.
0.5
59βββ
0.1
26
0.0
01
(0.0
91)
(0.1
24)
11.
0.5
37ββββ
0.0
03
1.0
11
0.0
33
0.0
07
(0.0
91)
(0.0
19)
(1.0
61)
(0.1
24)
12.
0.6
25ββββ
0.0
24
0.4
41
β0.0
07
0.1
12
0.0
58
(0.0
72)
(0.0
15)
(0.9
72)
(0.0
19)
(0.0
95)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.4
52βββ
0.1
61ββββ
0.0
82
0.2
45ββββ
0.0
33
β0.1
76βββ
0.0
20
.βββ
0.1
35
(0.0
39)
(0.0
40)
(0.0
66)
(0.0
74)
(0.0
51)
(0.0
80)
(0.0
58)
(.)
14.
0.4
50βββ
0.1
01ββ
0.1
48ββββ
0.0
76
0.2
56ββββ
0.0
33
β0.1
61βββ
0.0
33
.βββ
0.1
57
(0.0
38)
(0.0
41)
(0.0
39)
(0.0
65)
(0.0
74)
(0.0
50)
(0.0
79)
(0.0
57)
(.)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.3
58βββ
0.4
54βββ
0.2
45β
0.1
30βββ
0.0
25
β0.4
15βββ
0.2
77
.βββ
0.1
46
(0.0
53)
(0.1
36)
(0.1
28)
(0.0
54)
(0.0
24)
(0.1
29)
(0.1
78)
(.)
16.
0.4
07βββ
0.1
00ββ
0.4
11βββ
0.2
02
0.1
48ββββ
0.0
39
β0.4
37βββ
0.2
50
.βββ
0.1
59
(0.0
58)
(0.0
49)
(0.1
37)
(0.1
28)
(0.0
55)
(0.0
25)
(0.1
29)
(0.1
77)
(.)
Est
imate
d:
7A
pr
2009,
11:0
0:5
4N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 R3M,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
R3M
.
64
![Page 65: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/65.jpg)
8.2.3 GDP
65
![Page 66: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/66.jpg)
Tab
le50
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,G
DP,
CN
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.4
60βββ
0.0
00
(0.0
31)
2.
0.4
32βββ
0.2
29βββ
0.1
60
(0.0
28)
(0.0
46)
3.
0.6
75βββ
0.0
92ββ
0.0
17βββ
0.3
04
(0.0
56)
(0.0
53)
(0.0
04)
4.
0.4
92βββ
0.1
70βββ
β0.1
14ββ
0.2
40
(0.0
25)
(0.0
45)
(0.0
49)
5.
0.3
44βββ
0.0
34
0.5
05βββ
0.4
77
(0.0
58)
(0.0
30)
(0.0
79)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓGDPt
+Ξ²
2ΓΟ
2 GDP,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.5
53ββββ
0.0
35βββ
0.1
36
(0.0
30)
(0.0
08)
7.
0.2
85ββββ
0.0
07
1.6
35βββ
0.2
75
(0.0
83)
(0.0
11)
(0.4
62)
8.
0.4
23βββ
β0.0
33βββ
0.1
42
(0.0
32)
(0.0
12)
9.
0.2
33βββ
0.0
03
1.6
93ββββ
0.0
23ββ
0.3
24
(0.0
82)
(0.0
13)
(0.5
28)
(0.0
10)
10.
0.4
47βββ
0.0
80ββ
0.0
27
(0.0
82)
(0.0
23)
11.
0.2
78ββββ
0.0
06
1.6
07βββ
0.0
46ββ
0.2
82
(0.0
82)
(0.0
11)
(0.4
58)
(0.0
23)
12.
0.2
33βββ
0.0
03
1.6
84ββββ
0.0
22ββ
0.0
11
0.3
21
(0.0
83)
(0.0
13)
(0.5
26)
(0.0
11)
(0.0
21)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
β0.0
02
.βββ
0.1
04
0.2
05ββββ
0.0
23
0.0
63
0.5
13βββ
0.2
66βββ
0.3
76
(0.0
52)
(.)
(0.1
21)
(0.0
75)
(0.0
96)
(0.0
41)
(0.0
66)
(0.0
75)
14.
0.0
20
0.1
15βββ
.βββ
0.1
05
0.2
20ββββ
0.0
31
0.1
02ββ
0.4
18βββ
0.2
01βββ
0.3
98
(0.0
52)
(0.0
40)
(.)
(0.1
19)
(0.0
74)
(0.0
94)
(0.0
42)
(0.0
73)
(0.0
78)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.0
89ββ
β0.0
39
.βββ
0.0
33
0.0
15
0.2
95βββ
0.5
34βββ
0.0
09
0.4
13
(0.0
43)
(0.0
88)
(.)
(0.0
21)
(0.0
11)
(0.0
57)
(0.0
96)
(0.0
32)
16.
0.1
13ββ
0.0
68β
β0.0
59
.βββ
0.0
33
0.0
19β
0.2
67βββ
0.4
82ββββ
0.0
00
0.4
20
(0.0
45)
(0.0
37)
(0.0
88)
(.)
(0.0
21)
(0.0
11)
(0.0
58)
(0.1
00)
(0.0
32)
Est
imate
d:
7A
pr
2009,
11:0
0:2
3N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 GDP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
GD
P.
66
![Page 67: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/67.jpg)
Tab
le51
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,G
DP,
FR
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.3
04βββ
0.0
00
(0.0
13)
2.
0.3
01βββ
0.0
22
0.0
02
(0.0
14)
(0.0
39)
3.
0.2
86βββ
0.0
24
0.0
01
0.0
00
(0.0
28)
(0.0
38)
(0.0
02)
4.
0.2
83βββ
0.0
27
0.0
36
0.0
37
(0.0
11)
(0.0
39)
(0.0
24)
5.
0.1
19βββ
0.0
10
0.5
78βββ
0.3
32
(0.0
22)
(0.0
18)
(0.0
52)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓGDPt
+Ξ²
2ΓΟ
2 GDP,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.3
21ββββ
0.0
09
0.0
11
(0.0
28)
(0.0
14)
7.
0.2
74ββββ
0.0
06
0.4
96
0.0
21
(0.0
53)
(0.0
14)
(0.4
85)
8.
0.3
06βββ
0.0
16
0.0
34
(0.0
13)
(0.0
10)
9.
0.4
09ββββ
0.0
33βββ
0.5
46
0.0
38βββ
0.1
04
(0.0
73)
(0.0
17)
(0.6
39)
(0.0
12)
10.
0.3
00βββ
0.1
18βββ
0.0
16
(0.0
52)
(0.0
42)
11.
0.2
74ββββ
0.0
05
0.4
43
0.0
97ββ
0.0
30
(0.0
52)
(0.0
14)
(0.4
75)
(0.0
42)
12.
0.4
06ββββ
0.0
32ββ
0.5
88
0.0
38βββ
0.1
02ββ
0.1
12
(0.0
73)
(0.0
17)
(0.6
30)
(0.0
12)
(0.0
52)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.2
04βββ
0.0
36
.βββ
0.0
04
0.0
98β
0.0
51βββ
0.1
05ββ
0.1
76βββ
0.1
26
(0.0
27)
(0.0
41)
(.)
(0.0
45)
(0.0
56)
(0.0
24)
(0.0
43)
(0.0
44)
14.
0.2
09βββ
0.0
21
0.0
37
.βββ
β0.0
07
0.0
88
0.0
48βββ
0.1
12ββ
0.1
83βββ
0.1
28
(0.0
27)
(0.0
19)
(0.0
41)
(.)
(0.0
46)
(0.0
56)
(0.0
24)
(0.0
44)
(0.0
44)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.0
61ββ
0.0
91
.βββ
0.0
62βββ
0.0
50βββ
0.3
02βββ
0.1
20ββ
0.0
05
0.2
89
(0.0
28)
(0.0
77)
(.)
(0.0
20)
(0.0
15)
(0.0
58)
(0.0
66)
(0.0
28)
16.
0.0
62ββ
0.0
02
0.0
92
.βββ
0.0
61βββ
0.0
50βββ
0.3
01βββ
0.1
20ββ
0.0
07
0.2
86
(0.0
29)
(0.0
17)
(0.0
77)
(.)
(0.0
20)
(0.0
15)
(0.0
59)
(0.0
66)
(0.0
31)
Est
imate
d:
7A
pr
2009,
11:0
0:2
6N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 GDP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
GD
P.
67
![Page 68: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/68.jpg)
Tab
le52
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,G
DP,
GE
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.3
40βββ
0.0
00
(0.0
24)
2.
0.3
00βββ
0.1
16ββ
0.1
34
(0.0
15)
(0.0
48)
3.
0.3
79βββ
0.1
04βββ
0.0
06
0.1
65
(0.0
63)
(0.0
42)
(0.0
04)
4.
0.3
40βββ
0.1
14βββ
β0.0
86βββ
0.2
14
(0.0
23)
(0.0
40)
(0.0
33)
5.
0.1
65βββ
0.0
45ββ
0.5
81βββ
0.4
58
(0.0
41)
(0.0
21)
(0.0
85)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓGDPt
+Ξ²
2ΓΟ
2 GDP,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.3
76ββββ
0.0
19
0.0
53
(0.0
40)
(0.0
13)
7.
0.2
87ββββ
0.0
33βββ
0.7
25βββ
0.2
29
(0.0
22)
(0.0
08)
(0.1
98)
8.
0.3
47βββ
β0.0
03
β0.0
04
(0.0
24)
(0.0
15)
9.
0.2
57ββββ
0.0
22ββ
0.8
24ββββ
0.0
16
0.2
30
(0.0
33)
(0.0
10)
(0.2
30)
(0.0
14)
10.
0.3
39βββ
0.0
54
β0.0
04
(0.0
22)
(0.1
31)
11.
0.2
88ββββ
0.0
33βββ
0.7
35βββ
β0.0
64
0.2
26
(0.0
22)
(0.0
08)
(0.2
07)
(0.1
31)
12.
0.2
56ββββ
0.0
22ββ
0.8
14ββββ
0.0
17
0.0
74
0.2
27
(0.0
32)
(0.0
10)
(0.2
40)
(0.0
14)
(0.1
18)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.1
45βββ
0.1
77βββ
0.0
09
.βββ
0.3
56βββ
0.0
97βββ
0.0
01
β0.1
32β
0.1
64
(0.0
48)
(0.0
65)
(0.1
13)
(.)
(0.0
85)
(0.0
37)
(0.0
70)
(0.0
72)
14.
0.1
98βββ
0.0
86βββ
0.0
89
β0.0
65
.βββ
0.2
71βββ
0.0
98βββ
0.0
12
β0.1
41ββ
0.2
15
(0.0
48)
(0.0
23)
(0.0
67)
(0.1
11)
(.)
(0.0
86)
(0.0
36)
(0.0
68)
(0.0
69)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.0
62
β0.1
34
.βββ
0.1
36βββ
0.0
08
0.3
11βββ
0.1
20βββ
0.0
33
0.3
03
(0.0
46)
(0.1
10)
(.)
(0.0
33)
(0.0
19)
(0.0
70)
(0.0
28)
(0.0
50)
16.
0.0
85β
0.0
28
β0.1
34
.βββ
0.1
23βββ
0.0
02
0.3
11βββ
0.1
00βββ
0.0
22
0.3
04
(0.0
50)
(0.0
24)
(0.1
09)
(.)
(0.0
34)
(0.0
20)
(0.0
70)
(0.0
33)
(0.0
50)
Est
imate
d:
7A
pr
2009,
11:0
0:2
8N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 GDP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
GD
P.
68
![Page 69: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/69.jpg)
Tab
le53
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,G
DP,
IT,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.2
64βββ
0.0
00
(0.0
16)
2.
0.2
53βββ
0.1
07βββ
0.0
71
(0.0
14)
(0.0
39)
3.
0.2
51βββ
0.1
08ββ
0.0
00
0.0
66
(0.0
45)
(0.0
44)
(0.0
03)
4.
0.2
41βββ
0.1
20βββ
0.0
25
0.0
76
(0.0
24)
(0.0
44)
(0.0
27)
5.
0.1
27βββ
0.0
52β
0.5
04βββ
0.3
00
(0.0
32)
(0.0
29)
(0.0
76)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓGDPt
+Ξ²
2ΓΟ
2 GDP,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.3
03ββββ
0.0
28ββ
0.1
02
(0.0
22)
(0.0
12)
7.
0.3
03ββββ
0.0
28βββ
0.0
01
0.0
98
(0.0
40)
(0.0
12)
(0.3
52)
8.
0.2
63βββ
β0.0
07
0.0
00
(0.0
14)
(0.0
13)
9.
0.3
17ββββ
0.0
31ββββ
0.0
43
0.0
10
0.0
85
(0.0
38)
(0.0
11)
(0.3
33)
(0.0
10)
10.
0.2
61βββ
0.0
34
0.0
06
(0.0
40)
(0.0
27)
11.
0.3
04ββββ
0.0
27βββ
0.0
30
0.0
15
0.0
96
(0.0
40)
(0.0
12)
(0.3
73)
(0.0
27)
12.
0.3
18ββββ
0.0
29βββ
0.0
91
0.0
10
0.0
22
0.0
84
(0.0
38)
(0.0
12)
(0.3
51)
(0.0
11)
(0.0
30)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.0
41
β0.0
13
0.1
58β
0.2
28βββ
.βββ
0.0
33
0.0
43
0.1
64βββ
0.1
63
(0.0
39)
(0.0
53)
(0.0
90)
(0.0
54)
(.)
(0.0
30)
(0.0
56)
(0.0
57)
14.
0.0
76β
0.0
81βββ
β0.0
08
0.1
35
0.1
89βββ
.βββ
0.0
10
β0.0
03
0.1
92βββ
0.1
91
(0.0
40)
(0.0
29)
(0.0
52)
(0.0
88)
(0.0
55)
(.)
(0.0
31)
(0.0
57)
(0.0
57)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.0
69ββ
β0.0
15
.βββ
0.0
54ββ
0.0
53βββ
0.1
82βββ
0.1
07βββ
0.0
13
0.2
40
(0.0
28)
(0.0
68)
(.)
(0.0
24)
(0.0
16)
(0.0
59)
(0.0
39)
(0.0
30)
16.
0.0
85βββ
0.0
50β
β0.0
31
.βββ
0.0
58ββ
0.0
55βββ
0.1
45ββ
0.0
97ββ
0.0
04
0.2
48
(0.0
29)
(0.0
28)
(0.0
68)
(.)
(0.0
24)
(0.0
16)
(0.0
62)
(0.0
39)
(0.0
30)
Est
imate
d:
7A
pr
2009,
11:0
0:3
0N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 GDP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
GD
P.
69
![Page 70: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/70.jpg)
Tab
le54
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,G
DP,
JP,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.6
88βββ
0.0
00
(0.0
49)
2.
0.6
02βββ
0.2
07βββ
0.1
43
(0.0
45)
(0.0
78)
3.
0.6
25βββ
0.2
07ββββ
0.0
02
0.1
39
(0.1
13)
(0.0
78)
(0.0
07)
4.
0.5
89βββ
0.2
07βββ
0.0
29
0.1
41
(0.0
53)
(0.0
80)
(0.0
83)
5.
0.1
81βββ
0.0
55ββ
0.7
30βββ
0.5
92
(0.0
40)
(0.0
26)
(0.0
41)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓGDPt
+Ξ²
2ΓΟ
2 GDP,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.7
50ββββ
0.0
43ββ
0.0
82
(0.0
58)
(0.0
19)
7.
0.7
04ββββ
0.0
37
0.2
08
0.0
79
(0.1
69)
(0.0
27)
(0.6
88)
8.
0.7
08βββ
β0.0
12
0.0
03
(0.0
49)
(0.0
23)
9.
0.7
35ββββ
0.0
35
0.0
64
0.0
00
0.0
28
(0.1
67)
(0.0
32)
(0.6
55)
(0.0
20)
10.
0.6
83βββ
0.0
37
0.0
02
(0.1
64)
(0.0
55)
11.
0.6
84ββββ
0.0
35
0.2
77
0.0
32
0.0
80
(0.1
64)
(0.0
27)
(0.6
64)
(0.0
55)
12.
0.7
17ββββ
0.0
32
0.1
16
β0.0
01
0.0
30
0.0
28
(0.1
66)
(0.0
32)
(0.6
44)
(0.0
19)
(0.0
52)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.4
35βββ
0.1
92
0.4
52ββ
0.3
39βββ
0.1
82
.βββ
β0.0
46
β0.3
10ββ
0.0
87
(0.0
86)
(0.1
23)
(0.2
09)
(0.1
31)
(0.1
66)
(.)
(0.1
31)
(0.1
34)
14.
0.4
40βββ
0.1
78βββ
0.0
62
0.3
58β
0.2
29β
0.1
79
.βββ
0.0
64
β0.3
09ββ
0.1
81
(0.0
81)
(0.0
37)
(0.1
20)
(0.1
99)
(0.1
26)
(0.1
57)
(.)
(0.1
26)
(0.1
27)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
β0.0
67
0.2
44ββ
.βββ
0.0
54ββ
0.0
85βββ
0.2
73βββ
0.7
35βββ
0.0
57
0.5
23
(0.0
55)
(0.1
12)
(.)
(0.0
24)
(0.0
18)
(0.0
67)
(0.1
34)
(0.0
79)
16.
β0.0
50
0.0
83βββ
0.1
68
.βββ
0.0
45β
0.0
88βββ
0.2
16βββ
0.7
37βββ
0.1
20
0.5
39
(0.0
54)
(0.0
30)
(0.1
14)
(.)
(0.0
24)
(0.0
18)
(0.0
69)
(0.1
32)
(0.0
81)
Est
imate
d:
7A
pr
2009,
11:0
0:3
3N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 GDP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
GD
P.
70
![Page 71: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/71.jpg)
Tab
le55
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,G
DP,
UK
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.4
34βββ
0.0
00
(0.0
32)
2.
0.4
05βββ
0.2
60βββ
0.2
37
(0.0
26)
(0.0
48)
3.
0.6
66βββ
0.1
16βββ
0.0
18βββ
0.4
53
(0.0
54)
(0.0
52)
(0.0
03)
4.
0.4
77βββ
0.1
89βββ
β0.1
38βββ
0.3
87
(0.0
36)
(0.0
55)
(0.0
40)
5.
0.2
61βββ
0.0
50ββ
0.6
02βββ
0.6
48
(0.0
61)
(0.0
23)
(0.0
74)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓGDPt
+Ξ²
2ΓΟ
2 GDP,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.5
69ββββ
0.0
58βββ
0.2
35
(0.0
42)
(0.0
19)
7.
0.3
53ββββ
0.0
19
2.3
65βββ
0.4
33
(0.0
57)
(0.0
14)
(0.5
57)
8.
0.4
05βββ
β0.0
62ββ
0.1
22
(0.0
27)
(0.0
27)
9.
0.3
18ββββ
0.0
13
2.8
01ββββ
0.0
27
0.4
68
(0.0
47)
(0.0
10)
(0.6
72)
(0.0
21)
10.
0.4
17βββ
0.2
80βββ
0.0
94
(0.0
56)
(0.0
37)
11.
0.3
48ββββ
0.0
17
2.2
58βββ
0.1
03βββ
0.4
42
(0.0
56)
(0.0
14)
(0.5
39)
(0.0
37)
12.
0.3
16ββββ
0.0
12
2.6
48ββββ
0.0
26
0.1
09
0.4
78
(0.0
47)
(0.0
10)
(0.6
68)
(0.0
20)
(0.0
75)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.2
36βββ
0.4
58ββββ
0.2
73ββ
0.0
01
0.0
70
β0.0
14
.βββ
0.1
62ββ
0.3
18
(0.0
47)
(0.0
59)
(0.1
13)
(0.0
72)
(0.0
90)
(0.0
39)
(.)
(0.0
73)
14.
0.2
43βββ
0.1
75βββ
0.3
48ββββ
0.2
35ββ
0.0
25
0.0
39
0.0
51
.βββ
0.0
76
0.3
88
(0.0
44)
(0.0
36)
(0.0
60)
(0.1
07)
(0.0
69)
(0.0
86)
(0.0
39)
(.)
(0.0
71)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
β0.0
21
0.1
23ββ
.βββ
0.0
89βββ
0.0
25
0.2
66βββ
0.3
32βββ
0.0
56
0.5
67
(0.0
31)
(0.0
51)
(.)
(0.0
32)
(0.0
20)
(0.0
57)
(0.0
83)
(0.0
41)
16.
0.0
07
0.0
56β
0.1
40βββ
.βββ
0.0
84βββ
0.0
20
0.2
59βββ
0.2
75βββ
0.0
46
0.5
72
(0.0
35)
(0.0
31)
(0.0
51)
(.)
(0.0
32)
(0.0
20)
(0.0
57)
(0.0
88)
(0.0
41)
Est
imate
d:
7A
pr
2009,
11:0
0:3
5N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 GDP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
GD
P.
71
![Page 72: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/72.jpg)
Tab
le56
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,G
DP,
US,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.3
77βββ
0.0
00
(0.0
24)
2.
0.3
55βββ
0.2
55βββ
0.2
13
(0.0
17)
(0.0
58)
3.
0.3
99βββ
0.2
48ββββ
0.0
03
0.2
20
(0.0
49)
(0.0
52)
(0.0
03)
4.
0.3
48βββ
0.2
55βββ
0.0
15
0.2
11
(0.0
26)
(0.0
61)
(0.0
31)
5.
0.1
93βββ
0.1
54βββ
0.5
00βββ
0.4
33
(0.0
39)
(0.0
31)
(0.0
62)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓGDPt
+Ξ²
2ΓΟ
2 GDP,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.5
33ββββ
0.0
54βββ
0.2
42
(0.0
39)
(0.0
11)
7.
0.4
30ββββ
0.0
40βββ
0.7
44ββ
0.2
65
(0.0
66)
(0.0
13)
(0.3
52)
8.
0.3
71βββ
0.0
05
β0.0
03
(0.0
21)
(0.0
13)
9.
0.4
65ββββ
0.0
48βββ
0.7
83ββ
0.0
34βββ
0.3
24
(0.0
67)
(0.0
12)
(0.3
71)
(0.0
10)
10.
0.3
51βββ
0.6
26βββ
0.1
81
(0.0
57)
(0.1
11)
11.
0.4
08ββββ
0.0
36βββ
0.6
00β
0.4
80βββ
0.3
66
(0.0
57)
(0.0
12)
(0.3
51)
(0.1
11)
12.
0.4
39ββββ
0.0
42βββ
0.5
98
0.0
27ββ
0.4
51βββ
0.4
29
(0.0
61)
(0.0
11)
(0.3
72)
(0.0
11)
(0.1
06)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.1
15ββ
0.2
22βββ
0.4
29ββββ
0.1
28β
0.2
48ββββ
0.0
85ββ
0.1
52ββ
.βββ
0.2
59
(0.0
47)
(0.0
63)
(0.1
07)
(0.0
69)
(0.0
86)
(0.0
37)
(0.0
68)
(.)
14.
0.1
40βββ
0.1
71βββ
0.1
32ββ
0.3
58ββββ
0.0
80
0.1
92βββ
0.0
56
0.1
56ββ
.βββ
0.3
39
(0.0
45)
(0.0
34)
(0.0
62)
(0.1
02)
(0.0
66)
(0.0
82)
(0.0
35)
(0.0
64)
(.)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
β0.1
17βββ
0.0
58
.βββ
0.1
40βββ
0.0
24β
0.5
38βββ
0.2
81βββ
0.0
75β
0.6
63
(0.0
31)
(0.0
77)
(.)
(0.0
29)
(0.0
13)
(0.0
62)
(0.0
97)
(0.0
39)
16.
