The Transmission of Monetary Policy Shocks - paper · The Transmission of Monetary Policy Shocks...
71
The Transmission of Monetary Policy Shocks Silvia Miranda-Agrippino 1 Giovanni Ricco 2 1 Bank of England & CFM 2 University of Warwick & OFCE Sciences Po Seventh BIS Research Network meeting Basel - March 9, 2018 [.] The views expressed are those of the authors and do not necessarily reflect those of the Bank of England, the Monetary Policy Committee, the Financial Policy Committee or the Prudential Regulation Authority.
Transcript of The Transmission of Monetary Policy Shocks - paper · The Transmission of Monetary Policy Shocks...
The Transmission ofMonetary Policy Shocks
Silvia Miranda-Agrippino1 Giovanni Ricco2
1Bank of England & CFM2University of Warwick & OFCE Sciences Po
Seventh BIS Research Network meetingBasel - March 9, 2018
[.] The views expressed are those of the authors and do not necessarily reflect those of the Bank of England,the Monetary Policy Committee, the Financial Policy Committee or the Prudential Regulation Authority.
What are the Effects of MP shocks?
(a) hybrid VAR 69-07 (b) hybrid VAR 83-07
(c) GK Proxy LP 90-12 (d) GK Proxy SVAR 90-12
[.] 1/17
What are the Effects of MP shocks?
Ramey (2017)
(a) hybrid VAR 69-07
(b) hybrid VAR 83-07
(c) GK Proxy LP 90-12 (d) GK Proxy SVAR 90-12
[.] 1/17
What are the Effects of MP shocks?
Ramey (2017)
(a) hybrid VAR 69-07 (b) hybrid VAR 83-07
(c) GK Proxy LP 90-12 (d) GK Proxy SVAR 90-12
[.] 1/17
What are the Effects of MP shocks?
Ramey (2017)
(a) hybrid VAR 69-07 (b) hybrid VAR 83-07
(c) GK Proxy LP 90-12
(d) GK Proxy SVAR 90-12
[.] 1/17
What are the Effects of MP shocks?
Ramey (2017)
(a) hybrid VAR 69-07 (b) hybrid VAR 83-07
(c) GK Proxy LP 90-12 (d) GK Proxy SVAR 90-12
[.] 1/17
What are the Effects of MP shocks?
Ramey (2017)
(e) hybrid VAR 69-07 (f) hybrid VAR 83-07
(g) GK Proxy LP 90-12 (h) GK Proxy SVAR 90-12
[.] 2/17
This Paper
1. Evidence of information frictions in leading MP instruments
2. Identification robust to information frictions
. MP Information Effect/Signalling Channel(Melosi 2014, Tang 2015, Nakamura and Steinsson 2017)
. Consistent with models of imperfect information(Mankiw and Reis, 2002, Woodford, 2001, Sims, 2003)
3. Bayesian Local Projections (BLP)
. Robust to model misspecification
l
Following a Contractionary Monetary Policy Shockeconomic activity and prices contract: no puzzles
[.] 3/17
This Paper
1. Evidence of information frictions in leading MP instruments
2. Identification robust to information frictions
. MP Information Effect/Signalling Channel(Melosi 2014, Tang 2015, Nakamura and Steinsson 2017)
. Consistent with models of imperfect information(Mankiw and Reis, 2002, Woodford, 2001, Sims, 2003)
3. Bayesian Local Projections (BLP)
. Robust to model misspecification
l
Following a Contractionary Monetary Policy Shockeconomic activity and prices contract: no puzzles
[.] 3/17
This Paper
1. Evidence of information frictions in leading MP instruments
2. Identification robust to information frictions