β0.0
84ββ
0.0
55ββ
0.0
38
.βββ
0.1
49βββ
0.0
15
0.5
10βββ
0.2
64βββ
0.0
62
0.6
68
(0.0
35)
(0.0
27)
(0.0
77)
(.)
(0.0
29)
(0.0
14)
(0.0
63)
(0.0
96)
(0.0
39)
Est
imate
d:
7A
pr
2009,
11:0
0:3
8N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 GDP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
GD
P.
72
![Page 73: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/73.jpg)
8.2.4 Consumption
73
![Page 74: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/74.jpg)
Tab
le57
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,C
ON
S,C
N,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.4
74βββ
0.0
00
(0.0
30)
2.
0.4
41βββ
0.2
68βββ
0.1
85
(0.0
22)
(0.0
76)
3.
0.5
77βββ
0.1
91βββ
0.0
09ββ
0.2
20
(0.0
69)
(0.0
85)
(0.0
04)
4.
0.4
78βββ
0.2
31βββ
β0.0
71β
0.2
08
(0.0
31)
(0.0
80)
(0.0
40)
5.
0.2
31βββ
0.0
82β
0.6
01βββ
0.5
05
(0.0
29)
(0.0
42)
(0.0
30)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓCONSt
+Ξ²
2ΓΟ
2 CONS,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.6
35ββββ
0.0
60ββ
0.2
09
(0.0
67)
(0.0
24)
7.
0.3
81ββββ
0.0
18
0.9
41βββ
0.3
29
(0.0
87)
(0.0
22)
(0.2
24)
8.
0.4
42βββ
β0.0
27βββ
0.0
79
(0.0
24)
(0.0
10)
9.
0.3
65ββββ
0.0
16
1.0
94βββ
0.0
05
0.3
22
(0.0
82)
(0.0
23)
(0.2
90)
(0.0
12)
10.
0.4
64βββ
0.0
61
0.0
11
(0.0
81)
(0.0
36)
11.
0.3
69ββββ
0.0
15
0.9
53βββ
0.0
25
0.3
28
(0.0
81)
(0.0
22)
(0.2
14)
(0.0
36)
12.
0.3
50ββββ
0.0
14
1.1
29βββ
0.0
07
0.0
37
0.3
24
(0.0
76)
(0.0
21)
(0.2
86)
(0.0
12)
(0.0
43)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.0
95
.βββ
0.2
70βββ
0.1
60β
0.1
53
β0.0
22
0.2
65βββ
0.4
63βββ
0.2
14
(0.0
69)
(.)
(0.1
33)
(0.0
91)
(0.0
98)
(0.0
57)
(0.0
79)
(0.0
96)
14.
0.1
12β
0.2
14βββ
.βββ
0.3
43ββββ
0.1
22
0.1
48
0.0
60
0.1
45β
0.2
87βββ
0.2
93
(0.0
65)
(0.0
44)
(.)
(0.1
27)
(0.0
87)
(0.0
93)
(0.0
56)
(0.0
79)
(0.0
98)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.1
18ββ
0.1
16
0.4
07ββββ
0.0
04
β0.0
02
.βββ
0.3
44βββ
0.0
51
0.3
17
(0.0
51)
(0.1
03)
(0.0
78)
(0.0
25)
(0.0
13)
(.)
(0.1
19)
(0.0
38)
16.
0.1
60βββ
0.1
22βββ
0.0
73
0.3
60ββββ
0.0
02
0.0
05
.βββ
0.2
52ββ
0.0
32
0.3
42
(0.0
52)
(0.0
42)
(0.1
03)
(0.0
79)
(0.0
24)
(0.0
13)
(.)
(0.1
21)
(0.0
38)
Est
imate
d:
7A
pr
2009,
11:0
0:5
7N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 CONS,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
CO
NS
.
74
![Page 75: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/75.jpg)
Tab
le58
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,C
ON
S,F
R,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.3
06βββ
0.0
00
(0.0
12)
2.
0.3
00βββ
0.0
41
0.0
17
(0.0
11)
(0.0
37)
3.
0.2
53βββ
0.0
49
0.0
03
0.0
42
(0.0
26)
(0.0
32)
(0.0
02)
4.
0.2
85βββ
0.0
46
0.0
31
0.0
38
(0.0
10)
(0.0
33)
(0.0
21)
5.
0.1
14βββ
0.0
31β
0.5
43βββ
0.3
23
(0.0
20)
(0.0
19)
(0.0
61)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓCONSt
+Ξ²
2ΓΟ
2 CONS,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.3
23ββββ
0.0
08
0.0
06
(0.0
19)
(0.0
08)
7.
0.3
52ββββ
0.0
13
β0.1
94β
0.0
28
(0.0
30)
(0.0
08)
(0.1
09)
8.
0.3
10βββ
β0.0
10
0.0
08
(0.0
12)
(0.0
08)
9.
0.3
56ββββ
0.0
06
β0.3
19ββββ
0.0
20ββ
0.0
57
(0.0
26)
(0.0
07)
(0.1
19)
(0.0
09)
10.
0.3
05βββ
0.0
20
β0.0
04
(0.0
30)
(0.0
36)
11.
0.3
51ββββ
0.0
13
β0.1
93β
0.0
06
0.0
23
(0.0
30)
(0.0
08)
(0.1
10)
(0.0
36)
12.
0.3
55ββββ
0.0
06
β0.3
18ββββ
0.0
20ββ
0.0
13
0.0
52
(0.0
27)
(0.0
07)
(0.1
20)
(0.0
09)
(0.0
41)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.1
89βββ
0.0
76ββ
.βββ
0.0
86ββ
0.0
55
0.0
68ββ
0.0
31
0.0
10
0.0
53
(0.0
34)
(0.0
37)
(.)
(0.0
48)
(0.0
52)
(0.0
30)
(0.0
43)
(0.0
54)
14.
0.2
04βββ
0.0
37β
0.0
73β
.βββ
0.0
66
β0.0
90
0.0
73ββ
0.0
18
0.0
23
0.0
62
(0.0
35)
(0.0
22)
(0.0
37)
(.)
(0.0
49)
(0.0
56)
(0.0
30)
(0.0
43)
(0.0
54)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.1
54βββ
β0.0
70
0.3
94ββββ
0.0
37
0.0
38ββ
.βββ
0.0
80
0.0
23
0.1
82
(0.0
31)
(0.0
88)
(0.0
76)
(0.0
24)
(0.0
17)
(.)
(0.0
76)
(0.0
32)
16.
0.1
60βββ
0.0
33β
β0.0
58
0.3
87ββββ
0.0
39β
0.0
41ββ
.βββ
0.0
78
β0.0
01
0.1
90
(0.0
31)
(0.0
20)
(0.0
88)
(0.0
76)
(0.0
24)
(0.0
17)
(.)
(0.0
75)
(0.0
35)
Est
imate
d:
7A
pr
2009,
11:0
0:5
9N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 CONS,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
CO
NS
.
75
![Page 76: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/76.jpg)
Tab
le59
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,C
ON
S,G
E,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.4
02βββ
0.0
00
(0.0
21)
2.
0.3
71βββ
0.0
88ββ
0.0
81
(0.0
23)
(0.0
36)
3.
0.3
63βββ
0.0
89ββ
0.0
01
0.0
77
(0.0
57)
(0.0
37)
(0.0
03)
4.
0.3
77βββ
0.0
88ββ
β0.0
13
0.0
79
(0.0
31)
(0.0
35)
(0.0
33)
5.
0.1
82βββ
0.0
46β
0.4
95βββ
0.2
98
(0.0
49)
(0.0
24)
(0.0
90)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓCONSt
+Ξ²
2ΓΟ
2 CONS,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.4
24ββββ
0.0
13
0.0
18
(0.0
22)
(0.0
08)
7.
0.3
75ββββ
0.0
38βββ
0.3
72βββ
0.1
58
(0.0
21)
(0.0
09)
(0.0
96)
8.
0.4
10βββ
β0.0
04
β0.0
04
(0.0
22)
(0.0
10)
9.
0.3
49ββββ
0.0
25ββ
0.4
05ββββ
0.0
18β
0.1
54
(0.0
29)
(0.0
10)
(0.1
01)
(0.0
11)
10.
0.4
01βββ
0.0
33
β0.0
05
(0.0
21)
(0.0
79)
11.
0.3
75ββββ
0.0
38βββ
0.3
72βββ
0.0
08
0.1
54
(0.0
21)
(0.0
09)
(0.0
96)
(0.0
79)
12.
0.3
50ββββ
0.0
24ββ
0.4
08ββββ
0.0
18ββ
0.0
64
0.1
50
(0.0
29)
(0.0
10)
(0.1
02)
(0.0
11)
(0.0
93)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.2
10βββ
β0.0
96β
0.1
84β
.βββ
0.1
91ββ
0.0
50
0.0
99
0.0
73
0.0
72
(0.0
51)
(0.0
55)
(0.1
03)
(.)
(0.0
75)
(0.0
44)
(0.0
62)
(0.0
79)
14.
0.2
73βββ
0.0
69βββ
β0.1
00β
0.1
36
.βββ
0.1
45β
0.0
43
0.0
23
0.0
53
0.1
06
(0.0
55)
(0.0
24)
(0.0
54)
(0.1
03)
(.)
(0.0
75)
(0.0
43)
(0.0
67)
(0.0
77)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.0
34
0.2
08ββ
0.2
93βββ
0.0
44
0.0
67βββ
.βββ
0.0
54β
0.1
23βββ
0.2
99
(0.0
45)
(0.1
06)
(0.0
66)
(0.0
33)
(0.0
18)
(.)
(0.0
28)
(0.0
47)
16.
0.0
25
β0.0
11
0.2
08ββ
0.2
96βββ
0.0
48
0.0
69βββ
.βββ
0.0
62β
0.1
27βββ
0.2
96
(0.0
49)
(0.0
24)
(0.1
06)
(0.0
66)
(0.0
34)
(0.0
18)
(.)
(0.0
32)
(0.0
48)
Est
imate
d:
7A
pr
2009,
11:0
1:0
1N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 CONS,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
CO
NS
.
76
![Page 77: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/77.jpg)
Tab
le60
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,C
ON
S,IT
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.3
44βββ
0.0
00
(0.0
20)
2.
0.3
24βββ
0.1
95βββ
0.1
70
(0.0
14)
(0.0
65)
3.
0.3
41βββ
0.1
88ββββ
0.0
01
0.1
67
(0.0
35)
(0.0
66)
(0.0
03)
4.
0.3
21βββ
0.1
98βββ
0.0
06
0.1
66
(0.0
17)
(0.0
66)
(0.0
27)
5.
0.1
72βββ
0.0
79ββ
0.5
24βββ
0.3
87
(0.0
28)
(0.0
32)
(0.0
71)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓCONSt
+Ξ²
2ΓΟ
2 CONS,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.3
84ββββ
0.0
28ββ
0.1
08
(0.0
33)
(0.0
13)
7.
0.3
06ββββ
0.0
19ββ
0.2
97β
0.1
69
(0.0
31)
(0.0
08)
(0.1
54)
8.
0.3
47βββ
β0.0
02
β0.0
05
(0.0
17)
(0.0
16)
9.
0.3
09ββββ
0.0
23ββ
0.3
77βββ
0.0
27ββ
0.2
00
(0.0
21)
(0.0
09)
(0.1
40)
(0.0
13)
10.
0.3
38βββ
0.0
55βββ
0.0
15
(0.0
32)
(0.0
23)
11.
0.3
07ββββ
0.0
19ββ
0.2
91β
0.0
05
0.1
65
(0.0
32)
(0.0
08)
(0.1
71)
(0.0
23)
12.
0.3
10ββββ
0.0
23ββ
0.3
75ββ
0.0
27ββ
0.0
02
0.1
96
(0.0
22)
(0.0
09)
(0.1
61)
(0.0
13)
(0.0
27)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.1
18ββ
0.0
80
β0.1
02
0.1
66ββ
.βββ
0.2
01ββββ
0.0
30
0.1
00
0.1
68
(0.0
49)
(0.0
51)
(0.0
97)
(0.0
65)
(.)
(0.0
38)
(0.0
58)
(0.0
73)
14.
0.1
89βββ
0.1
55βββ
0.0
54
β0.0
82
0.0
79
.βββ
0.1
53ββββ
0.0
87
0.1
42ββ
0.2
53
(0.0
49)
(0.0
32)
(0.0
49)
(0.0
92)
(0.0
64)
(.)
(0.0
38)
(0.0
57)
(0.0
70)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.0
89βββ
0.1
23
0.2
54βββ
0.0
94βββ
0.0
35β
.βββ
0.1
17ββ
0.0
20
0.2
55
(0.0
33)
(0.0
79)
(0.0
82)
(0.0
28)
(0.0
20)
(.)
(0.0
46)
(0.0
35)
16.
0.1
28βββ
0.1
41βββ
0.0
65
0.1
85ββ
0.0
99βββ
0.0
39ββ
.βββ
0.0
84ββ
0.0
08
0.3
25
(0.0
32)
(0.0
31)
(0.0
77)
(0.0
79)
(0.0
26)
(0.0
19)
(.)
(0.0
44)
(0.0
34)
Est
imate
d:
7A
pr
2009,
11:0
1:0
4N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 CONS,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
CO
NS
.
77
![Page 78: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/78.jpg)
Tab
le61
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,C
ON
S,JP
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.6
54βββ
0.0
00
(0.0
37)
2.
0.5
69βββ
0.2
07βββ
0.1
73
(0.0
28)
(0.0
53)
3.
0.5
88βββ
0.2
07ββββ
0.0
01
0.1
69
(0.0
73)
(0.0
53)
(0.0
05)
4.
0.5
61βββ
0.2
06βββ
0.0
16
0.1
70
(0.0
33)
(0.0
53)
(0.0
54)
5.
0.2
38βββ
0.0
71ββ
0.6
17βββ
0.4
71
(0.0
45)
(0.0
31)
(0.0
51)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓCONSt
+Ξ²
2ΓΟ
2 CONS,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.7
00ββββ
0.0
27
0.0
27
(0.0
54)
(0.0
19)
7.
0.7
49ββββ
0.0
18
β0.2
61
0.0
43
(0.0
70)
(0.0
13)
(0.1
72)
8.
0.6
70βββ
β0.0
05
β0.0
04
(0.0
37)
(0.0
19)
9.
0.7
74ββββ
0.0
20
β0.3
56
0.0
14
β0.0
01
(0.1
38)
(0.0
28)
(0.4
23)
(0.0
35)
10.
0.6
49βββ
0.0
41
0.0
05
(0.0
70)
(0.0
39)
11.
0.7
45ββββ
0.0
19
β0.2
59
0.0
45
0.0
51
(0.0
70)
(0.0
13)
(0.1
72)
(0.0
39)
12.
0.7
64ββββ
0.0
20
β0.3
32
0.0
12
0.0
39
0.0
04
(0.1
33)
(0.0
28)
(0.4
13)
(0.0
33)
(0.0
33)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.2
88βββ
β0.0
35
0.3
81ββ
0.1
31
0.6
04βββ
.βββ
0.0
24
β0.0
20
0.1
45
(0.0
84)
(0.0
89)
(0.1
66)
(0.1
14)
(0.1
16)
(.)
(0.1
01)
(0.1
27)
14.
0.2
92βββ
0.1
66βββ
β0.0
49
0.3
09ββ
0.1
43
0.4
46βββ
.βββ
0.0
54
β0.0
48
0.2
48
(0.0
79)
(0.0
31)
(0.0
83)
(0.1
56)
(0.1
07)
(0.1
12)
(.)
(0.0
95)
(0.1
19)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.1
06β
0.2
06β
0.2
81βββ
0.1
08ββββ
0.0
01
.βββ
0.3
57ββ
0.0
55
0.4
05
(0.0
55)
(0.1
14)
(0.0
69)
(0.0
23)
(0.0
19)
(.)
(0.1
44)
(0.0
80)
16.
0.1
19ββ
0.1
05βββ
0.1
10
0.2
18βββ
0.0
93βββ
0.0
07
.βββ
0.3
73βββ
0.1
34β
0.4
38
(0.0
54)
(0.0
30)
(0.1
15)
(0.0
70)
(0.0
23)
(0.0
19)
(.)
(0.1
40)
(0.0
81)
Est
imate
d:
7A
pr
2009,
11:0
1:0
6N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 CONS,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
CO
NS
.
78
![Page 79: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/79.jpg)
Tab
le62
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,C
ON
S,U
K,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.5
48βββ
0.0
00
(0.0
28)
2.
0.5
26βββ
0.1
98βββ
0.1
35
(0.0
25)
(0.0
43)
3.
0.6
82βββ
0.1
12βββ
0.0
11ββ
0.2
09
(0.0
73)
(0.0
53)
(0.0
05)
4.
0.5
48βββ
0.1
76βββ
β0.0
43
0.1
46
(0.0
39)
(0.0
52)
(0.0
50)
5.
0.2
48βββ
0.0
51ββ
0.6
27βββ
0.5
19
(0.0
56)
(0.0
23)
(0.0
60)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓCONSt
+Ξ²
2ΓΟ
2 CONS,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.6
44ββββ
0.0
37βββ
0.1
30
(0.0
44)
(0.0
13)
7.
0.5
10ββββ
0.0
22
0.8
33
0.1
78
(0.1
04)
(0.0
15)
(0.5
35)
8.
0.5
39βββ
β0.0
18
0.0
05
(0.0
29)
(0.0
29)
9.
0.4
96ββββ
0.0
23
1.0
48
0.0
18
0.1
86
(0.1
08)
(0.0
14)
(0.6
38)
(0.0
27)
10.
0.5
34βββ
0.2
27βββ
0.0
60
(0.1
02)
(0.0
50)
11.
0.5
17ββββ
0.0
22
0.6
99
0.1
19ββ
0.1
90
(0.1
02)
(0.0
15)
(0.5
38)
(0.0
50)
12.
0.5
06ββββ
0.0
23
0.8
48
0.0
18
0.1
83βββ
0.2
12
(0.1
06)
(0.0
14)
(0.6
36)
(0.0
25)
(0.0
70)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.2
94βββ
0.2
03βββ
0.0
86
0.1
27
β0.0
44
0.0
12
.βββ
0.2
27βββ
0.1
27
(0.0
57)
(0.0
61)
(0.1
17)
(0.0
80)
(0.0
86)
(0.0
50)
(.)
(0.0
88)
14.
0.2
99βββ
0.1
71βββ
0.1
17β
0.1
48
0.1
37ββ
0.0
39
0.0
73
.βββ
0.1
03
0.1
93
(0.0
55)
(0.0
41)
(0.0
62)
(0.1
14)
(0.0
77)
(0.0
83)
(0.0
50)
(.)
(0.0
89)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.1
95βββ
0.0
18
0.3
71βββ
0.0
92ββ
0.0
65βββ
.βββ
0.0
57
β0.0
31
0.4
02
(0.0
34)
(0.0
61)
(0.0
80)
(0.0
38)
(0.0
23)
(.)
(0.1
01)
(0.0
48)
16.
0.2
02βββ
0.0
14
0.0
23
0.3
66βββ
0.0
91ββ
0.0
64βββ
.βββ
0.0
44
β0.0
33
0.3
99
(0.0
38)
(0.0
38)
(0.0
62)
(0.0
81)
(0.0
38)
(0.0
23)
(.)
(0.1
07)
(0.0
48)
Est
imate
d:
7A
pr
2009,
11:0
1:0
9N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 CONS,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
CO
NS
.
79
![Page 80: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/80.jpg)
Tab
le63
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,C
ON
S,U
S,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.3
84βββ
0.0
00
(0.0
20)
2.
0.3
65βββ
0.2
13βββ
0.1
85
(0.0
16)
(0.0
58)
3.
0.4
02βββ
0.2
07ββββ
0.0
03
0.1
91
(0.0
54)
(0.0
51)
(0.0
03)
4.
0.3
64βββ
0.2
13βββ
0.0
03
0.1
82
(0.0
26)
(0.0
59)
(0.0
29)
5.
0.1
75βββ
0.1
06βββ
0.5
61βββ
0.4
57
(0.0
29)
(0.0
33)
(0.0
51)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓCONSt
+Ξ²
2ΓΟ
2 CONS,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.5
09ββββ
0.0
39ββ
0.1
11
(0.0
55)
(0.0
16)
7.
0.2
85ββββ
0.0
05
1.7
48βββ
0.2
21
(0.0
63)
(0.0
14)
(0.4
02)
8.
0.3
80βββ
0.0
02
β0.0
05
(0.0
16)
(0.0
13)
9.
0.3
20ββββ
0.0
14
1.9
30βββ
0.0
23βββ
0.2
56
(0.0
58)
(0.0
13)
(0.3
33)
(0.0
08)
10.
0.3
67βββ
0.3
97βββ
0.0
89
(0.0
58)
(0.0
98)
11.
0.2
63ββββ
0.0
01
1.6
90βββ
0.3
05βββ
0.2
71
(0.0
58)
(0.0
13)
(0.3
75)
(0.0
98)
12.
0.2
94ββββ
0.0
08
1.8
51βββ
0.0
19ββ
0.2
51βββ
0.2
93
(0.0
57)
(0.0
12)
(0.3
13)
(0.0
08)
(0.0
89)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.1
40βββ
0.2
26βββ
0.0
17
0.0
60
0.0
94
β0.0
06
0.1
44βββ
.βββ
0.1
83
(0.0
47)
(0.0
47)
(0.0
94)
(0.0
64)
(0.0
69)
(0.0
40)
(0.0
56)
(.)
14.
0.1
46βββ
0.1
76βββ
0.1
74βββ
0.0
30
0.1
15β
0.0
39
0.0
29
0.0
95β
.βββ
0.2
92
(0.0
44)
(0.0
31)
(0.0
45)
(0.0
87)
(0.0
60)
(0.0
65)
(0.0
37)
(0.0
53)
(.)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.0
87βββ
0.1
22
0.5
08βββ
0.0
33
0.0
15
.βββ
0.3
42ββββ
0.1
19βββ
0.5
99
(0.0
31)
(0.0
75)
(0.0
59)
(0.0
29)
(0.0
13)
(.)
(0.0
93)
(0.0
37)
16.
0.1
10βββ
0.0
42
0.1
06
0.4
85βββ
0.0
42
0.0
08
.βββ
0.3
29ββββ
0.1
27βββ
0.6
02
(0.0
34)
(0.0
26)
(0.0
75)
(0.0
60)
(0.0
30)
(0.0
13)
(.)
(0.0
93)
(0.0
37)
Est
imate
d:
7A
pr
2009,
11:0
1:1
1N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 CONS,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
CO
NS
.
80
![Page 81: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/81.jpg)
8.2.5 Investment
81
![Page 82: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/82.jpg)
Tab
le64
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IN
V,
CN
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
2.6
00βββ
0.0
00
(0.1
33)
2.
2.6
06ββββ
0.0
45
β0.0
05
(0.1
51)
(0.1
88)
3.
3.7
39ββββ
0.6
84ββββ
0.0
79βββ
0.1
10
(0.3
74)
(0.2
61)
(0.0
25)
4.
2.9
29ββββ
0.3
69β
β0.6
19ββ
0.0
83
(0.1
50)
(0.1
92)
(0.2
48)
5.
1.6
89ββββ
0.2
86β
0.5
53βββ
0.3
79
(0.2
77)
(0.1
49)
(0.0
53)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓINVt
+Ξ²
2ΓΟ
2 INV,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
2.5
85βββ
0.0
04
β0.0
04
(0.1
12)
(0.0
18)
7.
1.9
63βββ
0.0
23β
0.2
94βββ
0.1
16
(0.2
52)
(0.0
13)
(0.0
94)
8.
2.5
30βββ
β0.0
78
0.0
23
(0.1
69)
(0.0
60)
9.
1.6
73βββ
0.0
14
0.5
78βββ
0.1
72β
0.1
72
(0.2
47)
(0.0
19)
(0.1
62)
(0.0
93)
10.
2.5
75βββ
0.1
55
β0.0
00
(0.2
56)
(0.1
75)
11.
1.9
53βββ
0.0
24β
0.2
90βββ
0.0
71
0.1
13
(0.2
56)
(0.0
14)
(0.0
94)
(0.1
75)
12.
1.6
46βββ
0.0
17
0.5
80βββ
0.1
79β
0.1
25
0.1
70
(0.2
52)
(0.0
20)
(0.1
62)
(0.0
93)
(0.1
77)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
2.0
27βββ
.βββ
β0.1
94
β0.1
85
0.6
54βββ
0.0
84
0.0
57
0.0
67
0.0
93
(0.3
49)
(.)
(0.1
69)
(0.1
38)
(0.1
45)
(0.0
79)
(0.1
26)
(0.1
20)
14.
2.0
26ββββ
0.1
11
.βββ
β0.2
00
β0.2
02
0.6
47βββ
0.0
78
0.0
83
0.0
80
0.0
89
(0.3
50)
(0.2
43)
(.)
(0.1
69)
(0.1
43)
(0.1
46)
(0.0
81)
(0.1
39)
(0.1
23)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
1.7
47βββ
0.1
92
0.6
47
0.2
49β
.βββ
β0.0
59
1.4
66βββ
0.2
92
0.0
81
(0.2
54)
(0.5
71)
(0.4
58)
(0.1
35)
(.)
(0.3
91)
(0.6
62)
(0.2
08)
16.
1.4
40ββββ
0.6
35βββ
0.3
86
0.7
82β
0.2
31β
.βββ
0.1
55
1.8
17ββββ
0.1
92
0.1
10
(0.2
74)
(0.2
34)
(0.5
67)
(0.4
53)
(0.1
33)
(.)
(0.3
93)
(0.6
64)
(0.2
08)
Est
imate
d:
7A
pr
2009,
11:0
1:1
4N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 INV,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INV
.
82
![Page 83: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/83.jpg)
Tab
le65
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IN
V,
FR
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
1.1
68βββ
0.0
00
(0.0
47)
2.
1.1
68βββ
0.0
01
β0.0
05
(0.0
54)
(0.1
00)
3.
1.2
05ββββ
0.0
05
β0.0
03
β0.0
09
(0.1
10)
(0.0
89)
(0.0
09)
4.
1.1
70βββ
0.0
01
β0.0
04
β0.0
10
(0.0
37)
(0.0
93)
(0.1
00)
5.
0.5
06βββ
0.0
05
0.5
78βββ
0.3
24
(0.1
33)
(0.0
44)
(0.0
96)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓINVt
+Ξ²
2ΓΟ
2 INV,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
1.2
13ββββ
0.0
20β
0.0
32
(0.0
57)
(0.0
11)
7.
1.2
42ββββ
0.0
21ββ
0.0
76
0.0
28
(0.0
96)
(0.0
11)
(0.1
70)
8.
1.1
73βββ
0.0
05
β0.0
05
(0.0
50)
(0.0
27)
9.
1.2
46ββββ
0.0
26ββ
0.0
47
0.0
34
0.0
42
(0.0
98)
(0.0
13)
(0.1
61)
(0.0
43)
10.
1.1
60βββ
0.2
56
0.0
00
(0.0
98)
(0.2
57)
11.
1.2
36ββββ
0.0
21ββ
0.0
77
0.1
56
0.0
25
(0.0
98)
(0.0
12)
(0.1
70)
(0.2
57)
12.
1.2
44ββββ
0.0
26ββ
0.0
47
0.0
34
0.0
50
0.0
37
(0.1
00)
(0.0
14)
(0.1
61)
(0.0
43)
(0.2
38)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.8
20βββ
β0.0
34
.βββ
0.0
91
0.2
34βββ
0.0
08
0.0
17
0.0
06
0.0
84
(0.1
47)
(0.0
30)
(.)
(0.0
58)
(0.0
62)
(0.0
33)
(0.0
53)
(0.0
50)
14.
0.8
03ββββ
0.0
96
β0.0
39
.βββ
0.0
93
0.2
44βββ
0.0
18
0.0
19
0.0
08
0.0
86
(0.1
48)
(0.0
82)
(0.0
30)
(.)
(0.0
58)
(0.0
62)
(0.0
34)
(0.0
53)
(0.0
50)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.2
86ββ
0.5
41
1.0
76βββ
0.2
47βββ
.βββ
0.6
32βββ
0.1
38
0.1
91
0.1
98
(0.1
32)
(0.3
56)
(0.3
22)
(0.0
95)
(.)
(0.2
86)
(0.3
08)
(0.1
31)
16.
0.2
49ββ
0.1
37β
0.4
90
1.0
65βββ
0.2
54βββ
.βββ
0.6
82βββ
0.1
29
0.2
87ββ
0.2
06
(0.1
33)
(0.0
79)
(0.3
56)
(0.3
20)
(0.0
95)
(.)
(0.2
86)
(0.3
07)
(0.1
42)
Est
imate
d:
7A
pr
2009,
11:0
1:1
6N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 INV,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INV
.
83
![Page 84: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/84.jpg)
Tab
le66
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IN
V,
GE
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
1.5
58βββ
0.0
00
(0.0
82)
2.
1.4
58βββ
0.2
85β
0.0
68
(0.0
89)
(0.1
53)
3.
0.8
88βββ
0.3
68βββ
0.0
41βββ
0.2
16
(0.1
87)
(0.1
25)
(0.0
11)
4.
1.2
84βββ
0.2
93ββ
0.3
74βββ
0.2
01
(0.1
04)
(0.1
19)
(0.1
12)
5.
0.4
85βββ
0.2
09ββ
0.4
57βββ
0.3
75
(0.1
15)
(0.0
85)
(0.0
81)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓINVt
+Ξ²
2ΓΟ
2 INV,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
1.6
16ββββ
0.0
35ββ
0.0
89
(0.0
76)
(0.0
16)
7.
1.7
29ββββ
0.0
33βββ
0.0
90
0.1
00
(0.1
22)
(0.0
14)
(0.0
92)
8.
1.6
05βββ
0.0
18
β0.0
03
(0.0
82)
(0.0
42)
9.
1.7
46ββββ
0.0
29ββ
0.0
79
0.0
47
0.0
66
(0.1
21)
(0.0
16)
(0.0
89)
(0.0
35)
10.
1.5
58βββ
β0.0
08
β0.0
05
(0.1
20)
(0.4
19)
11.
1.7
27ββββ
0.0
33βββ
0.0
91
0.1
14
0.0
96
(0.1
20)
(0.0
14)
(0.0
95)
(0.4
19)
12.
1.7
45ββββ
0.0
29ββ
0.0
79
0.0
47
0.0
32
0.0
61
(0.1
19)
(0.0
16)
(0.0
91)
(0.0
35)
(0.5
13)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.9
38βββ
β0.0
49
0.1
37
.βββ
0.2
02βββ
0.1
44ββββ
0.0
54
0.0
64
0.1
35
(0.1
82)
(0.0
36)
(0.0
87)
(.)
(0.0
77)
(0.0
40)
(0.0
65)
(0.0
62)
14.
1.0
04βββ
0.1
06
β0.0
39
0.1
29
.βββ
0.1
66ββ
0.1
34ββββ
0.0
58
0.0
37
0.1
37
(0.1
90)
(0.0
87)
(0.0
37)
(0.0
87)
(.)
(0.0
82)
(0.0
40)
(0.0
65)
(0.0
65)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.8
68βββ
0.1
01
0.1
09
0.3
29βββ
.βββ
1.0
00ββββ
0.2
50ββ
0.1
41
0.1
44
(0.1
63)
(0.4
14)
(0.2
68)
(0.1
26)
(.)
(0.2
66)
(0.1
08)
(0.1
87)
16.
1.0
75βββ
0.3
22βββ
0.0
82
0.0
23
0.1
71
.βββ
0.9
65ββββ
0.4
53βββ
0.0
05
0.1
97
(0.1
67)
(0.0
86)
(0.4
01)
(0.2
60)
(0.1
29)
(.)
(0.2
58)
(0.1
18)
(0.1
84)
Est
imate
d:
7A
pr
2009,
11:0
1:1
9N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 INV,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INV
.
84
![Page 85: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/85.jpg)
Tab
le67
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IN
V,
IT,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
1.0
11βββ
0.0
00
(0.0
86)
2.
0.9
83βββ
0.2
67ββ
0.0
22
(0.0
92)
(0.1
23)
3.
1.0
88βββ
0.2
22
β0.0
08
0.0
23
(0.2
74)
(0.1
62)
(0.0
19)
4.
1.0
27βββ
0.2
24
β0.0
85
0.0
24
(0.1
17)
(0.1
42)
(0.1
83)
5.
0.3
29βββ
0.0
10
0.7
35βββ
0.5
46
(0.1
08)
(0.0
72)
(0.0
44)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓINVt
+Ξ²
2ΓΟ
2 INV,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
1.0
66ββββ
0.0
30βββ
0.0
81
(0.0
79)
(0.0
09)
7.
0.7
33ββββ
0.0
22ββ
0.2
24ββ
0.1
45
(0.1
84)
(0.0
11)
(0.1
07)
8.
1.0
42βββ
0.0
03
β0.0
05
(0.0
94)
(0.0
72)
9.
0.6
62ββββ
0.0
39βββ
0.3
63βββ
0.1
71βββ
0.2
21
(0.1
24)
(0.0
14)
(0.0
87)
(0.0
59)
10.
0.9
99βββ
0.1
04
0.0
01
(0.1
86)
(0.0
80)
11.
0.7
33ββββ
0.0
22β
0.2
24ββ
0.0
08
0.1
40
(0.1
86)
(0.0
11)
(0.1
08)
(0.0
80)
12.
0.6
61ββββ
0.0
39βββ
0.3
62βββ
0.1
71βββ
0.0
04
0.2
17
(0.1
24)
(0.0
15)
(0.0
88)
(0.0
59)
(0.0
87)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
β0.2
42
0.1
42βββ
0.2
90βββ
0.1
66βββ
.βββ
0.0
24
β0.0
57
0.1
66βββ
0.2
46
(0.1
75)
(0.0
32)
(0.0
76)
(0.0
63)
(.)
(0.0
37)
(0.0
59)
(0.0
55)
14.
β0.2
02
0.1
14
0.1
40βββ
0.2
90βββ
0.1
69βββ
.βββ
0.0
06
β0.0
58
0.1
64βββ
0.2
46
(0.1
80)
(0.1
11)
(0.0
32)
(0.0
76)
(0.0
63)
(.)
(0.0
41)
(0.0
59)
(0.0
55)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.2
27β
0.5
16β
0.9
61βββ
0.1
15
.βββ
0.4
55β
0.1
93
0.1
57
0.2
00
(0.1
18)
(0.2
84)
(0.2
94)
(0.1
02)
(.)
(0.2
53)
(0.1
66)
(0.1
27)
16.
0.1
78
β0.1
40
0.5
58β
0.9
98βββ
0.1
00
.βββ
0.5
48ββ
0.2
14
0.1
82
0.2
01
(0.1
25)
(0.1
21)
(0.2
86)
(0.2
95)
(0.1
03)
(.)
(0.2
66)
(0.1
67)
(0.1
28)
Est
imate
d:
7A
pr
2009,
11:0
1:2
1N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 INV,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INV
.
85
![Page 86: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/86.jpg)
Tab
le68
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IN
V,
JP,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
2.4
22βββ
0.0
00
(0.1
52)
2.
2.2
97βββ
0.3
02
0.0
25
(0.1
29)
(0.3
02)
3.
2.1
52βββ
0.3
00
0.0
11
0.0
24
(0.3
55)
(0.3
04)
(0.0
23)
4.
2.1
41βββ
0.2
94
0.3
46
0.0
61
(0.1
65)
(0.2
96)
(0.2
71)
5.
0.7
86βββ
0.0
70
0.6
43βββ
0.4
20
(0.1
72)
(0.1
23)
(0.0
62)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓINVt
+Ξ²
2ΓΟ
2 INV,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
2.3
33βββ
0.0
20
0.0
01
(0.1
57)
(0.0
37)
7.
1.9
95βββ
0.0
36
0.4
31
0.0
03
(0.4
04)
(0.0
39)
(0.5
17)
8.
2.4
68βββ
β0.0
35
0.0
01
(0.1
53)
(0.0
66)
9.
2.1
78βββ
0.0
62β
0.0
74
β0.1
93βββ
0.1
13
(0.3
41)
(0.0
36)
(0.4
78)
(0.0
69)
10.
2.3
94βββ
0.2
19β
0.0
19
(0.4
11)
(1.1
16)
11.
2.1
11βββ
0.0
31
0.3
17
β3.0
57βββ
0.0
10
(0.4
11)
(0.0
40)
(0.5
32)
(1.1
16)
12.
2.2
27βββ
0.0
59
0.0
32
β0.1
88ββββ
1.4
26
0.1
10
(0.3
52)
(0.0
38)
(0.4
91)
(0.0
71)
(0.9
31)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
1.0
87βββ
0.0
67
0.0
35
0.4
34βββ
0.0
90
.βββ
β0.0
52
0.2
27ββ
0.1
04
(0.3
28)
(0.0
63)
(0.1
51)
(0.1
19)
(0.1
36)
(.)
(0.1
13)
(0.1
06)
14.
1.1
01βββ
0.1
14
0.0
59
0.0
27
0.4
33βββ
0.0
54
.βββ
β0.0
24
0.2
06β
0.1
02
(0.3
29)
(0.1
37)
(0.0
64)
(0.1
52)
(0.1
20)
(0.1
43)
(.)
(0.1
18)
(0.1
09)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.8
86βββ
0.2
77
1.1
79βββ
0.4
42βββ
.βββ
β0.0
16
β0.1
68
β0.2
56
0.3
65
(0.1
95)
(0.4
24)
(0.2
52)
(0.0
85)
(.)
(0.2
61)
(0.5
38)
(0.2
94)
16.
0.8
32ββββ
0.2
15β
0.4
44
1.2
55βββ
0.4
53βββ
.βββ
0.1
05
β0.2
42
β0.4
19
0.3
73
(0.1
96)
(0.1
14)
(0.4
30)
(0.2
53)
(0.0
85)
(.)
(0.2
67)
(0.5
36)
(0.3
05)
Est
imate
d:
7A
pr
2009,
11:0
1:2
4N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 INV,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INV
.
86
![Page 87: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/87.jpg)
Tab
le69
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IN
V,
UK
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
1.6
55βββ
0.0
00
(0.0
95)
2.
1.5
65βββ
0.8
03βββ
0.2
12
(0.0
74)
(0.1
48)
3.
2.1
79βββ
0.4
63βββ
0.0
43βββ
0.3
22
(0.2
07)
(0.1
86)
(0.0
14)
4.
1.6
41βββ
0.7
27βββ
β0.1
47
0.2
24
(0.1
14)
(0.1
78)
(0.1
49)
5.
0.7
94βββ
0.1
86ββ
0.6
23βββ
0.5
84
(0.1
61)
(0.0
91)
(0.0
71)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓINVt
+Ξ²
2ΓΟ
2 INV,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
1.8
10ββββ
0.0
53βββ
0.2
19
(0.0
81)
(0.0
12)
7.
1.6
40ββββ
0.0
51βββ
0.1
33
0.2
31
(0.1
69)
(0.0
11)
(0.1
23)
8.
1.6
04βββ
0.0
20
β0.0
04
(0.0
88)
(0.0
61)
9.
1.7
40ββββ
0.0
50βββ
0.0
24
0.0
41
0.2
22
(0.1
84)
(0.0
12)
(0.1
17)
(0.0
48)
10.
1.6
17βββ
0.6
16β
0.0
40
(0.1
68)
(0.2
81)
11.
1.6
16ββββ
0.0
49βββ
0.1
29
0.3
42
0.2
41
(0.1
68)
(0.0
11)
(0.1
21)
(0.2
81)
12.
1.7
25ββββ
0.0
47βββ
0.0
17
0.0
51
0.3
09
0.2
28
(0.1
82)
(0.0
11)
(0.1
18)
(0.0
50)
(0.2
94)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
1.1
28βββ
0.0
18
0.0
30
β0.0
64
β0.0
83
β0.0
21
.βββ
0.3
53βββ
0.1
17
(0.1
97)
(0.0
40)
(0.0
95)
(0.0
78)
(0.0
85)
(0.0
45)
(.)
(0.0
63)
14.
0.9
66βββ
0.7
16βββ
0.0
27
0.0
72
0.0
35
β0.0
49
0.0
17
.βββ
0.2
10βββ
0.2
54
(0.1
83)
(0.1
17)
(0.0
37)
(0.0
88)
(0.0
73)
(0.0
79)
(0.0
42)
(.)
(0.0
62)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.3
36βββ
0.2
33
0.3
29
0.5
18βββ
.βββ
0.6
16βββ
0.9
91ββββ
0.0
22
0.4
65
(0.1
10)
(0.1
86)
(0.2
57)
(0.1
13)
(.)
(0.2
14)
(0.3
04)
(0.1
48)
16.
0.4
32βββ
0.2
06β
0.2
98
0.2
65
0.4
96βββ
.βββ
0.5
96βββ
0.7
85βββ
0.0
54
0.4
71
(0.1
21)
(0.1
14)
(0.1
89)
(0.2
58)
(0.1
13)
(.)
(0.2
13)
(0.3
23)
(0.1
48)
Est
imate
d:
7A
pr
2009,
11:0
1:2
6N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 INV,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INV
.
87
![Page 88: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/88.jpg)
Tab
le70
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IN
V,
US,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
1.9
33βββ
0.0
00
(0.0
94)
2.
1.8
43βββ
1.0
21βββ
0.2
20
(0.0
73)
(0.1
16)
3.
2.0
27βββ
0.9
90ββββ
0.0
14
0.2
28
(0.2
14)
(0.1
39)
(0.0
15)
4.
1.8
45βββ
1.0
21βββ
β0.0
03
0.2
17
(0.0
97)
(0.1
17)
(0.1
38)
5.
1.0
60βββ
0.5
53βββ
0.4
80βββ
0.4
13
(0.1
71)
(0.0
70)
(0.0
51)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓINVt
+Ξ²
2ΓΟ
2 INV,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
2.1
46ββββ
0.0
52βββ
0.1
39
(0.1
10)
(0.0
16)
7.
1.8
90ββββ
0.0
37
0.3
47
0.1
45
(0.2
97)
(0.0
25)
(0.3
16)
8.
1.9
07βββ
β0.0
33
β0.0
00
(0.1
03)
(0.0
52)
9.
1.8
48ββββ
0.0
33
0.4
32β
0.0
08
0.1
41
(0.2
74)
(0.0
24)
(0.2
56)
(0.0
54)
10.
1.8
67βββ
1.5
49ββ
0.0
69
(0.2
77)
(0.5
69)
11.
1.8
49ββββ
0.0
33
0.3
07
1.1
39ββ
0.1
80
(0.2
77)
(0.0
23)
(0.3
18)
(0.5
69)
12.
1.8
25ββββ
0.0
30
0.3
65
β0.0
01
0.9
68
0.1
68
(0.2
64)
(0.0
23)
(0.2
73)
(0.0
54)
(0.6
30)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.5
65ββ
0.0
24
0.0
12
0.0
85
0.2
68βββ
0.1
00ββ
0.3
92βββ
.βββ
0.2
14
(0.2
20)
(0.0
42)
(0.1
00)
(0.0
82)
(0.0
88)
(0.0
47)
(0.0
70)
(.)
14.
0.6
12βββ
0.8
81βββ
0.0
28
0.0
89
0.0
70
0.1
63ββ
0.1
35βββ
0.2
81βββ
.βββ
0.3
64
(0.1
98)
(0.1
27)
(0.0
38)
(0.0
91)
(0.0
73)
(0.0
81)
(0.0
42)
(0.0
65)
(.)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.6
28βββ
0.3
80
0.6
93β
0.6
81βββ
.βββ
0.4
52
1.3
31βββ
0.2
15
0.3
76
(0.1
68)
(0.4
12)
(0.3
77)
(0.1
55)
(.)
(0.3
90)
(0.5
19)
(0.2
09)
16.
0.9
06βββ
0.5
96βββ
0.1
46
0.4
05
0.7
44βββ
.βββ
0.2
30
1.0
85βββ
0.3
19
0.4
30
(0.1
73)
(0.1
34)
(0.3
98)
(0.3
66)
(0.1
49)
(.)
(0.3
76)
(0.4
99)
(0.2
01)
Est
imate
d:
7A
pr
2009,
11:0
1:2
8N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 INV,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INV
.
88
![Page 89: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/89.jpg)
8.2.6 Unemployment
89
![Page 90: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/90.jpg)
Tab
le71
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,U
N,
CN
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.2
93βββ
0.0
00
(0.0
22)
2.
0.2
72βββ
0.1
79βββ
0.2
07
(0.0
19)
(0.0
31)
3.
0.4
63βββ
0.0
72ββββ
0.0
13βββ
0.3
94
(0.0
31)
(0.0
28)
(0.0
02)
4.
0.3
30βββ
0.1
21βββ
β0.1
12βββ
0.3
75
(0.0
12)
(0.0
27)
(0.0
23)
5.
0.2
36βββ
0.0
36ββ
0.4
94βββ
0.5
40
(0.0
27)
(0.0
16)
(0.0
56)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓUNt
+Ξ²
2ΓΟ
2 UN,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
β0.0
42
0.0
39βββ
0.2
33
(0.0
81)
(0.0
10)
7.
0.1
29ββ
0.0
06
3.2
23βββ
0.3
41
(0.0
61)
(0.0
08)
(0.5
94)
8.
0.2
62βββ
β0.0
29βββ
0.2
24
(0.0
19)
(0.0
07)
9.
0.2
40
β0.0
11
4.4
32ββββ
0.0
04
0.3
26
(0.1
51)
(0.0
22)
(1.6
76)
(0.0
11)
10.
0.2
83βββ
0.0
62ββ
0.0
37
(0.0
63)
(0.0
11)
11.
0.1
27ββ
0.0
07
3.2
42βββ
β0.0
05
0.3
38
(0.0
63)
(0.0
08)
(0.6
02)
(0.0
11)
12.
0.2
40
β0.0
11
4.5
63ββββ
0.0
04
β0.0
11
0.3
23
(0.1
52)
(0.0
23)
(1.6
98)
(0.0
11)
(0.0
11)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.0
32
.βββ
0.1
84ββ
0.0
78ββββ
0.0
50
0.0
12
0.3
65βββ
0.3
95βββ
0.3
47
(0.0
37)
(.)
(0.0
89)
(0.0
27)
(0.0
40)
(0.0
73)
(0.0
70)
(0.0
97)
14.
0.0
41
0.0
63β
.βββ
0.1
88ββ
0.0
52ββ
0.0
40
0.0
62
0.3
19βββ
0.3
57βββ
0.3
55
(0.0
37)
(0.0
34)
(.)
(0.0
89)
(0.0
30)
(0.0
41)
(0.0
78)
(0.0
74)
(0.0
98)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
β0.0
25
0.1
51ββ
0.2
51βββ
0.0
15
0.0
16ββ
0.1
17βββ
.βββ
0.0
45ββ
0.4
20
(0.0
30)
(0.0
60)
(0.0
45)
(0.0
14)
(0.0
07)
(0.0
41)
(.)
(0.0
22)
16.
0.0
07
0.0
79βββ
0.1
19ββ
0.2
19βββ
0.0
16
0.0
20βββ
0.0
85ββ
.βββ
0.0
32
0.4
46
(0.0
31)
(0.0
24)
(0.0
59)
(0.0
45)
(0.0
14)
(0.0
07)
(0.0
41)
(.)
(0.0
22)
Est
imate
d:
7A
pr
2009,
11:0
1:3
1N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 UN,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
UN
.