. MP Information Effect/Signalling Channel(Melosi 2014, Tang 2015, Nakamura and Steinsson 2017)
. Consistent with models of imperfect information(Mankiw and Reis, 2002, Woodford, 2001, Sims, 2003)
3. Bayesian Local Projections (BLP)
. Robust to model misspecification
l
Following a Contractionary Monetary Policy Shockeconomic activity and prices contract: no puzzles
[.] 3/17
This Paper
1. Evidence of information frictions in leading MP instruments
2. Identification robust to information frictions
. MP Information Effect/Signalling Channel(Melosi 2014, Tang 2015, Nakamura and Steinsson 2017)
. Consistent with models of imperfect information(Mankiw and Reis, 2002, Woodford, 2001, Sims, 2003)
3. Bayesian Local Projections (BLP)
. Robust to model misspecification
l
Following a Contractionary Monetary Policy Shockeconomic activity and prices contract: no puzzles
[.] 3/17
The Identification Problem
. Interest rate hike to informationally constrained agents
1. MP shock=⇒ lower output and inflation
2. Endogenous reaction to demand shocks=⇒ higher output and inflation
. Sluggish adjustment to new information
. Market surprises blend MP shocks with current and past macroshocks!=⇒ price and output puzzles
[.] 4/17
The Identification Problem
. Interest rate hike to informationally constrained agents
1. MP shock=⇒ lower output and inflation
2. Endogenous reaction to demand shocks=⇒ higher output and inflation
. Sluggish adjustment to new information
. Market surprises blend MP shocks with current and past macroshocks!=⇒ price and output puzzles
[.] 4/17
The Identification Problem
. Interest rate hike to informationally constrained agents
1. MP shock=⇒ lower output and inflation
2. Endogenous reaction to demand shocks=⇒ higher output and inflation
. Sluggish adjustment to new information
. Market surprises blend MP shocks with current and past macroshocks!=⇒ price and output puzzles
[.] 4/17
The HF Identification
expectation revision
Ftxt − F¯txt︸ ︷︷ ︸
Exp. Revision at t
= κx(Ft−1xt − Ft−1xt)︸ ︷︷ ︸Exp. Revision at t−1
+ κξξt︸ ︷︷ ︸Shocks
+κν[νcb,
¯t − (1−K1)ρνcb,t−1
]︸ ︷︷ ︸
CB’s Aggregate Noise
+ κzzt − ρ(K1 −Kcb)zt−1 + (1−K1)(1−Kcb)ρ2zt−2
︸ ︷︷ ︸
MP Shocks
[.] 5/17
The HF Identification
expectation revision
Ftxt − F¯txt︸ ︷︷ ︸
Exp. Revision at t
= κx(Ft−1xt − Ft−1xt)︸ ︷︷ ︸Exp. Revision at t−1
+ κξξt︸ ︷︷ ︸Shocks
+κν[νcb,
¯t − (1−K1)ρνcb,t−1
]︸ ︷︷ ︸
CB’s Aggregate Noise
+ κzzt − ρ(K1 −Kcb)zt−1 + (1−K1)(1−Kcb)ρ2zt−2
︸ ︷︷ ︸
MP Shocks
[.] 5/17
The HF Identification
expectation revision
Ftxt − F¯txt︸ ︷︷ ︸
Exp. Revision at t
= κx(Ft−1xt − Ft−1xt)︸ ︷︷ ︸Exp. Revision at t−1
+ κξξt︸ ︷︷ ︸Shocks
+κν[νcb,
¯t − (1−K1)ρνcb,t−1
]︸ ︷︷ ︸
CB’s Aggregate Noise
+ κzzt − ρ(K1 −Kcb)zt−1 + (1−K1)(1−Kcb)ρ2zt−2
︸ ︷︷ ︸
MP Shocks
[.] 5/17
The HF Identification
expectation revision
Ftxt − F¯txt︸ ︷︷ ︸
Exp. Revision at t
= κx(Ft−1xt − Ft−1xt)︸ ︷︷ ︸Exp. Revision at t−1
+ κξξt︸ ︷︷ ︸Shocks
+κν[νcb,
¯t − (1−K1)ρνcb,t−1
]︸ ︷︷ ︸
CB’s Aggregate Noise
+ κzzt − ρ(K1 −Kcb)zt−1 + (1−K1)(1−Kcb)ρ2zt−2
︸ ︷︷ ︸
MP Shocks
[.] 5/17