90
![Page 91: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/91.jpg)
Tab
le72
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,U
N,
FR
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.2
41βββ
0.0
00
(0.0
11)
2.
0.2
36βββ
0.0
36
0.0
16
(0.0
09)
(0.0
37)
3.
0.2
45βββ
0.0
34
β0.0
01
0.0
12
(0.0
28)
(0.0
35)
(0.0
02)
4.
0.2
38βββ
0.0
35
β0.0
04
0.0
11
(0.0
15)
(0.0
36)
(0.0
19)
5.
0.1
04βββ
0.0
20
0.5
54βββ
0.3
15
(0.0
21)
(0.0
18)
(0.0
87)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓUNt
+Ξ²
2ΓΟ
2 UN,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.2
10ββ
0.0
03
β0.0
03
(0.0
96)
(0.0
10)
7.
0.2
05ββ
0.0
01
2.8
66
0.0
13
(0.0
96)
(0.0
09)
(3.8
77)
8.
0.2
40βββ
β0.0
16β
0.0
41
(0.0
11)
(0.0
09)
9.
0.5
77ββββ
0.0
40βββ
8.0
11ββββ
0.0
53βββ
0.1
83
(0.1
43)
(0.0
15)
(2.9
02)
(0.0
14)
10.
0.2
36βββ
0.1
61βββ
0.0
38
(0.0
89)
(0.0
46)
11.
0.1
98ββ
0.0
02
2.1
09
0.1
45βββ
0.0
41
(0.0
89)
(0.0
09)
(3.6
68)
(0.0
46)
12.
0.5
55ββββ
0.0
38ββ
7.1
60βββ
0.0
50βββ
0.0
91
0.1
90
(0.1
41)
(0.0
15)
(3.3
37)
(0.0
15)
(0.0
76)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.1
72βββ
0.1
14ββ
.βββ
β0.0
19
0.1
47βββ
0.1
13βββ
0.0
63
β0.0
65
0.1
34
(0.0
26)
(0.0
55)
(.)
(0.0
22)
(0.0
30)
(0.0
57)
(0.0
58)
(0.0
79)
14.
0.1
68βββ
0.0
29β
0.1
18ββ
.βββ
β0.0
25
0.1
43βββ
0.1
12βββ
0.0
60
β0.0
55
0.1
43
(0.0
26)
(0.0
17)
(0.0
55)
(.)
(0.0
22)
(0.0
30)
(0.0
57)
(0.0
58)
(0.0
79)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.1
20βββ
β0.0
68
0.1
38β
0.0
38ββ
0.0
07
0.0
71
.βββ
0.1
04βββ
0.1
02
(0.0
30)
(0.0
82)
(0.0
76)
(0.0
22)
(0.0
16)
(0.0
66)
(.)
(0.0
29)
16.
0.1
21βββ
0.0
03
β0.0
67
0.1
38β
0.0
37ββ
0.0
07
0.0
69
.βββ
0.1
02βββ
0.0
97
(0.0
30)
(0.0
19)
(0.0
83)
(0.0
76)
(0.0
22)
(0.0
17)
(0.0
67)
(.)
(0.0
32)
Est
imate
d:
7A
pr
2009,
11:0
1:3
3N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 UN,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
UN
.
91
![Page 92: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/92.jpg)
Tab
le73
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,U
N,
GE
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.4
10βββ
0.0
00
(0.0
70)
2.
0.2
88βββ
0.3
47ββ
0.2
44
(0.0
18)
(0.1
57)
3.
0.7
21βββ
0.2
84βββ
0.0
31βββ
0.4
43
(0.1
53)
(0.1
13)
(0.0
11)
4.
0.4
10βββ
0.3
41βββ
β0.2
61βββ
0.3
95
(0.0
61)
(0.1
25)
(0.0
97)
5.
0.1
42βββ
0.0
55β
0.8
08βββ
0.8
09
(0.0
51)
(0.0
32)
(0.0
41)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓUNt
+Ξ²
2ΓΟ
2 UN,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
1.6
23ββββ
0.1
27βββ
0.4
02
(0.4
33)
(0.0
42)
7.
1.4
01ββββ
0.1
25βββ
12.5
31βββ
0.4
81
(0.3
90)
(0.0
37)
(4.1
36)
8.
0.4
27βββ
0.0
73
0.0
76
(0.0
77)
(0.0
55)
9.
2.2
91ββββ
0.2
06βββ
8.0
54βββ
0.0
61ββ
0.6
56
(0.4
42)
(0.0
41)
(3.9
26)
(0.0
31)
10.
0.3
84βββ
0.8
14β
0.0
36
(0.3
78)
(0.3
19)
11.
1.3
49ββββ
0.1
22βββ
12.7
18βββ
0.4
26
0.4
89
(0.3
78)
(0.0
36)
(4.2
26)
(0.3
19)
12.
2.2
27ββββ
0.2
02βββ
8.1
93βββ
0.0
61ββ
0.4
50β
0.6
62
(0.4
28)
(0.0
40)
(3.9
32)
(0.0
30)
(0.2
40)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.0
85
0.5
17ββββ
0.2
10
.βββ
0.4
05ββββ
0.3
59β
0.8
93ββββ
0.4
29β
0.3
56
(0.0
94)
(0.1
80)
(0.2
33)
(.)
(0.1
01)
(0.1
88)
(0.1
81)
(0.2
58)
14.
0.0
71
0.2
71βββ
0.3
60βββ
0.4
04β
.βββ
0.2
50ββββ
0.1
63
0.9
38ββββ
0.4
25β
0.4
88
(0.0
84)
(0.0
38)
(0.1
62)
(0.2
09)
(.)
(0.0
92)
(0.1
70)
(0.1
61)
(0.2
30)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.2
55ββ
β0.1
81
0.7
17ββββ
0.1
66βββ
0.1
05ββ
0.3
42β
.βββ
0.2
51ββ
0.1
70
(0.1
11)
(0.2
68)
(0.1
66)
(0.0
82)
(0.0
45)
(0.1
77)
(.)
(0.1
20)
16.
0.4
89βββ
0.3
58βββ
β0.1
50
0.4
54ββββ
0.2
77ββββ
0.1
54βββ
0.2
94β
.βββ
0.0
49
0.3
70
(0.1
01)
(0.0
45)
(0.2
33)
(0.1
48)
(0.0
73)
(0.0
40)
(0.1
54)
(.)
(0.1
07)
Est
imate
d:
7A
pr
2009,
11:0
1:3
5N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 UN,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
UN
.
92
![Page 93: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/93.jpg)
Tab
le74
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,U
N,
IT,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.3
31βββ
0.0
00
(0.0
33)
2.
0.3
11βββ
0.2
00
0.0
81
(0.0
24)
(0.1
60)
3.
0.4
36βββ
0.1
46
β0.0
09ββ
0.1
17
(0.0
65)
(0.1
58)
(0.0
04)
4.
0.3
44βββ
0.1
66
β0.0
66
0.1
00
(0.0
38)
(0.1
59)
(0.0
44)
5.
0.1
42βββ
0.0
81
0.6
55βββ
0.5
05
(0.0
47)
(0.0
62)
(0.0
70)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓUNt
+Ξ²
2ΓΟ
2 UN,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.2
23
0.0
11
0.0
01
(0.1
43)
(0.0
15)
7.
0.1
38
0.0
10
6.3
86
0.1
13
(0.1
32)
(0.0
12)
(4.1
77)
8.
0.3
14βββ
β0.0
34
0.0
38
(0.0
29)
(0.0
32)
9.
0.1
01
0.0
13
6.1
06
β0.0
31
0.1
48
(0.1
56)
(0.0
15)
(3.7
79)
(0.0
23)
10.
0.3
28βββ
0.0
31
β0.0
02
(0.1
39)
(0.0
63)
11.
0.1
07
0.0
13
7.5
12
β0.0
77
0.1
24
(0.1
39)
(0.0
13)
(4.6
81)
(0.0
63)
12.
0.0
57
0.0
17
7.4
52ββ
0.0
33
β0.0
93
0.1
65
(0.1
63)
(0.0
15)
(4.1
49)
(0.0
23)
(0.0
63)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
β0.0
25
β0.1
55
0.7
32βββ
0.1
87βββ
.βββ
0.2
71ββ
0.3
21βββ
0.0
77
0.2
36
(0.0
64)
(0.1
24)
(0.1
50)
(0.0
46)
(.)
(0.1
27)
(0.1
28)
(0.1
77)
14.
β0.0
10
0.0
81β
β0.1
90
0.6
48βββ
0.1
66βββ
.βββ
0.2
70ββ
0.3
32ββββ
0.0
22
0.2
44
(0.0
65)
(0.0
48)
(0.1
25)
(0.1
57)
(0.0
48)
(.)
(0.1
27)
(0.1
28)
(0.1
79)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.0
78
0.3
76βββ
0.3
49ββββ
0.0
36
0.0
35
0.2
75ββ
.βββ
β0.0
66
0.1
84
(0.0
51)
(0.1
19)
(0.1
26)
(0.0
44)
(0.0
30)
(0.1
07)
(.)
(0.0
54)
16.
0.1
04ββ
0.0
82
0.3
44βββ
0.3
19βββ
0.0
28
0.0
39
0.2
14β
.βββ
β0.0
80
0.1
91
(0.0
53)
(0.0
51)
(0.1
20)
(0.1
27)
(0.0
44)
(0.0
30)
(0.1
13)
(.)
(0.0
55)
Est
imate
d:
7A
pr
2009,
11:0
1:3
8N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 UN,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
UN
.
93
![Page 94: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/94.jpg)
Tab
le75
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,U
N,
JP,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.2
48βββ
0.0
00
(0.0
19)
2.
0.2
31βββ
0.0
43
0.0
35
(0.0
26)
(0.0
29)
3.
0.1
57βββ
0.0
42
0.0
06β
0.0
95
(0.0
49)
(0.0
29)
(0.0
03)
4.
0.2
08βββ
0.0
42
0.0
51
0.0
86
(0.0
30)
(0.0
30)
(0.0
33)
5.
0.0
44ββ
0.0
12
0.7
30βββ
0.5
74
(0.0
18)
(0.0
10)
(0.0
38)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓUNt
+Ξ²
2ΓΟ
2 UN,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.1
18ββ
0.0
35ββ
0.1
32
(0.0
59)
(0.0
15)
7.
0.1
15β
0.0
39ββ
2.1
06
0.1
29
(0.0
61)
(0.0
21)
(7.1
86)
8.
0.2
61βββ
β0.0
18ββ
0.1
12
(0.0
16)
(0.0
07)
9.
0.3
18ββββ
0.0
03
β6.7
15
β0.0
26βββ
0.1
22
(0.0
67)
(0.0
24)
(7.0
84)
(0.0
08)
10.
0.2
50βββ
β0.0
14
0.0
01
(0.0
63)
(0.0
09)
11.
0.1
14β
0.0
39ββ
2.0
98
0.0
01
0.1
25
(0.0
63)
(0.0
21)
(7.2
13)
(0.0
09)
12.
0.3
35ββββ
0.0
06
β7.0
22
β0.0
27ββββ
0.0
13ββ
0.1
22
(0.0
68)
(0.0
24)
(7.0
79)
(0.0
08)
(0.0
05)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.2
41βββ
0.0
12
0.1
71βββ
0.0
50β
0.0
82ββ
.βββ
β0.2
21βββ
0.1
06
0.1
27
(0.0
31)
(0.0
69)
(0.0
87)
(0.0
26)
(0.0
39)
(.)
(0.0
70)
(0.0
97)
14.
0.2
37βββ
0.0
28β
0.0
09
0.1
51ββ
0.0
50β
0.0
78ββ
.βββ
β0.2
02βββ
0.0
77
0.1
39
(0.0
31)
(0.0
15)
(0.0
68)
(0.0
87)
(0.0
26)
(0.0
39)
(.)
(0.0
70)
(0.0
98)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.1
26βββ
β0.0
27
0.1
79ββββ
0.0
07
β0.0
03
0.0
84ββ
.βββ
β0.0
98ββ
0.2
80
(0.0
26)
(0.0
56)
(0.0
33)
(0.0
12)
(0.0
09)
(0.0
34)
(.)
(0.0
38)
16.
0.1
22ββββ
0.0
16
β0.0
14
0.1
85ββββ
0.0
06
β0.0
04
0.0
93βββ
.βββ
β0.1
10βββ
0.2
81
(0.0
26)
(0.0
15)
(0.0
57)
(0.0
33)
(0.0
12)
(0.0
09)
(0.0
35)
(.)
(0.0
40)
Est
imate
d:
7A
pr
2009,
11:0
1:4
0N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 UN,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
UN
.
94
![Page 95: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/95.jpg)
Tab
le76
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,U
N,
UK
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.3
06βββ
0.0
00
(0.0
27)
2.
0.2
78βββ
0.2
46βββ
0.3
38
(0.0
19)
(0.0
46)
3.
0.5
07βββ
0.1
19ββββ
0.0
16βββ
0.6
03
(0.0
27)
(0.0
40)
(0.0
02)
4.
0.3
37βββ
0.1
87βββ
β0.1
13βββ
0.4
98
(0.0
20)
(0.0
46)
(0.0
27)
5.
0.2
46βββ
0.0
60ββ
0.5
01βββ
0.7
03
(0.0
56)
(0.0
29)
(0.1
08)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓUNt
+Ξ²
2ΓΟ
2 UN,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.1
55βββ
0.0
28βββ
0.2
61
(0.0
31)
(0.0
07)
7.
0.1
95βββ
0.0
02
7.9
28βββ
0.5
78
(0.0
22)
(0.0
05)
(1.0
49)
8.
0.2
83βββ
β0.0
32
0.0
52
(0.0
25)
(0.0
20)
9.
0.1
37βββ
0.0
17βββ
6.4
13βββ
0.0
35ββ
0.6
22
(0.0
27)
(0.0
06)
(1.2
18)
(0.0
17)
10.
0.2
92βββ
0.2
21ββ
0.0
94
(0.0
22)
(0.0
44)
11.
0.1
96βββ
0.0
01
7.6
85βββ
0.0
75β
0.5
86
(0.0
22)
(0.0
05)
(0.9
88)
(0.0
44)
12.
0.1
39βββ
0.0
16ββ
6.2
33βββ
0.0
34ββ
0.0
66
0.6
28
(0.0
27)
(0.0
06)
(1.0
95)
(0.0
16)
(0.0
40)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.1
52βββ
0.3
35ββββ
0.0
93
0.1
23βββ
0.0
96βββ
0.2
17βββ
.βββ
0.2
26ββ
0.4
46
(0.0
33)
(0.0
64)
(0.0
86)
(0.0
25)
(0.0
38)
(0.0
69)
(.)
(0.0
95)
14.
0.1
62βββ
0.1
00βββ
0.2
92ββββ
0.0
70
0.0
75ββ
0.1
02ββββ
0.1
36β
.βββ
0.1
50
0.4
67
(0.0
33)
(0.0
33)
(0.0
64)
(0.0
85)
(0.0
29)
(0.0
38)
(0.0
72)
(.)
(0.0
97)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
β0.0
25
0.0
06
0.2
27βββ
0.0
18
0.0
51βββ
0.0
28
.βββ
0.1
58βββ
0.5
31
(0.0
26)
(0.0
43)
(0.0
56)
(0.0
27)
(0.0
16)
(0.0
50)
(.)
(0.0
32)
16.
0.0
34
0.1
14βββ
0.0
44
0.1
71βββ
0.0
08
0.0
37ββ
0.0
19
.βββ
0.1
24βββ
0.5
78
(0.0
27)
(0.0
24)
(0.0
41)
(0.0
55)
(0.0
26)
(0.0
15)
(0.0
47)
(.)
(0.0
31)
Est
imate
d:
7A
pr
2009,
11:0
1:4
2N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 UN,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
UN
.
95
![Page 96: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/96.jpg)
Tab
le77
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,U
N,
US,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.2
19βββ
0.0
00
(0.0
12)
2.
0.2
11βββ
0.0
97ββ
0.1
19
(0.0
11)
(0.0
43)
3.
0.2
48βββ
0.0
91βββ
0.0
03β
0.1
45
(0.0
23)
(0.0
35)
(0.0
02)
4.
0.2
17βββ
0.0
98ββ
β0.0
13
0.1
21
(0.0
09)
(0.0
40)
(0.0
19)
5.
0.1
24βββ
0.0
55ββ
0.4
96βββ
0.3
62
(0.0
26)
(0.0
24)
(0.0
99)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓUNt
+Ξ²
2ΓΟ
2 UN,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.2
41ββββ
0.0
04
β0.0
03
(0.0
62)
(0.0
11)
7.
0.2
71ββββ
0.0
26β
7.1
36ββ
0.1
13
(0.0
67)
(0.0
14)
(3.0
88)
8.
0.2
18βββ
0.0
04
β0.0
01
(0.0
13)
(0.0
09)
9.
0.3
03ββββ
0.0
29ββ
5.6
86βββ
0.0
05
0.0
76
(0.0
59)
(0.0
14)
(2.6
43)
(0.0
09)
10.
0.2
16βββ
0.0
71
0.0
04
(0.0
67)
(0.0
34)
11.
0.2
72ββββ
0.0
26β
7.2
87ββ
β0.0
16
0.1
09
(0.0
67)
(0.0
14)
(3.0
39)
(0.0
34)
12.
0.3
06ββββ
0.0
30ββ
5.9
79βββ
0.0
05
β0.0
26
0.0
73
(0.0
60)
(0.0
14)
(2.6
44)
(0.0
09)
(0.0
31)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.1
40βββ
0.1
96ββββ
0.0
52
β0.0
32ββ
0.0
13
0.0
56
0.1
22ββ
.βββ
0.1
37
(0.0
24)
(0.0
48)
(0.0
64)
(0.0
19)
(0.0
29)
(0.0
52)
(0.0
52)
(.)
14.
0.1
36βββ
0.0
84βββ
0.1
59ββββ
0.0
60
β0.0
28
β0.0
19
0.1
05ββ
0.1
14ββ
.βββ
0.2
17
(0.0
23)
(0.0
18)
(0.0
47)
(0.0
61)
(0.0
18)
(0.0
27)
(0.0
50)
(0.0
49)
(.)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.0
88βββ
β0.0
20
0.1
46ββββ
0.0
72βββ
0.0
24ββ
0.1
88βββ
.βββ
0.0
44
0.3
14
(0.0
23)
(0.0
56)
(0.0
50)
(0.0
21)
(0.0
09)
(0.0
51)
(.)
(0.0
28)
16.
0.0
97βββ
0.0
16
β0.0
25
0.1
39ββββ
0.0
68βββ
0.0
22ββ
0.1
82βββ
.βββ
0.0
40
0.3
13
(0.0
25)
(0.0
20)
(0.0
56)
(0.0
51)
(0.0
22)
(0.0
10)
(0.0
51)
(.)
(0.0
28)
Est
imate
d:
7A
pr
2009,
11:0
1:4
5N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 UN,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
UN
.
96
![Page 97: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/97.jpg)
8.3 Drivers of DisagreementβDetailed Panel Results
97
![Page 98: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/98.jpg)
Tab
le78
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βP
anel
Res
ults
,IN
FL
,IQ
R
Mod
elΞ²
0Ξ²
1Ξ²
2Ξ²
3Ξ²
4R
2
Pan
elA
:di
sagr
eem
ent t
=Ξ²
0+Ξ²
1Γ
rece
ssio
n t+Ξ²
2Γt
+Ξ²
3Γ
post
-199
8 t+Ξ²
4Γ
disa
gree
men
t tβ
1+ut
1.0.
299βββ
β0.
004
(0.0
03)
2.0.
287βββ
0.06
4βββ
0.02
9(0.0
04)
(0.0
19)
3.1.
062βββ
0.03
5ββ
β0.
009βββ
0.14
8(0.0
55)
(0.0
17)
(0.0
02)
4.0.
327βββ
0.05
0βββ
β0.
082βββ
0.12
9(0.0
05)
(0.0
17)
(0.0
14)
Pan
elB
:di
sagr
eem
ent t
=Ξ²
0+Ξ²
1ΓINFLt
+Ξ²
3ΓΟ
2 INFL,t
+Ξ²
3Γ
outp
utga
p t+Ξ²
4Γ
βpo
licy
rate
2 t+ut
6.0.
237βββ
0.02
6βββ
0.07
6(0.0
06)
(0.0
05)
7.0.
235βββ
0.02
5βββ
0.04
70.
076
(0.0
07)
(0.0
06)
(0.1
33)
8.0.
288βββ
β0.
011ββ
0.01
3(0.0
03)
(0.0
06)
9.0.
224βββ
0.02
1βββ
0.22
0β
0.01
8βββ
0.07
0(0.0
08)
(0.0
06)
(0.1
57)
(0.0
06)
10.
0.29
4βββ
0.06
5ββ
0.02
2(0.0
03)
(0.0
26)
11.
0.23
3βββ
0.02
4βββ
0.05
80.
056ββ
0.09
6(0.0
07)
(0.0
06)
(0.1
29)
(0.0
24)
12.
0.22
3βββ
0.01
9βββ
0.22
7β
0.01
7βββ
0.05
7ββ
0.09
3(0.0
08)
(0.0
06)
(0.1
55)
(0.0
06)
(0.0
23)
Pan
elC
:D
isag
reem
ent
and
Cen
tral
Ban
kIn
depe
nden
cedi
sagr
eem
ent t
=Ξ²
0+Ξ²
1Γ
CB
Inde
pend
encet
+ut
13.
0.42
0βββ
β0.
152βββ
0.16
9(0.0
06)
(0.0
25)
Est
imat
ed:
6A
pr20
09,
22:4
2:01
Note
s:F
ixed
effec
tses
tim
ato
rs.Ξ²
0d
enote
sth
eaver
age
ofco
untr
y-s
pec
ific
inte
rcep
ts.β
post
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er
1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).
β12INFL
2 tβ‘
(INFLtβINFLtβ
12)2
.Ο
2 INFL,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INF
L.
βC
BIn
dep
end
encetβ
den
ote
sa
0β
1in
dic
ato
rof
ind
epen
den
tce
ntr
al
ban
k.
98
![Page 99: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/99.jpg)
Tab
le79
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βP
anel
Res
ults
,G
DP,
IQR
Mod
elΞ²
0Ξ²
1Ξ²
2Ξ²
3Ξ²
4R
2
Pan
elA
:di
sagr
eem
ent t
=Ξ²
0+Ξ²
1Γ
rece
ssio
n t+Ξ²
2Γt
+Ξ²
3Γ
post
-199
8 t+Ξ²
4Γ
disa
gree
men
t tβ
1+ut
1.0.
410βββ
β0.
004
(0.0
04)
2.0.
378βββ
0.16
5βββ
0.12
6(0.0
05)
(0.0
28)
3.0.
854βββ
0.14
7βββ
β0.
006βββ
0.15
1(0.0
73)
(0.0
28)
(0.0
02)
4.0.
394βββ
0.16
0βββ
β0.
032β
0.13
4(0.0
06)
(0.0
27)
(0.0
18)
Pan
elB
:di
sagr
eem
ent t
=Ξ²
0+Ξ²
1ΓGDPt
+Ξ²
3ΓΟ
2 GDP,t
+Ξ²
3Γ
outp
utga
p t+Ξ²
4Γ
βpo
licy
rate
2 t+ut
6.0.
482βββ
β0.
035βββ
0.10
7(0.0
07)
(0.0
06)
7.0.
387βββ
β0.
028βββ
0.71
6βββ
0.16
1(0.0
12)
(0.0
05)
(0.1
61)
8.0.
404βββ
β0.
015ββ
0.01
2(0.0
05)
(0.0
08)
9.0.
385βββ
β0.
026βββ
0.69
0βββ
β0.
001
0.12
8(0.0
13)
(0.0
07)
(0.1
83)
(0.0
08)
10.
0.40
4βββ
0.06
9β0.
012
(0.0
05)
(0.0
36)
11.
0.38
1βββ
β0.
027βββ
0.71
1βββ
0.04
70.
168
(0.0
12)
(0.0
05)
(0.1
59)
(0.0
34)
12.
0.37
9βββ
β0.
025βββ
0.68
6βββ
β0.
001
0.04
80.
136
(0.0
13)
(0.0
07)
(0.1
80)
(0.0
07)
(0.0
35)
Pan
elC
:D
isag
reem
ent
and
Cen
tral
Ban
kIn
depe
nden
cedi
sagr
eem
ent t
=Ξ²
0+Ξ²
1Γ
CB
Inde
pend
encet
+ut
13.
0.45
8βββ
β0.
061β
0.01
0(0.0
07)
(0.0
34)
Est
imat
ed:
6A
pr20
09,
22:4
2:22
Note
s:F
ixed
effec
tses
tim
ato
rs.Ξ²
0d
enote
sth
eaver
age
ofco
untr
y-s
pec
ific
inte
rcep
ts.β
post
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er
1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).
β12GDP
2 tβ‘
(GDPtβGDPtβ
12)2
.Ο
2 GDP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
GD
P.
βC
BIn
dep
end
encetβ
den
ote
sa
0β
1in
dic
ato
rof
ind
epen
den
tce
ntr
al
ban
k.
99
![Page 100: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/100.jpg)
Tab
le80
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βP
anel
Res
ults
,R
3M,
IQR
Mod
elΞ²
0Ξ²
1Ξ²
2Ξ²
3Ξ²
4R
2
Pan
elA
:di
sagr
eem
ent t
=Ξ²
0+Ξ²
1Γ
rece
ssio
n t+Ξ²
2Γt
+Ξ²
3Γ
post
-199
8 t+Ξ²
4Γ
disa
gree
men
t tβ
1+ut
1.0.
549βββ
β0.
004
(0.0
07)
2.0.
519βββ
0.16
1βββ
0.05
2(0.0
07)
(0.0
44)
3.2.
579βββ
0.08
3ββ
β0.
024βββ
0.27
1(0.0
99)
(0.0
33)
(0.0
03)
4.0.
624βββ
0.12
4βββ
β0.
214βββ
0.23
2(0.0
09)
(0.0
36)
(0.0
26)
Pan
elB
:di
sagr
eem
ent t
=Ξ²
0+Ξ²
1ΓR
3Mt
+Ξ²
3ΓΟ
2 R3M,t
+Ξ²
3Γ
outp
utga
p t+Ξ²
4Γ
βpo
licy
rate
2 t+ut
6.0.
319βββ
0.04
6βββ
0.27
6(0.0
11)
(0.0
05)
7.0.
333βββ
0.03
8βββ
0.34
1β0.
287
(0.0
12)
(0.0
07)
(0.1
80)
8.0.
520βββ
β0.
015
0.00
3(0.0
06)
(0.0
10)
9.0.
364βββ
0.02
7βββ
0.46
3ββ
β0.
015
0.22
7(0.0
13)
(0.0
08)
(0.1
90)
(0.0
10)
10.
0.53
9βββ
0.13
2βββ
0.02
4(0.0
07)
(0.0
45)
11.
0.33
2βββ
0.03
9βββ
0.29
9β0.
041β
0.28
9(0.0
12)
(0.0
07)
(0.1
77)
(0.0
22)
12.
0.36
3βββ
0.02
7βββ
0.42
1ββ
β0.
015
0.04
1β0.
229
(0.0
13)
(0.0
08)
(0.1
87)
(0.0
10)
(0.0
23)
Pan
elC
:D
isag
reem
ent
and
Cen
tral
Ban
kIn
depe
nden
cedi
sagr
eem
ent t
=Ξ²
0+Ξ²
1Γ
CB
Inde
pend
encet
+ut
13.
0.78
3βββ
β0.
294βββ
0.16
5(0.0
11)
(0.0
35)
Est
imat
ed:
6A
pr20
09,
22:4
2:46
Note
s:F
ixed
effec
tses
tim
ato
rs.Ξ²
0d
enote
sth
eaver
age
ofco
untr
y-s
pec
ific
inte
rcep
ts.β
post
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er
1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tput
gap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).
β12R
3M
2 tβ‘
(R3MtβR
3Mtβ
12)2
.Ο
2 R3M,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
R3M
.βC
BIn
dep
end
encetβ
den
ote
sa
0β
1in
dic
ato
rof
ind
epen
den
tce
ntr
al
ban
k.
100
![Page 101: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/101.jpg)
Tab
le81
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βP
anel
Res
ults
,C
ON
S,IQ
R
Mod
elΞ²
0Ξ²
1Ξ²
2Ξ²
3Ξ²
4R
2
Pan
elA
:di
sagr
eem
ent t
=Ξ²
0+Ξ²
1Γ
rece
ssio
n t+Ξ²
2Γt
+Ξ²
3Γ
post
-199
8 t+Ξ²
4Γ
disa
gree
men
t tβ
1+ut
1.0.
445βββ
β0.
004
(0.0
04)
2.0.
414βββ
0.16
4βββ
0.12
7(0.0
05)
(0.0
24)
3.0.
660βββ
0.15
4βββ
β0.
003β
0.13
3(0.0
73)
(0.0
24)
(0.0
02)
4.0.
419βββ
0.16
1βββ
β0.
012
0.12
8(0.0
06)
(0.0
24)
(0.0
15)
Pan
elB
:di
sagr
eem
ent t
=Ξ²
0+Ξ²
1ΓCONSt
+Ξ²
3ΓΟ
2 CONS,t
+Ξ²
3Γ
outp
utga
p t+Ξ²
4Γ
βpo
licy
rate
2 t+ut
6.0.
512βββ
β0.
031βββ
0.07
3(0.0
07)
(0.0
07)
7.0.
474βββ
β0.
030βββ
0.22
2βββ
0.09
6(0.0
10)
(0.0
06)
(0.0
82)
8.0.
443βββ
β0.
011β
0.00
4(0.0
05)
(0.0
07)
9.0.
454βββ
β0.
024βββ
0.27
8βββ
β0.
002
0.08
1(0.0
11)
(0.0
08)
(0.0
78)
(0.0
07)
10.
0.43
9βββ
0.06
2ββ
0.00
9(0.0
05)
(0.0
27)
11.
0.47
2βββ
β0.
029βββ
0.20
8βββ
0.04
4ββ
0.10
2(0.0
10)
(0.0
06)
(0.0
80)
(0.0
22)
12.
0.45
2βββ
β0.
023βββ
0.26
2βββ
β0.
002
0.04
4β0.
088
(0.0
11)
(0.0
08)
(0.0
77)
(0.0
07)
(0.0
24)
Pan
elC
:D
isag
reem
ent
and
Cen
tral
Ban
kIn
depe
nden
cedi
sagr
eem
ent t
=Ξ²
0+Ξ²
1Γ
CB
Inde
pend
encet
+ut
13.
0.46
9βββ
β0.
031
β0.
001
(0.0
07)
(0.0
30)
Est
imat
ed:
6A
pr20
09,
22:4
3:10
Note
s:F
ixed
effec
tses
tim
ato
rs.Ξ²
0d
enote
sth
eaver
age
ofco
untr
y-s
pec
ific
inte
rcep
ts.β
post
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er
1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).
β12CONS
2 tβ‘
(CONStβCONStβ
12)2
.
Ο2 CONS,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
CO
NS
.βC
BIn
dep
end
encetβ
den
ote
sa
0β
1in
dic
ato
rof
ind
epen
den
tce
ntr
al
ban
k.
101
![Page 102: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/102.jpg)
Tab
le82
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βP
anel
Res
ults
,IN
V,
IQR
Mod
elΞ²
0Ξ²
1Ξ²
2Ξ²
3Ξ²
4R
2
Pan
elA
:di
sagr
eem
ent t
=Ξ²
0+Ξ²
1Γ
rece
ssio
n t+Ξ²
2Γt
+Ξ²
3Γ
post
-199
8 t+Ξ²
4Γ
disa
gree
men
t tβ
1+ut
1.1.
764βββ
β0.
004
(0.0
17)
2.1.
701βββ
0.32
9βββ
0.03
0(0.0
19)
(0.1
04)
3.2.
501βββ
0.29
9βββ
β0.
009
0.03
4(0.2
99)
(0.1
08)
(0.0
07)
4.1.
702βββ
0.32
9βββ
β0.
002
0.02
9(0.0
25)
(0.1
03)
(0.0
71)
Pan
elB
:di
sagr
eem
ent t
=Ξ²
0+Ξ²
1ΓINVt
+Ξ²
3ΓΟ
2 INV,t
+Ξ²
3Γ
outp
utga
p t+Ξ²
4Γ
βpo
licy
rate
2 t+ut
6.1.
784βββ
β0.
025βββ
0.02
7(0.0
19)
(0.0
08)
7.1.
596βββ
β0.
020ββ
0.16
2ββ
0.05
2(0.0
36)
(0.0
08)
(0.0
65)
8.1.
761βββ
β0.
031
β0.
001
(0.0
18)
(0.0
28)
9.1.
585βββ
β0.
017β
0.17
9βββ
0.00
60.
046
(0.0
37)
(0.0
09)
(0.0
66)
(0.0
28)
10.
1.74
6βββ
0.22
1βββ
0.00
6(0.0
18)
(0.0
85)
11.
1.59
2βββ
β0.
019ββ
0.15
8ββ
0.08
00.
052
(0.0
36)
(0.0
08)
(0.0
64)
(0.1
15)
12.
1.58
2βββ
β0.
016β
0.17
7βββ
0.00
60.
066
0.04
6(0.0
37)
(0.0
09)
(0.0
66)
(0.0
28)
(0.1
17)
Pan
elC
:D
isag
reem
ent
and
Cen
tral
Ban
kIn
depe
nden
cedi
sagr
eem
ent t
=Ξ²
0+Ξ²
1Γ
CB
Inde
pend
encet
+ut
13.
1.83
3βββ
β0.
086
β0.
003
(0.0
19)
(0.1
07)
Est
imat
ed:
6A
pr20
09,
22:4
3:35
Note
s:F
ixed
effec
tses
tim
ato
rs.Ξ²
0d
enote
sth
eaver
age
of
cou
ntr
y-s
pec
ific
inte
rcep
ts.β
post
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d
1aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).
β12INV
2 tβ‘
(INVtβINVtβ
12)2
.
Ο2 INV,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
INV
.βC
BIn
dep
end
encetβ
den
ote
sa
0β
1in
dic
ato
rof
ind
epen
den
tce
ntr
al
ban
k.
102
![Page 103: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/103.jpg)
Tab
le83
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βP
anel
Res
ults
,U
N,
IQR
Mod
elΞ²
0Ξ²
1Ξ²
2Ξ²
3Ξ²
4R
2
Pan
elA
:di
sagr
eem
ent t
=Ξ²
0+Ξ²
1Γ
rece
ssio
n t+Ξ²
2Γt
+Ξ²
3Γ
post
-199
8 t+Ξ²
4Γ
disa
gree
men
t tβ
1+ut
1.0.
293βββ
β0.
004
(0.0
05)
2.0.
261βββ
0.16
9βββ
0.12
5(0.0
05)
(0.0
44)
3.1.
052βββ
0.13
9βββ
β0.
009βββ
0.19
1(0.0
73)
(0.0
39)
(0.0
02)
4.0.
297βββ
0.15
6βββ
β0.
074βββ
0.16
9(0.0
06)
(0.0
41)
(0.0
18)
Pan
elB
:di
sagr
eem
ent t
=Ξ²
0+Ξ²
1ΓUNt
+Ξ²
3ΓΟ
2 UN,t
+Ξ²
3Γ
outp
utga
p t+Ξ²
4Γ
βpo
licy
rate
2 t+ut
6.0.
302βββ
β0.
001
β0.
005
(0.0
23)
(0.0
13)
7.0.
359βββ
β0.
023
7.02
6βββ
0.14
9(0.0
21)
(0.0
15)
(1.5
89)
8.0.
287βββ
β0.
011
0.00
2(0.0
05)
(0.0
08)
9.0.
432βββ
β0.
034β
7.70
0βββ
β0.
010
0.16
2(0.0
27)
(0.0
20)
(1.9
39)
(0.0
08)
10.
0.29
0βββ
0.03
6ββ
0.00
1(0.0
05)
(0.0
20)
11.
0.36
0βββ
β0.
023
7.09
5βββ
β0.
010
0.14
9(0.0
21)
(0.0
15)
(1.5
94)
(0.0
14)
12.
0.43
2βββ
β0.
034β
7.85
7βββ
β0.
009
β0.
017
0.16
2(0.0
27)
(0.0
20)
(1.9
27)
(0.0
08)
(0.0
14)
Pan
elC
:D
isag
reem
ent
and
Cen
tral
Ban
kIn
depe
nden
cedi
sagr
eem
ent t
=Ξ²
0+Ξ²
1Γ
CB
Inde
pend
encet
+ut
13.
0.34
4βββ
β0.
064ββ
0.01
1(0.0
23)
(0.0
29)
Est
imat
ed:
6A
pr20
09,
22:4
4:01
Note
s:F
ixed
effec
tses
tim
ato
rs.Ξ²
0d
enote
sth
eaver
age
of
cou
ntr
y-s
pec
ific
inte
rcep
ts.β
post
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d
1aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).
β12UN
2 tβ‘
(UNtβUNtβ
12)2
.
Ο2 UN,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
UN
.βC
BIn
dep
end
encetβ
den
ote
sa
0β
1in
dic
ato
rof
ind
epen
den
tce
ntr
al
ban
k.
103
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9 Estimates for Industrial Production
104
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Table 84: Disagreement and Business CycleβPanel Results, IP
Model Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 Ξ²5 R2
Panel A: Disagreement over Timedisagrt = Ξ²0 + Ξ²1 Γ rect + Ξ²2 Γ post-1998t + ut
1. 1.000βββ β0.004(0.011)
2. 0.951βββ 0.257βββ 0.048(0.012) (0.069)
3. 0.932βββ 0.263βββ 0.038 0.049(0.016) (0.068) (0.041)
Panel B: Disagreement and Macro Variablesdisagrt = Ξ²0 + Ξ²2 Γ IPt + Ξ²3 Γ Ο2
IP,t + Ξ²4 Γ output gapt ++ Ξ²5 Γ βpolicy rate2
t + ut
4. 1.051βββ β0.036βββ 0.089(0.011) (0.007)
5. 0.971βββ β0.034βββ 0.060 0.092(0.033) (0.007) (0.049)
6. 1.027βββ β0.030βββ 0.012 β0.029β 0.080(0.034) (0.007) (0.041) (0.017)
7. 1.012βββ β0.029βββ 0.015 β0.028β 0.108 0.087(0.034) (0.007) (0.040) (0.017) (0.076)
Panel C: Disagreement and Central Bank Independencedisagrt = Ξ²0 + Ξ²1 Γ CB Independencet + Ξ²2 Γ IPt + Ξ²3 Γ Ο2
IP,t ++ Ξ²4 Γ output gapt + Ξ²5 Γ βpolicy rate2
t + ut
8. 0.976βββ 0.029 β0.005(0.011) (0.081)
9. 1.027βββ β0.027 β0.028βββ 0.020 β0.029β 0.104 0.087(0.039) (0.065) (0.007) (0.040) (0.016) (0.073)
Estimated: 6 Apr 2009, 22:44:25Notes: Fixed effects estimators, HAC standard errors, Bartlett kernel, bandwidth = 12
lags. The dependent variable is measured as cross-sectional IQR. Ξ²0 denotes the average
of country-specific intercepts. βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1
during recession set by the Economic Cycle Research Institute (ECRI) and 0 otherwise.
βoutput gaptβ denotes the ex-post output gap estimated in the OECD Economic Outlook
quarterly output gap revisions database (in August 2008). Ο2IP,t denotes variance of the
permanent component of IP. βCB Independencetβ denotes a 0β1 indicator of independent
monetary policy defined in table 11.
105
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Table 85: Disagreement Over Time and Business CycleβCountry-by-Country Results, IP
Country Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 R2
Panel A: Disagreement over Timedisagreementt = Ξ²0 + Ξ²1 Γ recessiont + Ξ²2 Γ post-1998t + ut
CN 1.365βββ 0.156 β0.311ββ 0.102(0.094) (0.154) (0.121)
FR 0.707βββ 0.076 0.077 0.015(0.043) (0.118) (0.065)
GE 0.695βββ 0.188ββ 0.097 0.118(0.062) (0.083) (0.079)
IT 0.695βββ 0.045 0.112 0.018(0.070) (0.129) (0.079)
JP 1.427βββ 0.432β 0.226 0.115(0.147) (0.233) (0.194)
UK 0.911βββ 0.335βββ β0.120β 0.192(0.042) (0.100) (0.070)
US 0.768βββ 0.252βββ 0.114 0.090(0.060) (0.060) (0.078)
Panel B: Disagreement and Macro Variablesdisagreementt = Ξ²0 + Ξ²1 Γ IPt + Ξ²2 Γ Ο2
IP,t ++ Ξ²3 Γ output gapt + Ξ²4 Γβpolicy rate2
t + ut
CN 1.010βββ β0.022β 0.112 β0.087βββ 0.047 0.139(0.127) (0.011) (0.076) (0.027) (0.077)
FR 0.688βββ β0.023 0.127 0.050 β0.082 0.027(0.166) (0.015) (0.220) (0.045) (0.131)
GE 0.915βββ β0.034βββ β0.025 0.027 0.169 0.177(0.117) (0.011) (0.068) (0.035) (0.269)
IT 0.831βββ β0.007 β0.031 β0.027 β0.143βββ 0.024(0.147) (0.013) (0.103) (0.028) (0.028)
JP 2.071βββ β0.044β β0.112 β0.071 0.164 0.122(0.256) (0.024) (0.075) (0.053) (0.148)
UK 0.542βββ β0.004 0.529βββ β0.017 0.197 0.171(0.103) (0.016) (0.173) (0.045) (0.168)
US 1.052βββ β0.058βββ β0.103 0.008 0.584βββ 0.397(0.150) (0.010) (0.207) (0.020) (0.223)
Estimated: 7 Apr 2009, 11:02:01Notes: Country-by-country regressions, NeweyβWest standard errors, 12 lags. The
dependent variable is measured as cross-sectional IQR. Ξ²0 denotes the average of
country-specific intercepts.βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals
1 during recession set by the Economic Cycle Research Institute (ECRI) and 0 oth-
erwise. Ο2IP,t denotes variance of the permanent component of IP. βoutput gaptβ
denotes the ex-post output gap estimated in the OECD Economic Outlook quarterly
output gap revisions database (in August 2008).
106
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Tab
le86
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IP
,C
N,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
1.2
42βββ
0.0
00
(0.0
69)
2.
1.2
03βββ
0.3
18ββ
0.0
33
(0.0
68)
(0.1
40)
3.
1.6
54βββ
0.0
64
β0.0
31βββ
0.0
88
(0.1
82)
(0.1
65)
(0.0
11)
4.
1.3
65βββ
0.1
56
β0.3
11ββ
0.1
02
(0.0
94)
(0.1
54)
(0.1
21)
5.
0.7
75βββ
0.0
51
0.5
23βββ
0.3
33
(0.1
42)
(0.0
88)
(0.0
58)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓIPt
+Ξ²
2ΓΟ
2 IP,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
1.3
26ββββ
0.0
39βββ
0.0
77
(0.0
62)
(0.0
13)
7.
1.4
18ββββ
0.0
40ββββ
0.0
60
0.0
76
(0.1
62)
(0.0
13)
(0.0
87)
8.
1.1
34βββ
β0.0
80βββ
0.1
04
(0.0
57)
(0.0
27)
9.
1.0
03ββββ
0.0
21β
0.1
19
β0.0
91βββ
0.1
43
(0.1
27)
(0.0
12)
(0.0
75)
(0.0
24)
10.
1.2
13βββ
0.1
74ββ
0.0
13
(0.1
55)
(0.0
74)
11.
1.3
82ββββ
0.0
41ββββ
0.0
56
0.1
81ββ
0.0
92
(0.1
55)
(0.0
12)
(0.0
82)
(0.0
74)
12.
1.0
10ββββ
0.0
22β
0.1
12
β0.0
87βββ
0.0
47
0.1
39
(0.1
27)
(0.0
11)
(0.0
76)
(0.0
27)
(0.0
77)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.6
19βββ
.βββ
0.0
02
β0.0
81
β0.0
07
0.0
64
0.5
88βββ
0.0
66
0.1
04
(0.1
88)
(.)
(0.1
40)
(0.1
44)
(0.1
23)
(0.0
58)
(0.1
28)
(0.1
34)
14.
0.6
14βββ
0.1
42
.βββ
β0.0
06
β0.0
60
0.0
14
0.0
83
0.5
43βββ
0.0
30
0.1
05
(0.1
88)
(0.1
38)
(.)
(0.1
40)
(0.1
45)
(0.1
25)
(0.0
61)
(0.1
35)
(0.1
38)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.3
28ββ
0.2
88
0.3
74
.βββ
0.0
68ββ
0.0
34
0.3
67
0.4
98βββ
0.2
10
(0.1
45)
(0.2
97)
(0.2
38)
(.)
(0.0
37)
(0.2
04)
(0.3
48)
(0.1
03)
16.
0.3
10βββ
0.0
46
0.3
02
0.3
85
.βββ
0.0
65ββ
0.0
19
0.3
96
0.5
04βββ
0.2
07
(0.1
54)
(0.1
26)
(0.3
00)
(0.2
40)
(.)
(0.0
37)
(0.2
08)
(0.3
58)
(0.1
04)
Est
imate
d:
7A
pr
2009,
11:0
1:4
7N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 IP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
IP.
107
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Tab
le87
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IP
,F
R,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.7
53βββ
0.0
00
(0.0
34)
2.
0.7
44βββ
0.0
65
0.0
02
(0.0
35)
(0.1
05)
3.
0.6
63βββ
0.0
79
0.0
06
0.0
07
(0.0
93)
(0.1
17)
(0.0
06)
4.
0.7
07βββ
0.0
76
0.0
77
0.0
15
(0.0
43)
(0.1
18)
(0.0
65)
5.
0.3
02βββ
0.0
29
0.5
61βββ
0.3
15
(0.0
59)
(0.0
56)
(0.0
61)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓIPt
+Ξ²
2ΓΟ
2 IP,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.7
77ββββ
0.0
20
0.0
33
(0.0
38)
(0.0
12)
7.
0.7
71ββββ
0.0
20
0.0
07
0.0
28
(0.1
03)
(0.0
13)
(0.1
30)
8.
0.7
69βββ
0.0
23
0.0
04
(0.0
33)
(0.0
25)
9.
0.6
88ββββ
0.0
23
0.1
23
0.0
50
0.0
32
(0.1
65)
(0.0
14)
(0.2
17)
(0.0
44)
10.
0.7
57βββ
β0.0
99
β0.0
03
(0.0
99)
(0.1
19)
11.
0.7
80ββββ
0.0
21
0.0
06
β0.1
85
0.0
29
(0.0
99)
(0.0
14)
(0.1
29)
(0.1
19)
12.
0.6
88ββββ
0.0
23
0.1
27
0.0
50
β0.0
82
0.0
27
(0.1
66)
(0.0
15)
(0.2
20)
(0.0
45)
(0.1
31)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.2
04ββ
0.0
01
.βββ
0.1
45ββ
0.2
17βββ
0.0
30
0.0
65
0.1
89βββ
0.1
61
(0.0
97)
(0.0
36)
(.)
(0.0
72)
(0.0
60)
(0.0
29)
(0.0
68)
(0.0
67)
14.
0.2
08ββ
0.0
25
0.0
00
.βββ
0.1
41β
0.2
21βββ
0.0
26
0.0
64
0.1
90βββ
0.1
58
(0.0
98)
(0.0
57)
(0.0
36)
(.)