The HF Identification
expectation revision
Ftxt − F¯txt︸ ︷︷ ︸
Exp. Revision at t
= κx(Ft−1xt − Ft−1xt)︸ ︷︷ ︸Exp. Revision at t−1
+ κξξt︸ ︷︷ ︸Shocks
+κν[νcb,
¯t − (1−K1)ρνcb,t−1
]︸ ︷︷ ︸
CB’s Aggregate Noise
+ κzzt − ρ(K1 −Kcb)zt−1 + (1−K1)(1−Kcb)ρ2zt−2
︸ ︷︷ ︸
MP Shocks
[.] 5/17
Testing for Information Frictions #1
FF4t FF4GKt MPNt
AR(4) 2.219[0.272]*
10.480[0.000]***
16.989[0.000]***
GreenbookForecast
2.287[0.011]**
3.377[0.000]***
–
GreenbookRevision
2.702[0.007]***
3.719[0.000]***
–
R2 0.021 0.080 0.129 0.142 0.068 0.100 0.237 – –
N 230 238 238 230 238 238 207 – –
[.] 6/17
Testing for Information Frictions #1
FF4t FF4GKt MPNt
AR(4) 2.219[0.272]*
10.480[0.000]***
16.989[0.000]***
GreenbookForecast
2.287[0.011]**
3.377[0.000]***
–
GreenbookRevision
2.702[0.007]***
3.719[0.000]***
–
R2 0.021 0.080 0.129 0.142 0.068 0.100 0.237 – –
N 230 238 238 230 238 238 207 – –
[.] 6/17
Testing for Information Frictions #1
FF4t FF4GKt MPNt
AR(4) 2.219[0.272]*
10.480[0.000]***
16.989[0.000]***
GreenbookForecast
2.287[0.011]**
3.377[0.000]***
–
GreenbookRevision
2.702[0.007]***
3.719[0.000]***
–
R2 0.021 0.080 0.129 0.142 0.068 0.100 0.237 – –
N 230 238 238 230 238 238 207 – –
[.] 6/17
Testing for Information Frictions #2
FF4t FF4GKt MPNt
f1,t−1 -0.012 [-1.97]* -0.011 [-2.74]*** -0.103 [-4.13]***
f2,t−1 0.001 [0.38] 0.004 [1.79]* -0.005 [-0.45]
f3,t−1 0.002 [0.41] -0.001 [-0.23] -0.035 [-2.21]**
f4,t−1 0.015 [2.09]** 0.008 [1.92]* 0.068 [2.71]***
f5,t−1 0.002 [0.26] 0.001 [0.12] 0.017 [0.61]
f6,t−1 -0.011 [-2.19]** -0.007 [-2.58]** 0.008 [0.57]
f7,t−1 -0.010 [-1.69]* -0.006 [-1.40] -0.053 [-2.85]***
f8,t−1 -0.001 [-0.35] 0.001 [0.32] -0.042 [-2.38]**
f9,t−1 -0.002 [-0.59] -0.002 [-0.53] -0.037 [-1.65]
f10,t−1 0.004 [0.75] 0.000 [-0.03] -0.030 [-2.54]**
R2 0.073 0.140 0.202
[.] 7/17
Testing for Information Frictions #2
FF4t FF4GKt MPNt
f1,t−1 -0.012 [-1.97]* -0.011 [-2.74]*** -0.103 [-4.13]***
f2,t−1 0.001 [0.38] 0.004 [1.79]* -0.005 [-0.45]
f3,t−1 0.002 [0.41] -0.001 [-0.23] -0.035 [-2.21]**
f4,t−1 0.015 [2.09]** 0.008 [1.92]* 0.068 [2.71]***
f5,t−1 0.002 [0.26] 0.001 [0.12] 0.017 [0.61]
f6,t−1 -0.011 [-2.19]** -0.007 [-2.58]** 0.008 [0.57]
f7,t−1 -0.010 [-1.69]* -0.006 [-1.40] -0.053 [-2.85]***
f8,t−1 -0.001 [-0.35] 0.001 [0.32] -0.042 [-2.38]**
f9,t−1 -0.002 [-0.59] -0.002 [-0.53] -0.037 [-1.65]
f10,t−1 0.004 [0.75] 0.000 [-0.03] -0.030 [-2.54]**
R2 0.073 0.140 0.202
[.] 7/17
Testing for Information Frictions #2
FF4t FF4GKt MPNt
f1,t−1 -0.012 [-1.97]* -0.011 [-2.74]*** -0.103 [-4.13]***
f2,t−1 0.001 [0.38] 0.004 [1.79]* -0.005 [-0.45]
f3,t−1 0.002 [0.41] -0.001 [-0.23] -0.035 [-2.21]**
f4,t−1 0.015 [2.09]** 0.008 [1.92]* 0.068 [2.71]***
f5,t−1 0.002 [0.26] 0.001 [0.12] 0.017 [0.61]
f6,t−1 -0.011 [-2.19]** -0.007 [-2.58]** 0.008 [0.57]
f7,t−1 -0.010 [-1.69]* -0.006 [-1.40] -0.053 [-2.85]***
f8,t−1 -0.001 [-0.35] 0.001 [0.32] -0.042 [-2.38]**
f9,t−1 -0.002 [-0.59] -0.002 [-0.53] -0.037 [-1.65]
f10,t−1 0.004 [0.75] 0.000 [-0.03] -0.030 [-2.54]**
R2 0.073 0.140 0.202
[.] 7/17
Monetary Policy Instrument