(0.0
73)
(0.0
61)
(0.0
31)
(0.0
68)
(0.0
67)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.3
14βββ
0.3
23
0.7
20βββ
.βββ
0.1
33ββββ
0.3
34
0.3
81β
0.0
15
0.1
28
(0.0
96)
(0.2
62)
(0.2
37)
(.)
(0.0
51)
(0.2
11)
(0.2
25)
(0.0
97)
16.
0.3
25βββ
0.0
53
0.3
38
0.7
15βββ
.βββ
0.1
39ββββ
0.3
56β
0.3
77ββ
0.0
23
0.1
27
(0.0
96)
(0.0
59)
(0.2
63)
(0.2
38)
(.)
(0.0
52)
(0.2
13)
(0.2
25)
(0.1
06)
Est
imate
d:
7A
pr
2009,
11:0
1:5
0N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 IP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
IP.
108
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Tab
le88
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IP
,G
E,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.8
05βββ
0.0
00
(0.0
48)
2.
0.7
40βββ
0.1
85ββ
0.0
93
(0.0
43)
(0.0
87)
3.
0.5
68βββ
0.2
11βββ
0.0
12
0.1
33
(0.1
18)
(0.0
78)
(0.0
08)
4.
0.6
95βββ
0.1
88ββ
0.0
97
0.1
18
(0.0
62)
(0.0
83)
(0.0
79)
5.
0.1
99βββ
0.0
73ββ
0.6
46βββ
0.4
91
(0.0
53)
(0.0
31)
(0.0
58)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓIPt
+Ξ²
2ΓΟ
2 IP,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.8
62ββββ
0.0
35βββ
0.2
14
(0.0
36)
(0.0
09)
7.
0.7
68ββββ
0.0
30ββ
0.0
55
0.2
15
(0.1
76)
(0.0
14)
(0.1
10)
8.
0.8
32βββ
0.0
12
β0.0
02
(0.0
47)
(0.0
38)
9.
0.9
19ββββ
0.0
34ββββ
0.0
23
0.0
28
0.1
80
(0.1
18)
(0.0
11)
(0.0
66)
(0.0
35)
10.
0.7
90βββ
0.4
66ββ
0.0
13
(0.1
77)
(0.1
74)
11.
0.7
67ββββ
0.0
30ββ
0.0
52
0.2
02
0.2
15
(0.1
77)
(0.0
14)
(0.1
11)
(0.1
74)
12.
0.9
15ββββ
0.0
34ββββ
0.0
25
0.0
27
0.1
69
0.1
77
(0.1
17)
(0.0
11)
(0.0
68)
(0.0
35)
(0.2
69)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.4
42βββ
β0.0
20
0.1
38ββ
.βββ
0.1
10β
0.1
45ββββ
0.0
83
0.0
33
0.2
09
(0.0
90)
(0.0
35)
(0.0
69)
(.)
(0.0
60)
(0.0
27)
(0.0
66)
(0.0
66)
14.
0.5
18βββ
0.1
49βββ
β0.0
15
0.1
04
.βββ
0.1
52ββ
0.1
10ββββ
0.1
07ββ
0.0
38
0.2
53
(0.0
90)
(0.0
42)
(0.0
34)
(0.0
67)
(.)
(0.0
60)
(0.0
28)
(0.0
65)
(0.0
67)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.4
37βββ
0.0
67
0.5
97βββ
.βββ
0.1
02βββ
0.2
03
β0.1
22βββ
0.0
90
0.1
60
(0.0
92)
(0.2
30)
(0.1
43)
(.)
(0.0
39)
(0.1
52)
(0.0
60)
(0.1
04)
16.
0.5
64βββ
0.1
99βββ
0.0
54
0.4
99βββ
.βββ
0.0
52
0.2
06
β0.2
48ββββ
0.1
61
0.2
27
(0.0
93)
(0.0
47)
(0.2
21)
(0.1
39)
(.)
(0.0
39)
(0.1
46)
(0.0
65)
(0.1
01)
Est
imate
d:
7A
pr
2009,
11:0
1:5
2N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 IP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
IP.
109
![Page 110: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/110.jpg)
Tab
le89
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IP
,IT
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.7
51βββ
0.0
00
(0.0
41)
2.
0.7
52ββββ
0.0
13
β0.0
05
(0.0
42)
(0.1
19)
3.
0.5
13βββ
0.0
89
0.0
17ββ
0.0
50
(0.1
24)
(0.1
23)
(0.0
08)
4.
0.6
95βββ
0.0
45
0.1
12
0.0
18
(0.0
70)
(0.1
29)
(0.0
79)
5.
0.2
27βββ
0.0
38
0.5
72βββ
0.3
55
(0.0
63)
(0.0
61)
(0.0
37)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓIPt
+Ξ²
2ΓΟ
2 IP,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.7
57ββββ
0.0
08
0.0
02
(0.0
43)
(0.0
10)
7.
0.8
35ββββ
0.0
05
β0.0
54
β0.0
00
(0.1
59)
(0.0
12)
(0.1
11)
8.
0.7
64βββ
β0.0
25
0.0
06
(0.0
41)
(0.0
28)
9.
0.8
39ββββ
0.0
03
β0.0
49
β0.0
23
0.0
01
(0.1
50)
(0.0
13)
(0.1
06)
(0.0
28)
10.
0.7
64βββ
β0.1
17βββ
0.0
13
(0.1
56)
(0.0
29)
11.
0.8
30ββββ
0.0
09
β0.0
39
β0.1
31βββ
0.0
16
(0.1
56)
(0.0
12)
(0.1
08)
(0.0
29)
12.
0.8
31ββββ
0.0
07
β0.0
31
β0.0
27
β0.1
43βββ
0.0
24
(0.1
47)
(0.0
13)
(0.1
03)
(0.0
28)
(0.0
28)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.4
34βββ
β0.0
02
0.2
81βββ
0.1
50β
.βββ
0.0
69βββ
0.2
26βββ
0.0
84
0.1
77
(0.1
07)
(0.0
41)
(0.0
78)
(0.0
82)
(.)
(0.0
33)
(0.0
76)
(0.0
77)
14.
0.3
74ββββ
0.1
99βββ
0.0
18
0.3
04βββ
0.1
44β
.βββ
0.1
08ββββ
0.2
31βββ
0.0
62
0.2
00
(0.1
08)
(0.0
77)
(0.0
41)
(0.0
78)
(0.0
81)
(.)
(0.0
36)
(0.0
75)
(0.0
76)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.5
33βββ
β0.2
07
0.4
65ββ
.βββ
0.0
55
0.5
84ββββ
0.0
97
β0.1
33
0.1
17
(0.0
74)
(0.1
98)
(0.2
07)
(.)
(0.0
49)
(0.1
72)
(0.1
15)
(0.0
88)
16.
0.4
81ββββ
0.1
34
β0.1
61
0.5
01ββ
.βββ
0.0
48
0.6
69ββββ
0.0
74
β0.1
07
0.1
24
(0.0
80)
(0.0
83)
(0.2
00)
(0.2
07)
(.)
(0.0
49)
(0.1
79)
(0.1
16)
(0.0
89)
Est
imate
d:
7A
pr
2009,
11:0
1:5
4N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 IP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
IP.
110
![Page 111: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/111.jpg)
Tab
le90
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IP
,JP
,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
1.7
09βββ
0.0
00
(0.1
17)
2.
1.5
28βββ
0.4
37β
0.0
93
(0.1
29)
(0.2
32)
3.
1.2
71βββ
0.4
34β
0.0
19
0.1
07
(0.3
28)
(0.2
34)
(0.0
22)
4.
1.4
27βββ
0.4
32β
0.2
26
0.1
15
(0.1
47)
(0.2
33)
(0.1
94)
5.
0.3
36βββ
0.1
14
0.7
46βββ
0.6
02
(0.1
08)
(0.0
71)
(0.0
34)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓIPt
+Ξ²
2ΓΟ
2 IP,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
1.7
50ββββ
0.0
50ββ
0.1
16
(0.1
05)
(0.0
22)
7.
1.6
19ββββ
0.0
47ββ
0.0
51
0.1
15
(0.3
25)
(0.0
24)
(0.0
96)
8.
1.7
79βββ
β0.0
45
0.0
13
(0.1
03)
(0.0
60)
9.
2.1
08ββββ
0.0
47ββ
0.1
17
β0.0
64
0.1
04
(0.2
57)
(0.0
25)
(0.0
75)
(0.0
56)
10.
1.6
84βββ
0.1
95
0.0
24
(0.3
19)
(0.1
37)
11.
1.5
62ββββ
0.0
43β
0.0
65
0.1
56
0.1
28
(0.3
19)
(0.0
22)
(0.0
95)
(0.1
37)
12.
2.0
71ββββ
0.0
44ββ
0.1
12
β0.0
71
0.1
64
0.1
22
(0.2
56)
(0.0
24)
(0.0
75)
(0.0
53)
(0.1
48)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.4
92ββ
0.0
96
0.1
76
0.8
87βββ
0.3
12ββ
.βββ
0.0
30
β0.0
10
0.1
86
(0.2
34)
(0.0
87)
(0.1
71)
(0.1
64)
(0.1
49)
(.)
(0.1
64)
(0.1
64)
14.
0.4
67ββ
0.3
20βββ
0.1
16
0.0
08
0.7
11βββ
0.4
03βββ
.βββ
0.0
21
0.0
78
0.2
24
(0.2
28)
(0.0
97)
(0.0
85)
(0.1
75)
(0.1
69)
(0.1
48)
(.)
(0.1
60)
(0.1
62)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.3
94ββ
β0.4
39
0.4
61ββ
.βββ
0.2
71βββ
0.8
97ββββ
0.2
53
β0.1
32
0.3
95
(0.1
58)
(0.3
31)
(0.2
05)
(.)
(0.0
52)
(0.1
94)
(0.4
21)
(0.2
30)
16.
0.4
14βββ
0.1
40
β0.5
47
0.3
92β
.βββ
0.2
79βββ
0.8
07ββββ
0.2
00
β0.0
20
0.3
99
(0.1
58)
(0.0
90)
(0.3
36)
(0.2
09)
(.)
(0.0
52)
(0.2
02)
(0.4
21)
(0.2
40)
Est
imate
d:
7A
pr
2009,
11:0
1:5
7N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 IP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
IP.
111
![Page 112: Expectations in G7 Countries - Slacalek...11 Sun Life Oct 89{ Nov 98 priv. Canadian insurance company 12 Bank of Nova Scotia Oct 89{May 98 priv. 13 Bank of Montreal Oct 89{Oct 06 priv](https://reader035.vdocuments.site/reader035/viewer/2022071105/5fdebc775c31ec004e293b9c/html5/thumbnails/112.jpg)
Tab
le91
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IP
,U
K,
IQR
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.8
94βββ
0.0
00
(0.0
48)
2.
0.8
49βββ
0.3
97βββ
0.1
62
(0.0
38)
(0.0
96)
3.
1.0
77βββ
0.2
71ββββ
0.0
16βββ
0.2
08
(0.0
84)
(0.1
04)
(0.0
06)
4.
0.9
11βββ
0.3
35βββ
β0.1
20β
0.1
92
(0.0
42)
(0.1
00)
(0.0
70)
5.
0.4
12βββ
0.1
17ββ
0.6
03βββ
0.4
95
(0.0
73)
(0.0
49)
(0.0
61)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓIPt
+Ξ²
2ΓΟ
2 IP,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
0.9
07ββββ
0.0
26
0.0
32
(0.0
50)
(0.0
23)
7.
0.5
22ββββ
0.0
07
0.6
01βββ
0.1
80
(0.0
97)
(0.0
16)
(0.1
50)
8.
0.8
67βββ
β0.0
24
0.0
01
(0.0
50)
(0.0
43)
9.
0.5
27ββββ
0.0
04
0.5
70ββββ
0.0
23
0.1
63
(0.1
06)
(0.0
16)
(0.1
80)
(0.0
46)
10.
0.8
75βββ
0.3
02ββ
0.0
29
(0.0
98)
(0.1
39)
11.
0.5
34ββββ
0.0
08
0.5
66βββ
0.1
61
0.1
85
(0.0
98)
(0.0
16)
(0.1
57)
(0.1
39)
12.
0.5
42ββββ
0.0
04
0.5
29ββββ
0.0
17
0.1
97
0.1
71
(0.1
03)
(0.0
16)
(0.1
73)
(0.0
45)
(0.1
68)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.5
82βββ
0.1
65βββ
0.0
71
β0.0
95
β0.1
90βββ
0.0
06
.βββ
0.3
13βββ
0.2
32
(0.0
93)
(0.0
36)
(0.0
74)
(0.0
76)
(0.0
64)
(0.0
31)
(.)
(0.0
67)
14.
0.5
49βββ
0.2
66βββ
0.1
43βββ
0.0
43
β0.0
52
β0.1
47ββ
0.0
40
.βββ
0.2
26βββ
0.2
83
(0.0
91)
(0.0
69)
(0.0
35)
(0.0
72)
(0.0
74)
(0.0
63)
(0.0
31)
(.)
(0.0
69)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.2
03βββ
β0.1
98β
0.4
22βββ
.βββ
0.1
86βββ
0.3
11ββ
0.1
26
0.0
93
0.3
95
(0.0
66)
(0.1
11)
(0.1
51)
(.)
(0.0
40)
(0.1
29)
(0.1
87)
(0.0
88)
16.
0.2
34βββ
0.0
65
β0.1
76
0.4
02βββ
.βββ
0.1
80βββ
0.3
07ββ
0.0
65
0.0
83
0.3
95
(0.0
74)
(0.0
69)
(0.1
14)
(0.1
53)
(.)
(0.0
41)
(0.1
29)
(0.1
97)
(0.0
89)
Est
imate
d:
7A
pr
2009,
11:0
1:5
9N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 IP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
IP.
112
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Tab
le92
:D
isag
reem
ent
and
Bus
ines
sC
ycle
βD
etai
led
Res
ults
,IP
,U
S,IQ
R
Model
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ²4
R2
Panel
A:
dis
agre
emen
t t=Ξ²
0+Ξ²
1Γ
rece
ssio
nt
+Ξ²
2Γt
+Ξ²
3Γ
post
-1999t
+Ξ²
4Γ
dis
agre
emen
t tβ
1+ut
1.
0.8
43βββ
0.0
00
(0.0
47)
2.
0.8
20βββ
0.2
58βββ
0.0
57
(0.0
45)
(0.0
49)
3.
0.7
79βββ
0.2
64βββ
0.0
03
0.0
55
(0.1
33)
(0.0
53)
(0.0
09)
4.
0.7
68βββ
0.2
52βββ
0.1
14
0.0
90
(0.0
60)
(0.0
60)
(0.0
78)
5.
0.2
70βββ
0.1
29βββ
0.6
31βββ
0.4
38
(0.0
61)
(0.0
38)
(0.0
64)
Panel
B:
dis
agre
emen
t t=Ξ²
0+Ξ²
1ΓIPt
+Ξ²
2ΓΟ
2 IP,t
+Ξ²
3Γ
outp
ut
gapt
+Ξ²
4Γ
βp
olicy
rate
2 t+ut
6.
1.0
07ββββ
0.0
56βββ
0.3
26
(0.0
36)
(0.0
06)
7.
0.9
93ββββ
0.0
55βββ
0.0
22
0.3
23
(0.1
43)
(0.0
10)
(0.1
97)
8.
0.8
37βββ
β0.0
03
β0.0
05
(0.0
47)
(0.0
27)
9.
1.0
59ββββ
0.0
60ββββ
0.0
49
0.0
12
0.3
55
(0.1
47)
(0.0
09)
(0.2
00)
(0.0
20)
10.
0.8
03βββ
0.9
18βββ
0.1
07
(0.1
44)
(0.2
07)
11.
0.9
92ββββ
0.0
53ββββ
0.0
40
0.6
26βββ
0.3
69
(0.1
44)
(0.0
10)
(0.2
03)
(0.2
07)
12.
1.0
52ββββ
0.0
58ββββ
0.1
03
0.0
08
0.5
84βββ
0.3
97
(0.1
50)
(0.0
10)
(0.2
07)
(0.0
20)
(0.2
23)
Panel
C:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
countr
ies
Ξ³jΓ
dis
agre
emen
t j,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ³CN
Ξ³FR
Ξ³GE
Ξ³IT
Ξ³JP
Ξ³UK
Ξ³US
R2
13.
0.3
02βββ
0.0
19
0.2
07βββ
0.0
38
0.0
71
β0.0
02
0.3
14βββ
.βββ
0.1
51
(0.1
00)
(0.0
38)
(0.0
73)
(0.0
76)
(0.0
65)
(0.0
31)
(0.0
68)
(.)
14.
0.3
34βββ
0.1
39β
0.0
09
0.1
70ββ
0.0
26
0.0
73
0.0
12
0.2
90βββ
.βββ
0.1
62
(0.1
01)
(0.0
73)
(0.0
38)
(0.0
75)
(0.0
76)
(0.0
65)
(0.0
31)
(0.0
68)
(.)
Panel
D:
dis
agre
emen
t i,t
=Ξ²
0+Ξ²
1Γ
rece
ssio
ni,t
+β
vari
able
s
Ξ΄ kΓ
dis
agre
emen
t k,t
+ui,t
Ξ²0
Ξ²1
Ξ²2
Ξ²3
Ξ΄ INFL
Ξ΄ GDP
Ξ΄ IP
Ξ΄ INV
Ξ΄ CONS
Ξ΄ UN
Ξ΄ R3M
R2
15.
0.1
20
0.4
61βββ
0.7
67βββ
.βββ
0.1
30βββ
0.1
93
β0.7
62βββ
0.2
16ββ
0.4
83
(0.0
76)
(0.1
78)
(0.1
57)
(.)
(0.0
30)
(0.1
71)
(0.2
24)
(0.0
90)
16.
0.0
22
β0.1
66βββ
0.5
00βββ
0.8
03βββ
.βββ
0.1
51βββ
0.2
36
β0.7
00βββ
0.2
43βββ
0.4
99
(0.0
83)
(0.0
62)
(0.1
76)
(0.1
55)
(.)
(0.0
30)
(0.1
69)
(0.2
22)
(0.0
90)
Est
imate
d:
7A
pr
2009,
11:0
2:0
1N
ote
s:βp
ost
-1998tβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
0b
efore
1999
an
d1
aft
er1998.
βre
cess
iontβ
den
ote
sa
du
mm
yvari
ab
lew
hic
heq
uals
1d
uri
ng
rece
ssio
nse
tby
the
Eco
nom
icC
ycl
eR
esea
rch
Inst
itu
te(E
CR
I)an
d0
oth
erw
ise.
βou
tpu
tgaptβ
den
ote
sth
eex
-post
ou
tpu
tgap
esti
mate
din
the
OE
CD
qu
art
erly
ou
tpu
tgap
revis
ion
sd
ata
base
(in
Au
gu
st2008).Ο
2 IP,t
den
ote
svari
an
ceof
the
per
man
ent
com
pon
ent
of
IP.
113
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10 Disagreement Measured with Cross-sectionalStandard DeviationβSelected Results
114
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Table 93: Average Disagreement Across Countries and Variables, Disagree-ment Measure: StDev, variable: Disagr
Variable Canada France Germany Italy Japan UK US Mean
Full Sample
Inflation 0.26 0.18 0.20 0.21 0.28 0.32 0.27 0.24Interest Rate 0.57 0.40 0.35 0.43 0.25 0.56 0.45 0.43GDP 0.34 0.24 0.27 0.22 0.56 0.38 0.31 0.33Consumption 0.37 0.24 0.32 0.29 0.51 0.49 0.31 0.36Investment 2.01 0.93 1.21 0.79 1.91 1.54 1.60 1.43Unemployment 0.24 0.20 0.31 0.26 0.20 0.28 0.19 0.24IP 0.94 0.63 0.67 0.58 1.32 0.71 0.69 0.79
BoomsInflation 0.99 0.99 0.95 0.93 0.95 0.93 0.98 0.96Interest Rate 0.95 0.95 0.92 0.94 1.12 0.94 0.99 0.99GDP 0.96 0.96 0.88 0.97 0.86 0.96 0.96 0.91Consumption 0.96 0.95 0.90 0.95 0.88 0.95 0.96 0.92Investment 1.01 0.99 0.94 0.98 0.90 0.93 0.96 0.95Unemployment 0.94 0.98 0.72 0.96 0.94 0.94 0.97 0.92IP 0.94 0.98 0.89 1.01 0.88 0.96 0.98 0.92
RecessionsInflation 1.09 1.06 1.09 1.58 1.07 1.53 1.23 1.16Interest Rate 1.34 1.28 1.14 1.49 0.83 1.47 1.07 1.16GDP 1.32 1.25 1.23 1.29 1.19 1.32 1.42 1.39Consumption 1.32 1.30 1.19 1.42 1.17 1.42 1.43 1.34Investment 0.94 1.08 1.12 1.20 1.13 1.56 1.40 1.22Unemployment 1.45 1.14 1.52 1.33 1.09 1.47 1.26 1.36IP 1.41 1.11 1.20 0.90 1.17 1.35 1.21 1.34
Pre-1999Inflation 1.09 1.04 0.95 1.27 1.18 1.35 1.03 1.14Interest Rate 1.17 1.14 1.13 1.26 1.40 1.22 1.00 1.18GDP 1.11 0.99 1.11 0.99 1.05 1.06 1.02 1.05Consumption 1.11 1.03 1.05 1.02 1.02 1.10 1.00 1.05Investment 1.09 0.99 0.94 1.08 0.96 1.00 1.02 1.01Unemployment 1.20 0.98 1.29 1.09 0.95 1.18 1.08 1.13IP 1.16 1.00 0.92 0.93 0.92 1.05 0.95 0.99
1999+Inflation 0.89 0.96 1.06 0.69 0.78 0.59 0.97Interest Rate 0.80 0.84 0.85 0.69 0.52 0.74 1.00 0.79GDP 0.87 1.01 0.87 1.01 0.94 0.93 0.98 0.94Investment 0.90 1.01 1.07 0.90 1.05 1.00 0.97 0.99Consumption 0.87 0.97 0.94 0.97 0.98 0.89 1.00 0.94Unemployment 0.76 1.02 0.66 0.90 1.06 0.79 0.91 0.85IP 0.82 1.01 1.09 1.08 1.09 0.95 1.06 1.01
Estimated: 6 Apr 2009, 22:14:01 Notes: Averages taken across time periods.
115
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Table 94: Disagreement and Business CycleβPanel Results, INFL
Model Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 Ξ²5 R2
Panel A: Disagreement over Timedisagrt = Ξ²0 + Ξ²1 Γ rect + Ξ²2 Γ post-1998t + ut
1. 0.245βββ β0.004(0.003)
2. 0.234βββ 0.057βββ 0.043(0.003) (0.016)
3. 0.270βββ 0.045βββ β0.072βββ 0.177(0.004) (0.015) (0.012)
Panel B: Disagreement and Macro Variablesdisagrt = Ξ²0 + Ξ²2 Γ INFLt + Ξ²3 Γ Ο2
INFL,t + Ξ²4 Γ output gapt ++ Ξ²5 Γ βpolicy rate2
t + ut
4. 0.183βββ 0.026βββ 0.135(0.005) (0.005)
5. 0.179βββ 0.024βββ 0.115 0.138(0.005) (0.006) (0.104)
6. 0.176βββ 0.016βββ 0.299ββ β0.017βββ 0.110(0.006) (0.005) (0.123) (0.005)
7. 0.175βββ 0.014βββ 0.305ββ β0.016βββ 0.052βββ 0.146(0.005) (0.005) (0.120) (0.004) (0.013)
Panel C: Disagreement and Central Bank Independencedisagrt = Ξ²0 + Ξ²1 Γ CB Independencet + Ξ²2 Γ INFLt + Ξ²3 Γ Ο2
INFL,t ++ Ξ²4 Γ output gapt + Ξ²5 Γ βpolicy rate2
t + ut
8. 0.354βββ β0.137βββ 0.238(0.005) (0.021)
9. 0.309βββ β0.127βββ 0.001 0.312βββ β0.018βββ 0.032βββ 0.329(0.009) (0.025) (0.006) (0.099) (0.004) (0.010)
Estimated: 6 Apr 2009, 22:11:53Notes: Fixed effects estimators, HAC standard errors, Bartlett kernel, bandwidth = 12
lags. The dependent variable is measured as cross-sectional StDev. Ξ²0 denotes the
average of country-specific intercepts. βpost-1998tβ denotes a dummy variable which
equals 0 before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which
equals 1 during recession set by the Economic Cycle Research Institute (ECRI) and
0 otherwise. βoutput gaptβ denotes the ex-post output gap estimated in the OECD
Economic Outlook quarterly output gap revisions database (in August 2008). Ο2INFL,t
denotes variance of the permanent component of INFL. βCB Independencetβ denotes a
0β1 indicator of independent monetary policy defined in table 11.
116
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Table 95: Disagreement and Business CycleβPanel Results, R3M
Model Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 Ξ²5 R2
Panel A: Disagreement over Timedisagrt = Ξ²0 + Ξ²1 Γ rect + Ξ²2 Γ post-1998t + ut
1. 0.431βββ β0.004(0.004)
2. 0.412βββ 0.097βββ 0.047(0.005) (0.031)
3. 0.490βββ 0.069βββ β0.159βββ 0.298(0.005) (0.024) (0.018)
Panel B: Disagreement and Macro Variablesdisagrt = Ξ²0 + Ξ²2 ΓR3Mt + Ξ²3 Γ Ο2
R3M,t + Ξ²4 Γ output gapt ++ Ξ²5 Γ βpolicy rate2
t + ut
4. 0.268βββ 0.032βββ 0.348(0.007) (0.003)
5. 0.278βββ 0.027βββ 0.247ββ 0.363(0.007) (0.004) (0.119)
6. 0.293βββ 0.021βββ 0.300ββ β0.011β 0.288(0.008) (0.005) (0.128) (0.006)
7. 0.293βββ 0.021βββ 0.270ββ β0.011β 0.030ββ 0.291(0.008) (0.005) (0.123) (0.006) (0.015)
Panel C: Disagreement and Central Bank Independencedisagrt = Ξ²0 + Ξ²1 Γ CB Independencet + Ξ²2 ΓR3Mt + Ξ²3 Γ Ο2
R3M,t ++ Ξ²4 Γ output gapt + Ξ²5 Γ βpolicy rate2
t + ut
8. 0.618βββ β0.236βββ 0.272(0.007) (0.025)
9. 0.463βββ β0.155βββ 0.013ββ 0.149 β0.016βββ 0.024β 0.375(0.015) (0.034) (0.005) (0.120) (0.006) (0.014)
Estimated: 6 Apr 2009, 22:12:43Notes: Fixed effects estimators, HAC standard errors, Bartlett kernel, bandwidth = 12
lags. The dependent variable is measured as cross-sectional StDev. Ξ²0 denotes the
average of country-specific intercepts. βpost-1998tβ denotes a dummy variable which
equals 0 before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which
equals 1 during recession set by the Economic Cycle Research Institute (ECRI) and
0 otherwise. βoutput gaptβ denotes the ex-post output gap estimated in the OECD
Economic Outlook quarterly output gap revisions database (in August 2008). Ο2R3M,t
denotes variance of the permanent component of R3M. βCB Independencetβ denotes a
0β1 indicator of independent monetary policy defined in table 11.
117
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Table 96: Disagreement and Business CycleβPanel Results, GDP
Model Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 Ξ²5 R2
Panel A: Disagreement over Timedisagrt = Ξ²0 + Ξ²1 Γ rect + Ξ²2 Γ post-1998t + ut
1. 0.332βββ β0.004(0.003)
2. 0.308βββ 0.123βββ 0.140(0.003) (0.023)
3. 0.321βββ 0.119βββ β0.026β 0.151(0.004) (0.022) (0.014)
Panel B: Disagreement and Macro Variablesdisagrt = Ξ²0 + Ξ²2 ΓGDPt + Ξ²3 Γ Ο2
GDP,t + Ξ²4 Γ output gapt ++ Ξ²5 Γ βpolicy rate2
t + ut
4. 0.388βββ β0.027βββ 0.128(0.005) (0.005)
5. 0.325βββ β0.023βββ 0.474βββ 0.175(0.008) (0.004) (0.148)
6. 0.334βββ β0.024βββ 0.438ββ 0.006 0.140(0.009) (0.006) (0.171) (0.007)
7. 0.326βββ β0.022βββ 0.434βββ 0.006 0.058ββ 0.165(0.009) (0.005) (0.163) (0.006) (0.026)
Panel C: Disagreement and Central Bank Independencedisagrt = Ξ²0 + Ξ²1 Γ CB Independencet + Ξ²2 ΓGDPt + Ξ²3 Γ Ο2
GDP,t ++ Ξ²4 Γ output gapt + Ξ²5 Γ βpolicy rate2
t + ut
8. 0.376βββ β0.056β 0.021(0.005) (0.030)
9. 0.366βββ β0.053β β0.020βββ 0.426βββ 0.003 0.048ββ 0.185(0.011) (0.028) (0.005) (0.161) (0.006) (0.024)
Estimated: 6 Apr 2009, 22:12:18Notes: Fixed effects estimators, HAC standard errors, Bartlett kernel, bandwidth = 12
lags. The dependent variable is measured as cross-sectional StDev. Ξ²0 denotes the
average of country-specific intercepts. βpost-1998tβ denotes a dummy variable which
equals 0 before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which
equals 1 during recession set by the Economic Cycle Research Institute (ECRI) and
0 otherwise. βoutput gaptβ denotes the ex-post output gap estimated in the OECD
Economic Outlook quarterly output gap revisions database (in August 2008). Ο2GDP,t
denotes variance of the permanent component of GDP. βCB Independencetβ denotes a
0β1 indicator of independent monetary policy defined in table 11.
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Table 97: Disagreement and Business CycleβPanel Results, CONS
Model Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 Ξ²5 R2
Panel A: Disagreement over Timedisagrt = Ξ²0 + Ξ²1 Γ rect + Ξ²2 Γ post-1998t + ut
1. 0.361βββ β0.004(0.003)
2. 0.336βββ 0.132βββ 0.190(0.003) (0.017)
3. 0.349βββ 0.128βββ β0.027ββ 0.204(0.004) (0.016) (0.012)
Panel B: Disagreement and Macro Variablesdisagrt = Ξ²0 + Ξ²2 Γ CONSt + Ξ²3 Γ Ο2
CONS,t + Ξ²4 Γ output gapt ++ Ξ²5 Γ βpolicy rate2
t + ut
4. 0.413βββ β0.024βββ 0.101(0.005) (0.005)
5. 0.382βββ β0.023βββ 0.188βββ 0.139(0.006) (0.004) (0.058)
6. 0.362βββ β0.017βββ 0.228βββ β0.003 0.119(0.007) (0.005) (0.055) (0.005)
7. 0.360βββ β0.016βββ 0.212βββ β0.002 0.042β 0.135(0.007) (0.005) (0.054) (0.005) (0.022)
Panel C: Disagreement and Central Bank Independencedisagrt = Ξ²0 + Ξ²1 Γ CB Independencet + Ξ²2 Γ CONSt + Ξ²3 Γ Ο2
CONS,t ++ Ξ²4 Γ output gapt + Ξ²5 Γ βpolicy rate2
t + ut
8. 0.404βββ β0.053ββ 0.023(0.005) (0.027)
9. 0.400βββ β0.045β β0.015βββ 0.173βββ β0.005 0.035β 0.150(0.011) (0.026) (0.005) (0.058) (0.005) (0.021)
Estimated: 6 Apr 2009, 22:13:03Notes: Fixed effects estimators, HAC standard errors, Bartlett kernel, bandwidth = 12
lags. The dependent variable is measured as cross-sectional StDev. Ξ²0 denotes the
average of country-specific intercepts. βpost-1998tβ denotes a dummy variable which
equals 0 before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which
equals 1 during recession set by the Economic Cycle Research Institute (ECRI) and
0 otherwise. βoutput gaptβ denotes the ex-post output gap estimated in the OECD
Economic Outlook quarterly output gap revisions database (in August 2008). Ο2CONS,t
denotes variance of the permanent component of CONS. βCB Independencetβ denotes a
0β1 indicator of independent monetary policy defined in table 11.
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Table 98: Disagreement and Business CycleβPanel Results, INV
Model Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 Ξ²5 R2
Panel A: Disagreement over Timedisagrt = Ξ²0 + Ξ²1 Γ rect + Ξ²2 Γ post-1998t + ut
1. 1.429βββ β0.004(0.012)
2. 1.365βββ 0.334βββ 0.071(0.013) (0.085)
3. 1.369βββ 0.332βββ β0.007 0.070(0.017) (0.083) (0.054)
Panel B: Disagreement and Macro Variablesdisagrt = Ξ²0 + Ξ²2 Γ INVt + Ξ²3 Γ Ο2
INV,t + Ξ²4 Γ output gapt ++ Ξ²5 Γ βpolicy rate2
t + ut
4. 1.459βββ β0.025βββ 0.067(0.013) (0.007)
5. 1.251βββ β0.019βββ 0.179βββ 0.134(0.024) (0.007) (0.048)
6. 1.244βββ β0.020βββ 0.204βββ 0.016 0.138(0.024) (0.008) (0.048) (0.021)
7. 1.242βββ β0.020ββ 0.202βββ 0.017 0.049 0.138(0.024) (0.008) (0.049) (0.021) (0.070)
Panel C: Disagreement and Central Bank Independencedisagrt = Ξ²0 + Ξ²1 Γ CB Independencet + Ξ²2 Γ INVt + Ξ²3 Γ Ο2
INV,t ++ Ξ²4 Γ output gapt + Ξ²5 Γ βpolicy rate2
t + ut
8. 1.433βββ β0.006 β0.006(0.013) (0.092)
9. 1.184βββ 0.077 β0.021βββ 0.197βββ 0.018 0.063 0.140(0.037) (0.067) (0.008) (0.050) (0.021) (0.071)
Estimated: 6 Apr 2009, 22:13:23Notes: Fixed effects estimators, HAC standard errors, Bartlett kernel, bandwidth = 12
lags. The dependent variable is measured as cross-sectional StDev. Ξ²0 denotes the
average of country-specific intercepts. βpost-1998tβ denotes a dummy variable which
equals 0 before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which
equals 1 during recession set by the Economic Cycle Research Institute (ECRI) and
0 otherwise. βoutput gaptβ denotes the ex-post output gap estimated in the OECD
Economic Outlook quarterly output gap revisions database (in August 2008). Ο2INV,t
denotes variance of the permanent component of INV. βCB Independencetβ denotes a
0β1 indicator of independent monetary policy defined in table 11.
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Table 99: Disagreement and Business CycleβPanel Results, UN
Model Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 Ξ²5 R2
Panel A: Disagreement over Timedisagrt = Ξ²0 + Ξ²1 Γ rect + Ξ²2 Γ post-1998t + ut
1. 0.240βββ β0.004(0.003)
2. 0.218βββ 0.113βββ 0.129(0.003) (0.031)
3. 0.246βββ 0.103βββ β0.057βββ 0.189(0.004) (0.029) (0.013)
Panel B: Disagreement and Macro Variablesdisagrt = Ξ²0 + Ξ²2 Γ UNt + Ξ²3 Γ Ο2
UN,t + Ξ²4 Γ output gapt ++ Ξ²5 Γ βpolicy rate2
t + ut
4. 0.255βββ β0.002 β0.005(0.015) (0.010)
5. 0.293βββ β0.016 4.694βββ 0.154(0.014) (0.012) (1.248)
6. 0.340βββ β0.024β 5.353βββ β0.005 0.177(0.018) (0.015) (1.557) (0.005)
7. 0.340βββ β0.024β 5.394βββ β0.005 β0.005 0.177(0.018) (0.015) (1.562) (0.005) (0.013)
Panel C: Disagreement and Central Bank Independencedisagrt = Ξ²0 + Ξ²1 Γ CB Independencet + Ξ²2 Γ UNt + Ξ²3 Γ Ο2
UN,t ++ Ξ²4 Γ output gapt + Ξ²5 Γ βpolicy rate2
t + ut
8. 0.269βββ β0.037ββ 0.007(0.015) (0.016)
9. 0.361βββ β0.014 β0.025β 5.230βββ β0.007 β0.006 0.177(0.023) (0.019) (0.014) (1.582) (0.005) (0.012)
Estimated: 6 Apr 2009, 22:13:42Notes: Fixed effects estimators, HAC standard errors, Bartlett kernel, bandwidth = 12
lags. The dependent variable is measured as cross-sectional StDev. Ξ²0 denotes the
average of country-specific intercepts. βpost-1998tβ denotes a dummy variable which
equals 0 before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which
equals 1 during recession set by the Economic Cycle Research Institute (ECRI) and
0 otherwise. βoutput gaptβ denotes the ex-post output gap estimated in the OECD
Economic Outlook quarterly output gap revisions database (in August 2008). Ο2UN,t
denotes variance of the permanent component of UN. βCB Independencetβ denotes a
0β1 indicator of independent monetary policy defined in table 11.
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Table 100: Disagreement Over Time and Business CycleβCountry-by-Country Results, INFL
Country Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 R2
Panel A: Disagreement over Timedisagreementt = Ξ²0 + Ξ²1 Γ recessiont + Ξ²2 Γ post-1998t + ut
CN 0.281βββ 0.001 β0.051βββ 0.121(0.014) (0.018) (0.018)
FR 0.180βββ 0.010 β0.013 0.016(0.009) (0.011) (0.011)
GE 0.176βββ 0.027ββ 0.022 0.130(0.012) (0.011) (0.013)
IT 0.250βββ 0.081ββ β0.106βββ 0.447(0.018) (0.038) (0.020)
JP 0.313βββ 0.035 β0.111βββ 0.268(0.023) (0.025) (0.025)
UK 0.422βββ 0.073 β0.230βββ 0.472(0.055) (0.075) (0.056)
US 0.275βββ 0.071ββ β0.017 0.122(0.009) (0.033) (0.014)
Panel B: Disagreement and Macro Variablesdisagreementt = Ξ²0 + Ξ²1 Γ INFLt + Ξ²2 Γ Ο2
INFL,t ++ Ξ²3 Γ output gapt + Ξ²4 Γβpolicy rate2
t + ut
CN 0.247βββ 0.009ββ β0.156 β0.005 0.058βββ 0.260(0.020) (0.004) (0.117) (0.004) (0.008)
FR 0.147βββ 0.004 0.456 β0.005 0.012 0.011(0.019) (0.008) (0.342) (0.006) (0.012)
GE 0.181βββ β0.004 0.322 β0.004 0.028 0.008(0.016) (0.009) (0.382) (0.006) (0.031)
IT 0.066βββ 0.027βββ 1.337β β0.020βββ 0.047βββ 0.494(0.018) (0.007) (0.811) (0.007) (0.014)
JP 0.128βββ β0.008 1.770βββ β0.001 0.023βββ 0.202(0.036) (0.012) (0.502) (0.006) (0.007)
UK 0.241βββ β0.009 0.868β β0.110βββ 0.158βββ 0.613(0.049) (0.022) (0.495) (0.020) (0.036)
US 0.236βββ 0.001 0.214βββ β0.015βββ 0.056β 0.139(0.026) (0.009) (0.059) (0.005) (0.030)
Estimated: 6 Apr 2009, 22:07:13Notes: Country-by-country regressions, NeweyβWest standard errors, 12 lags. The
dependent variable is measured as cross-sectional StDev. Ξ²0 denotes the average of
country-specific intercepts.βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1
during recession set by the Economic Cycle Research Institute (ECRI) and 0 other-
wise. Ο2INFL,t denotes variance of the permanent component of INFL. βoutput gaptβ
denotes the ex-post output gap estimated in the OECD Economic Outlook quarterly
output gap revisions database (in August 2008).
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Table 101: Disagreement Over Time and Business CycleβCountry-by-Country Results, R3M
Country Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 R2
Panel A: Disagreement over Timedisagreementt = Ξ²0 + Ξ²1 Γ recessiont + Ξ²2 Γ post-1998t + ut
CN 0.634βββ 0.131 β0.176βββ 0.335(0.050) (0.088) (0.055)
FR 0.435βββ 0.114β β0.114βββ 0.278(0.025) (0.067) (0.030)
GE 0.363βββ 0.074βββ β0.093βββ 0.328(0.035) (0.028) (0.029)
IT 0.524βββ 0.123ββ β0.225βββ 0.482(0.031) (0.053) (0.034)
JP 0.379βββ β0.067ββ β0.219βββ 0.612(0.022) (0.030) (0.035)
UK 0.653βββ 0.177ββ β0.236βββ 0.509(0.062) (0.070) (0.064)
US 0.448βββ 0.034 0.001 β0.002(0.031) (0.025) (0.042)
Panel B: Disagreement and Macro Variablesdisagreementt = Ξ²0 + Ξ²1 ΓR3Mt + Ξ²2 Γ Ο2
R3M,t ++ Ξ²3 Γ output gapt + Ξ²4 Γβpolicy rate2
t + ut
CN 0.432βββ 0.009 0.431 β0.015 0.012 0.328(0.046) (0.012) (0.341) (0.015) (0.021)
FR 0.309βββ 0.003 0.783βββ β0.019 0.019 0.523(0.031) (0.008) (0.239) (0.013) (0.062)
GE 0.196βββ 0.024βββ 1.187β β0.018βββ 0.044 0.385(0.031) (0.007) (0.636) (0.007) (0.090)
IT 0.225βββ 0.025βββ 0.114 β0.038βββ β0.017 0.501(0.034) (0.010) (0.149) (0.008) (0.034)
JP 0.200βββ β0.005 2.037 0.041βββ 0.014ββ 0.633(0.018) (0.014) (1.776) (0.008) (0.006)
UK 0.498βββ β0.016 2.686βββ β0.076ββ 0.017 0.527(0.101) (0.021) (0.997) (0.032) (0.068)
US 0.486βββ β0.012 β0.326 β0.013 0.211βββ 0.095(0.055) (0.012) (0.618) (0.014) (0.055)
Estimated: 6 Apr 2009, 22:07:46Notes: Country-by-country regressions, NeweyβWest standard errors, 12 lags. The
dependent variable is measured as cross-sectional StDev. Ξ²0 denotes the average of
country-specific intercepts.βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1
during recession set by the Economic Cycle Research Institute (ECRI) and 0 other-
wise. Ο2R3M,t denotes variance of the permanent component of R3M. βoutput gaptβ
denotes the ex-post output gap estimated in the OECD Economic Outlook quarterly
output gap revisions database (in August 2008).
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Table 102: Disagreement Over Time and Business CycleβCountry-by-Country Results, GDP
Country Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 R2
Panel A: Disagreement over Timedisagreementt = Ξ²0 + Ξ²1 Γ recessiont + Ξ²2 Γ post-1998t + ut
CN 0.358βββ 0.091βββ β0.063ββ 0.212(0.015) (0.027) (0.027)
FR 0.228βββ 0.072 0.011 0.107(0.012) (0.049) (0.019)
GE 0.264βββ 0.093βββ β0.061βββ 0.410(0.015) (0.027) (0.021)
IT 0.199βββ 0.079β 0.019 0.078(0.014) (0.045) (0.017)
JP 0.510βββ 0.184ββ β0.065 0.189(0.061) (0.075) (0.073)
UK 0.382βββ 0.127βββ β0.026 0.153(0.023) (0.034) (0.041)
US 0.308βββ 0.145βββ β0.014 0.136(0.022) (0.032) (0.028)
Panel B: Disagreement and Macro Variablesdisagreementt = Ξ²0 + Ξ²1 ΓGDPt + Ξ²2 Γ Ο2
GDP,t ++ Ξ²3 Γ output gapt + Ξ²4 Γβpolicy rate2
t + ut
CN 0.208βββ 0.000 1.028βββ β0.009 0.019 0.329(0.047) (0.008) (0.241) (0.006) (0.014)
FR 0.266βββ β0.027ββ 0.277 0.016 0.170βββ 0.269(0.049) (0.011) (0.577) (0.010) (0.042)
GE 0.182βββ β0.015βββ 0.730βββ β0.011β 0.108ββ 0.569(0.015) (0.005) (0.107) (0.006) (0.046)
IT 0.261βββ β0.018β β0.157 β0.002 β0.012 0.104(0.029) (0.011) (0.256) (0.007) (0.017)
JP 0.689βββ β0.052β β0.324 0.013 0.062 0.141(0.165) (0.027) (0.682) (0.018) (0.043)
UK 0.390βββ β0.020 0.592 β0.011 0.060 0.203(0.069) (0.014) (0.685) (0.018) (0.037)
US 0.299βββ β0.024βββ 0.911βββ 0.012β 0.260βββ 0.449(0.046) (0.009) (0.242) (0.006) (0.065)
Estimated: 6 Apr 2009, 22:07:30Notes: Country-by-country regressions, NeweyβWest standard errors, 12 lags. The
dependent variable is measured as cross-sectional StDev. Ξ²0 denotes the average of
country-specific intercepts.βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1
during recession set by the Economic Cycle Research Institute (ECRI) and 0 other-
wise. Ο2GDP,t denotes variance of the permanent component of GDP. βoutput gaptβ
denotes the ex-post output gap estimated in the OECD Economic Outlook quarterly
output gap revisions database (in August 2008).
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Table 103: Disagreement Over Time and Business CycleβCountry-by-Country Results, CONS
Country Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 R2
Panel A: Disagreement over Timedisagreementt = Ξ²0 + Ξ²1 Γ recessiont + Ξ²2 Γ post-1998t + ut
CN 0.391βββ 0.103βββ β0.065ββ 0.228(0.022) (0.036) (0.030)
FR 0.233βββ 0.082βββ β0.009 0.189(0.010) (0.032) (0.015)
GE 0.306βββ 0.091βββ β0.033 0.269(0.019) (0.023) (0.021)
IT 0.265βββ 0.140βββ 0.013 0.156(0.021) (0.052) (0.026)
JP 0.460βββ 0.148βββ β0.025 0.236(0.035) (0.048) (0.043)
UK 0.492βββ 0.196βββ β0.060 0.283(0.043) (0.045) (0.053)
US 0.296βββ 0.147βββ 0.000 0.184(0.017) (0.036) (0.020)
Panel B: Disagreement and Macro Variablesdisagreementt = Ξ²0 + Ξ²1 Γ CONSt + Ξ²2 Γ Ο2
CONS,t ++ Ξ²3 Γ output gapt + Ξ²4 Γβpolicy rate2
t + ut
CN 0.294βββ β0.005 0.588βββ β0.004 0.029 0.372(0.034) (0.008) (0.133) (0.006) (0.020)
FR 0.312βββ β0.024βββ β0.229βββ β0.005 0.073ββ 0.228(0.024) (0.008) (0.078) (0.004) (0.032)
GE 0.253βββ β0.010 0.356βββ β0.020ββ 0.095ββ 0.347(0.018) (0.009) (0.070) (0.009) (0.044)
IT 0.282βββ β0.020βββ 0.179 0.006 0.019 0.230(0.022) (0.006) (0.111) (0.009) (0.014)
JP 0.587βββ β0.007 β0.275 0.016 0.030 0.022(0.111) (0.020) (0.334) (0.027) (0.031)
UK 0.525βββ β0.031ββ 0.122 β0.027 0.189βββ 0.334(0.107) (0.013) (0.617) (0.021) (0.044)
US 0.223βββ 0.000 1.325βββ 0.009ββ 0.161ββ 0.258(0.031) (0.007) (0.170) (0.004) (0.077)
Estimated: 6 Apr 2009, 22:08:03Notes: Country-by-country regressions, NeweyβWest standard errors, 12 lags. The
dependent variable is measured as cross-sectional StDev. Ξ²0 denotes the average of
country-specific intercepts.βpost-1998tβ denotes a dummy variable which equals 0 be-
fore 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals 1 dur-
ing recession set by the Economic Cycle Research Institute (ECRI) and 0 otherwise.
Ο2CONS,t denotes variance of the permanent component of CONS. βoutput gaptβ de-
notes the ex-post output gap estimated in the OECD Economic Outlook quarterly
output gap revisions database (in August 2008).
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Table 104: Disagreement Over Time and Business CycleβCountry-by-Country Results, INV
Country Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 R2
Panel A: Disagreement over Timedisagreementt = Ξ²0 + Ξ²1 Γ recessiont + Ξ²2 Γ post-1998t + ut
CN 2.276βββ β0.376βββ β0.468βββ 0.140(0.091) (0.107) (0.176)
FR 0.907βββ 0.091 0.016 0.008(0.035) (0.072) (0.079)
GE 1.060βββ 0.225βββ 0.159ββ 0.194(0.066) (0.078) (0.075)
IT 0.838βββ 0.114 β0.122 0.043(0.103) (0.108) (0.131)
JP 1.658βββ 0.436ββ 0.165 0.149(0.119) (0.218) (0.198)
UK 1.314βββ 1.087βββ 0.218 0.405(0.093) (0.190) (0.139)
US 1.579βββ 0.711βββ β0.088 0.180(0.085) (0.154) (0.134)
Panel B: Disagreement and Macro Variablesdisagreementt = Ξ²0 + Ξ²1 Γ INVt + Ξ²2 Γ Ο2
INV,t ++ Ξ²3 Γ output gapt + Ξ²4 Γβpolicy rate2
t + ut
CN 1.323βββ 0.008 0.422βββ 0.146ββ 0.200ββ 0.256(0.149) (0.012) (0.099) (0.068) (0.087)
FR 0.878βββ β0.019ββ 0.278ββ 0.025 0.237 0.177(0.064) (0.009) (0.116) (0.034) (0.234)
GE 1.276βββ β0.019βββ β0.004 0.033 0.011 0.066(0.066) (0.007) (0.062) (0.022) (0.253)
IT 0.497βββ β0.027ββ 0.280βββ 0.076β β0.045 0.263(0.095) (0.011) (0.068) (0.042) (0.071)
JP 1.224βββ 0.047ββ 0.706β β0.126βββ β0.444 0.235(0.279) (0.022) (0.379) (0.045) (0.567)
UK 1.182βββ β0.055βββ 0.417βββ 0.010 β0.098 0.532(0.146) (0.013) (0.107) (0.048) (0.154)
US 1.402βββ β0.022 0.421 β0.036 1.260βββ 0.291(0.278) (0.023) (0.304) (0.047) (0.402)
Estimated: 6 Apr 2009, 22:08:20Notes: Country-by-country regressions, NeweyβWest standard errors, 12 lags. The
dependent variable is measured as cross-sectional StDev. Ξ²0 denotes the average of
country-specific intercepts.βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals
1 during recession set by the Economic Cycle Research Institute (ECRI) and 0 oth-
erwise. Ο2INV,t denotes variance of the permanent component of INV. βoutput gaptβ
denotes the ex-post output gap estimated in the OECD Economic Outlook quarterly
output gap revisions database (in August 2008).
126
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Table 105: Disagreement Over Time and Business CycleβCountry-by-Country Results, UN
Country Ξ²0 Ξ²1 Ξ²2 Ξ²3 Ξ²4 R2
Panel A: Disagreement over Timedisagreementt = Ξ²0 + Ξ²1 Γ recessiont + Ξ²2 Γ post-1998t + ut
CN 0.267βββ 0.076βββ β0.088βββ 0.449(0.013) (0.029) (0.019)
FR 0.195βββ 0.035β 0.009 0.046(0.009) (0.020) (0.011)
GE 0.314βββ 0.249βββ β0.192βββ 0.399(0.047) (0.096) (0.073)
IT 0.273βββ 0.078 β0.036 0.107(0.019) (0.072) (0.024)
JP 0.175βββ 0.028 0.020 0.061(0.023) (0.021) (0.023)
UK 0.308βββ 0.100βββ β0.090βββ 0.534(0.015) (0.022) (0.018)
US 0.195βββ 0.054βββ β0.033βββ 0.223(0.008) (0.018) (0.011)
Panel B: Disagreement and Macro Variablesdisagreementt = Ξ²0 + Ξ²1 Γ UNt + Ξ²2 Γ Ο2
UN,t ++ Ξ²3 Γ output gapt + Ξ²4 Γβpolicy rate2
t + ut
CN 0.127 0.002 2.658ββ β0.001 0.015 0.453(0.096) (0.014) (1.193) (0.008) (0.016)
FR 0.535βββ β0.037βββ 4.988βββ β0.038βββ 0.037 0.268(0.058) (0.006) (1.446) (0.007) (0.056)
GE 1.609βββ β0.145βββ 7.498ββ β0.019 0.051 0.727(0.250) (0.023) (2.932) (0.015) (0.101)
IT 0.104 0.011 3.502β β0.013 β0.063ββ 0.160(0.076) (0.007) (1.975) (0.013) (0.028)
JP 0.290βββ β0.023 0.439 β0.024βββ 0.004 0.232(0.039) (0.014) (4.952) (0.005) (0.005)
UK 0.147βββ 0.017βββ 2.727βββ 0.029ββ 0.065 0.623(0.022) (0.005) (0.733) (0.013) (0.044)
US 0.200βββ β0.016 5.205ββ β0.008β β0.016 0.195(0.047) (0.011) (2.554) (0.005) (0.028)
Estimated: 6 Apr 2009, 22:08:37Notes: Country-by-country regressions, NeweyβWest standard errors, 12 lags. The
dependent variable is measured as cross-sectional StDev. Ξ²0 denotes the average of
country-specific intercepts.βpost-1998tβ denotes a dummy variable which equals 0
before 1999 and 1 after 1998. βrecessiontβ denotes a dummy variable which equals
1 during recession set by the Economic Cycle Research Institute (ECRI) and 0 oth-
erwise. Ο2UN,t denotes variance of the permanent component of UN. βoutput gaptβ
denotes the ex-post output gap estimated in the OECD Economic Outlook quarterly
output gap revisions database (in August 2008).
127
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11 Additional Figures
11.1 Number of Forecasters
128
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Fig
ure
1:In
flati
onE
xpec
tati
onsβ
#of
Fore
cast
ers
05101520N. Obs.
19
90
19
95
20
00
20
05
CN
0510152025N. Obs.
19
90
19
95
20
00
20
05
FR
010203040N. Obs.
19
90
19
95
20
00
20
05
GE
05101520N. Obs.
19
90
19
95
20
00
20
05
IT
0510152025N. Obs.
19
90
19
95
20
00
20
05
JP
010203040N. Obs.
19
90
19
95
20
00
20
05
UK
010203040N. Obs.
19
90
19
95
20
00
20
05
US
129
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Fig
ure
2:In
tere
stR
ate
Exp
ecta
tion
sβ#
ofFo
reca
ster
s
05101520N. Obs.
19
90
19
95
20
00
20
05
CN
05101520N. Obs.
19
90
19
95
20
00
20
05
FR
0102030N. Obs.
19
90
19
95
20
00
20
05
GE
05101520N. Obs.
19
90
19
95
20
00
20
05
IT
0510152025N. Obs.
19
90
19
95
20
00
20
05
JP
010203040N. Obs.
19
90
19
95
20
00
20
05
UK
010203040N. Obs.
19
90
19
95
20
00
20
05
US
130
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Fig
ure
3:G
DP
Gro
wth
Exp
ecta
tion
sβ#
ofFo
reca
ster
s
05101520N. Obs.
19
90
19
95
20
00
20
05
CN
0510152025N. Obs.
19
90
19
95
20
00
20
05
FR
010203040N. Obs.
19
90
19
95
20
00
20
05
GE
05101520N. Obs.
19
90
19
95
20
00
20
05
IT
0510152025N. Obs.
19
90
19
95
20
00
20
05
JP
010203040N. Obs.
19
90
19
95
20
00
20
05
UK
010203040N. Obs.
19
90
19
95
20
00
20
05
US
131
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Fig
ure
4:C
onsu
mpt
ion
Gro
wth
Exp
ecta
tion
sβ#
ofFo
reca
ster
s
05101520N. Obs.
19
90
19
95
20
00
20
05
CN
0510152025N. Obs.
19
90
19
95
20
00
20
05
FR
010203040N. Obs.
19
90
19
95
20
00
20
05
GE
05101520N. Obs.
19
90
19
95
20
00
20
05
IT
0510152025N. Obs.
19
90
19
95
20
00
20
05
JP
010203040N. Obs.
19
90
19
95
20
00
20
05
UK
010203040N. Obs.
19
90
19
95
20
00
20
05
US
132
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Fig
ure
5:In
vest
men
tG
row
thE
xpec
tati
onsβ
#of
Fore
cast
ers
05101520N. Obs.
19
90
19
95
20
00
20
05
CN
0510152025N. Obs.
19
90
19
95
20
00
20
05
FR
0102030N. Obs.
19
90
19
95
20
00
20
05
GE
05101520N. Obs.
19
90
19
95
20
00
20
05
IT
0510152025N. Obs.
19
90
19
95
20
00
20
05
JP
010203040N. Obs.
19
90
19
95
20
00
20
05
UK
010203040N. Obs.
19
90
19
95
20
00
20
05
US
133
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Fig
ure
6:U
nem
ploy
men
tE
xpec
tati
onsβ
#of
Fore
cast
ers
05101520N. Obs.
19
90
19
95
20
00
20
05
CN
0510152025N. Obs.
19
90
19
95
20
00
20
05
FR
010203040N. Obs.
19
90
19
95
20
00
20
05
GE
05101520N. Obs.
19
90
19
95
20
00
20
05
IT
0510152025N. Obs.
19
90
19
95
20
00
20
05
JP
010203040N. Obs.
19
90
19
95
20
00
20
05
UK
010203040N. Obs.
19
90
19
95
20
00
20
05
US
134
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11.2 Consensus (Mean) Forecasts and Actual Variables
135
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Fig
ure
7:In
flati
onE
xpec
tati
ons
Con
sens
us
02468
19
90
19
95
20
00
20
05
CN
01234
19
90
19
95
20
00
20
05
FR
0246
19
90
19
95
20
00
20
05
GE
02468
19
90
19
95
20
00
20
05
ITβ2024
19
90
19
95
20
00
20
05
JP
0246810
19
90
19
95
20
00
20
05
UK
0246
19
90
19
95
20
00
20
05
US
136
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Fig
ure
8:In
tere
stR
ate
Exp
ecta
tion
sC
onse
nsus
051015
19
90
19
95
20
00
20
05
CN
051015
19
90
19
95
20
00
20
05
FR
0246810
19
90
19
95
20
00
20
05
GE
05101520
19
90
19
95
20
00
20
05
IT02468
19
90
19
95
20
00
20
05
JP
051015
19
90
19
95
20
00
20
05
UK
02468
19
90
19
95
20
00
20
05
US
137
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Fig
ure
9:G
DP
Gro
wth
Exp
ecta
tion
sC
onse
nsus
β4β20246
19
90
19
95
20
00
20
05
CN
β2024
19
90
19
95
20
00
20
05
FR
β202468
19
90
19
95
20
00
20
05
GE
β2024
19
90
19
95
20
00
20
05
ITβ20246
19
90
19
95
20
00
20
05
JP
β20246
19
90
19
95
20
00
20
05
UK
β20246
19
90
19
95
20
00
20
05
US
138
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Fig
ure
10:
Con
sum
ptio
nG
row
thE
xpec
tati
ons
Con
sens
us
β4β20246
19
90
19
95
20
00
20
05
CN
β20246
19
90
19
95
20
00
20
05
FR
β20246
19
90
19
95
20
00
20
05
GE
β4β2024
19
90
19
95
20
00
20
05
ITβ50510
19
90
19
95
20
00
20
05
JP
β20246
19
90
19
95
20
00
20
05
UK
0246
19
90
19
95
20
00
20
05
US
139
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Fig
ure
11:
Inve
stm
ent
Gro
wth
Exp
ecta
tion
sC
onse
nsus
β1001020
19
90
19
95
20
00
20
05
CN
β10β50510
19
90
19
95
20
00
20
05
FR
β10β50510
19
90
19
95
20
00
20
05
GE
β15β10β50510
19
90
19
95
20
00
20
05
ITβ1001020
19
90
19
95
20
00
20
05
JP
β10β5051015
19
90
19
95
20
00
20
05
UK
β10β50510
19
90
19
95
20
00
20
05
US
140
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Fig
ure
12:
Une
mpl
oym
ent
Exp
ecta
tion
sC
onse
nsus
051015
19
90
19
95
20
00
20
05
CN
051015
19
90
19
95
20
00
20
05
FR
051015
19
90
19
95
20
00
20
05
GE
051015
19
90
19
95
20
00
20
05
IT0246
19
90
19
95
20
00
20
05
JP
0510
19
90
19
95
20
00
20
05
UK
02468
19
90
19
95
20
00
20
05
US
141
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11.3 OECD Output Gaps
142
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Fig
ure
13:
Out
put
Gap
s:In
itia
lE
stim
ate,
Ex
Pos
tE
stim
ate
(Bol
d);
GD
PG
row
th(D
ashe
d)
β50510
19
90
19
95
20
00
20
05
CN
β505
19
90
19
95
20
00
20
05
FR
β50510
19
90
19
95
20
00
20
05
GE
β4β2024
19
90
19
95
20
00
20
05
ITβ50510
19
90
19
95
20
00
20
05
JP
β505
19
90
19
95
20
00
20
05
UK
β4β20246
19
90
19
95
20
00
20
05
US
143
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11.4 Measures of Uncertainty
144
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Fig
ure
14:
Var
ianc
eof
Per
man
ent
Com
pone
ntΟ
2 Ξ΅(d
ashe
d,ri
ght
scal
e),
Tra
nsit
ory
Com
pone
ntΟ
2 Ξ΅(d
otte
d,ri
ght
scal
e),
and
β12INFL
2 t(s
olid
,le
ftsc
aled
)βIn
flati
on
.1.2.3.4.5.6
01020304050
19
90
19
95
20
00
20
05
CN
.1.15.2.25.3
01020304050
19
90
19
95
20
00
20
05
FR
.1.2.3.4
01020304050
19
90
19
95
20
00
20
05
GE
.05.1.15.2.25
01020304050
19
90
19
95
20
00
20
05
IT
.1.2.3.4
01020304050
19
90
19
95
20
00
20
05
JP
.1.2.3.4.5
01020304050
19
90
19
95
20
00
20
05
UK
0.2.4.6.8
01020304050
19
90
19
95
20
00
20
05
US
145
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Fig
ure
15:
Var
ianc
eof
Per
man
ent
Com
pone
ntΟ
2 Ξ΅(d
ashe
d,ri
ght
scal
e),
Tra
nsit
ory
Com
pone
ntΟ
2 Ξ΅(d
otte
d,ri
ght
scal
e),
and
β12R
3M2 t
(sol
id,
left
scal
ed)β
Inte
rest
Rat
e
0.2.4.6
020406080
19
90
19
95
20
00
20
05
CN
0.2.4.6.8
020406080
19
90
19
95
20
00
20
05
FR
0.1.2.3.4
020406080
19
90
19
95
20
00
20
05
GE
0.2.4.6.81
050100150200
19
90
19
95
20
00
20
05
IT
0.1.2.3
020406080
19
90
19
95
20
00
20
05
JP
0.2.4.6
020406080
19
90
19
95
20
00
20
05
UK
0.1.2.3.4.5
020406080
19
90
19
95
20
00
20
05
US
146
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Fig
ure
16:
Var
ianc
eof
Per
man
ent
Com
pone
ntΟ
2 Ξ΅(d
ashe
d,ri
ght
scal
e),
Tra
nsit
ory
Com
pone
ntΟ
2 Ξ΅(d
otte
d,ri
ght
scal
e),
and
β12GDP
2 t(s
olid
,le
ftsc
aled
)βG
DP
Gro
wth
.1.2.3.4.5
010203040
19
90
19
95
20
00
20
05
CN
.1.2.3.4
010203040
19
90
19
95
20
00
20
05
FR
.1.2.3.4.5.6
010203040
19
90
19
95
20
00
20
05
GE
.1.2.3.4.5
010203040
19
90
19
95
20
00
20
05
IT
.2.3.4.5.6
010203040
19
90
19
95
20
00
20
05
JP
0.1.2.3.4
010203040
19
90
19
95
20
00
20
05
UK
.1.2.3.4.5
010203040
19
90
19
95
20
00
20
05
US
147
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Fig
ure
17:
Var
ianc
eof
Per
man
ent
Com
pone
ntΟ
2 Ξ΅(d
ashe
d,ri
ght
scal
e),
Tra
nsit
ory
Com
pone
ntΟ
2 Ξ΅(d
otte
d,ri
ght
scal
e),
and
β12CONS
2 t(s
olid
,le
ftsc
aled
)βC
onsu
mpt
ion
Gro
wth
0.2.4.6.8
0204060
19
90
19
95
20
00
20
05
CN
.1.2.3.4.5.6
0204060
19
90
19
95
20
00
20
05
FR
.2.4.6.81
0204060
19
90
19
95
20
00
20
05
GE
.2.4.6.8
0204060
19
90
19
95
20
00
20
05
IT
.2.4.6.81
0204060
19
90
19
95
20
00
20
05
JP
.1.2.3.4.5
0204060
19
90
19
95
20
00
20
05
UK
.15.2.25.3.35.4
0204060
19
90
19
95
20
00
20
05
US
148
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Fig
ure
18:
Var
ianc
eof
Per
man
ent
Com
pone
ntΟ
2 Ξ΅(d
ashe
d,ri
ght
scal
e),
Tra
nsit
ory
Com
pone
ntΟ
2 Ξ΅(d
otte
d,ri
ght
scal
e),
and
β12INV
2 t(s
olid
,le
ftsc
ale)
βIn
vest
men
tG
row
th
0.511.52
0100200300400
19
90
19
95
20
00
20
05
CN
.2.4.6.81
0100200300400
19
90
19
95
20
00
20
05
FR
.511.52
0100200300400
19
90
19
95
20
00
20
05
GE
.6.811.21.41.6
0100200300400
19
90
19
95
20
00
20
05
IT
.4.6.811.2
0100200300400
19
90
19
95
20
00
20
05
JP
.511.522.5
0200400600800
19
90
19
95
20
00
20
05
UK
.4.6.811.2
0100200300400
19
90
19
95
20
00
20
05
US
149
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Fig
ure
19:
Var
ianc
eof
Per
man
ent
Com
pone
ntΟ
2 Ξ΅(d
ashe
d,ri
ght
scal
e),
Tra
nsit
ory
Com
pone
ntΟ
2 Ξ΅(d
otte
d,ri
ght
scal
e),
and
β12UN
2 t(s
olid
,le
ftsc
ale)
βU
nem
ploy
men
tR
ate
.05.1.15.2.25.3
051015
19
90
19
95
20
00
20
05
CN
.04.06.08.1.12.14
0246810
19
90
19
95
20
00
20
05
FR
.05.1.15.2
0246810
19
90
19
95
20
00
20
05
GE
.05.1.15.2.25
010203040
19
90
19
95
20
00
20
05
IT
.04.06.08.1.12
0246810
19
90
19
95
20
00
20
05
JP
.05.1.15.2.25
020406080
19
90
19
95
20
00
20
05
UK
.06.08.1.12.14.16
0246810
19
90
19
95
20
00
20
05
US
150
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11.5 Dynamics of Expectations 2008β2009
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Figure 20: Inflation Expectations (%): 2007β2009
0.5
11
.52
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
CNINFL
01
23
45
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
FRINFL
01
23
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
GEINFL0
12
34
5
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
ITINFL
01
23
4
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
JPINFL
0.5
11
.52
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
UKINFL
0.5
11
.5
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
USINFL
02
46
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
EAINFL
2007M6 2008M9 2008M10 2008M11
2008M12 2009M1 2009M2 2009M3
152
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Figure 21: GDP Expectations (%): 2007β2009
01
23
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
CNGDP
0.5
11
.52
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
FRGDP
0.5
11
.52
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
GEGDP0
12
34
5
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
ITGDP
0.5
11
.52
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
JPGDP
0.5
11
.52
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
UKGDP
0.5
11
.52
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
USGDP
01
23
45
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
EAGDP
2007M6 2008M9 2008M10 2008M11
2008M12 2009M1 2009M2 2009M3
153
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Figure 22: Interest Rates Expectations (%): 2007β2009
0.5
11
.52
2.5
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
CNR3M
0.5
11
.52
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
FRR3M
01
23
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
GER3M0
12
34
5
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
ITR3M
02
46
8
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
JPR3M
01
23
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
UKR3M
01
23
4
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
USR3M
2007M6 2008M9 2008M10 2008M11
2008M12 2009M1 2009M2 2009M3
154
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Figure 23: Consumption Expectations (%): 2007β2009
0.5
11
.52
2.5
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
CNCONS
0.5
11
.5
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
FRCONS
0.5
11
.52
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
GECONS0
.51
1.5
22
.5
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
ITCONS
0.5
11
.52
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
JPCONS
0.5
11
.5
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
UKCONS
0.5
11
.52
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
USCONS
0.5
11
.52
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
EACONS
2007M6 2008M9 2008M10 2008M11
2008M12 2009M1 2009M2 2009M3
155
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Figure 24: Investment Expectations (%): 2007β2009
0.0
5.1
.15
.2.2
5
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
CNINV
0.2
.4.6
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
FRINV
0.1
.2.3
.4
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
GEINV0
.51
1.5
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
ITINV
0.1
.2.3
.4
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
JPINV
0.1
.2.3
.4
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
UKINV
0.1
.2.3
.4
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
USINV
0.2
.4.6
.81
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
EAINV
2007M6 2008M9 2008M10 2008M11
2008M12 2009M1 2009M2 2009M3
156
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Figure 25: Unemployment Expectations (%): 2007β2009
01
23
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
CNUN
0.5
11
.52
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
FRUN
0.5
11
.52
2.5
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
GEUN0
.51
1.5
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
ITUN
01
23
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
JPUN
0.5
11
.52
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
UKUN
01
23
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
USUN
0.5
11
.52
2.5
β6 β5 β4 β3 β2 β1 0 1 2 3 4 5
EAUN
2007M6 2008M9 2008M10 2008M11
2008M12 2009M1 2009M2 2009M3
157
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Figure 26: Industrial Production Expectations (%): 2007β2009
0.2
.4.6
.81
β6β5β4β3β2β1 0 1 2 3 4 5
CNIP
0.2
.4.6
.8
β6β5β4β3β2β1 0 1 2 3 4 5
FRIP
0.2
.4.6
.81
β6β5β4β3β2β1 0 1 2 3 4 5
GEIP0
.51
1.5
β6β5β4β3β2β1 0 1 2 3 4 5
ITIP
0.2
.4.6
β6β5β4β3β2β1 0 1 2 3 4 5
JPIP
0.2
.4.6
.8
β6β5β4β3β2β1 0 1 2 3 4 5
UKIP
0.2
.4.6
.8
β6β5β4β3β2β1 0 1 2 3 4 5
USIP
0.5
11
.5
β6β5β4β3β2β1 0 1 2 3 4 5
EAIP
2007M6 2008M9 2008M10 2008M11
2008M12 2009M1 2009M2 2009M3
158