Cha
ir B
erna
nke
perc
enta
ge p
oint
s
1992 1994 1996 1998 2000 2002 2004 2006 2008−0.4
−0.2
0
0.2
Market−Based Surprise FF4t
Monetary Policy Instrument MPIt
mpst = α0 +
p∑i=1
αimpst−i + %Fcbt uq+0
+
3∑j=−1
ρjFcbt xq+j +
2∑j=−1
θj[F
cbt xq+j − F
cbt−1xq+j
]+MPIt
[.] 8/17
Puzzles #1: Identification
Industrial Production%
poi
nts
0 6 12 18 24
−3
−2
−1
0
1
2
Unemployment Rate
0 6 12 18 24
−0.4
−0.2
0
0.2
0.4
0.6
CPI All
0 6 12 18 24
−1
−0.5
0
CRB Commodity Price Index
0 6 12 18 24
−6
−4
−2
0
21Y T−Bond
horizon
0 6 12 18 24−0.5
0
0.5
1
Average Market SurpriseNarrativeMP Shock
[.] 9/17
The Bias-Variance Tradeoff
var-irfs
yt+1 = Byt + ut+1
IRFV ARh = BhA−10
. optimal and consistent only ifthe VAR captures the DGP
lp-irfs
yt+h = B(h)yt + vt+h
IRFLPh = B(h)A−10
. robust to misspecification buthigh estimation uncertainty
. Selecting between the two methods: empirical problem choosing betweenbias and estimation variance...(Schorfheide, 2005)
lstandard tradeoff in Bayesian estimation!
[.] 10/17
The Bias-Variance Tradeoff
var-irfs
yt+1 = Byt + ut+1
IRFV ARh = BhA−10
. optimal and consistent only ifthe VAR captures the DGP
lp-irfs
yt+h = B(h)yt + vt+h
IRFLPh = B(h)A−10
. robust to misspecification buthigh estimation uncertainty
. Selecting between the two methods: empirical problem choosing betweenbias and estimation variance...(Schorfheide, 2005)
lstandard tradeoff in Bayesian estimation!
[.] 10/17
The Bias-Variance Tradeoff
var-irfs
yt+1 = Byt + ut+1
IRFV ARh = BhA−10
. optimal and consistent only ifthe VAR captures the DGP
lp-irfs
yt+h = B(h)yt + vt+h
IRFLPh = B(h)A−10
. robust to misspecification buthigh estimation uncertainty
. Selecting between the two methods: empirical problem choosing betweenbias and estimation variance...(Schorfheide, 2005)
lstandard tradeoff in Bayesian estimation!
[.] 10/17
BLP: Intuition
. Discipline LP with VAR prior on pre-sample
blp posterior mean
B(h)BLP ∝
(X ′X +
[Ω
(h)0 (λ(h))
]−1)−1(
(X ′X)B(h)LP +
[Ω
(h)0 (λ(h))
]−1
BhV AR
)
. λ(h) optimally spans between VAR and LP(Giannone, Lenza, and Primiceri, 2015)
1. λ(h) → 0 =⇒ B(h)BLP → BhV AR
2. λ(h) →∞ =⇒ B(h)BLP = B
(h)LP
[.] 11/17
BLP: Intuition
. Discipline LP with VAR prior on pre-sample
blp posterior mean
B(h)BLP ∝
(X ′X +
[Ω
(h)0 (λ(h))
]−1)−1(
(X ′X)B(h)LP +
[Ω
(h)0 (λ(h))
]−1
BhV AR
)
. λ(h) optimally spans between VAR and LP(Giannone, Lenza, and Primiceri, 2015)
1. λ(h) → 0 =⇒ B(h)BLP → BhV AR
2. λ(h) →∞ =⇒ B(h)BLP = B
(h)LP
[.] 11/17
Optimal Shrinkage
0 5 10 15 20 250
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
tightness of prior on IRF coefficients −− λh
horizon[.] 12/17
BLP: Priors
blp prior
Σ(h)v |γ(h) ∼ IW
(Ψ
(h)0 , d0
)β(h)|Σ(h)
v , γ(h) ∼ N(β(h)0 ,Σ(h)
v ⊗ Ω(h)0 (λ(h))
)
. Macro variables’ behaviour is approximately linear anddescribed by a VAR(p)
[.] 13/17
BLP: Priors
blp prior
Σ(h)v |γ(h) ∼ IW
(Ψ
(h)0 , d0
)β(h)|Σ(h)
v , γ(h) ∼ N(β(h)0 ,Σ(h)
v ⊗ Ω(h)0 (λ(h))
)
. Macro variables’ behaviour is approximately linear anddescribed by a VAR(p)
[.] 13/17
BLP: Priors
blp prior
Σ(h)v |γ(h) ∼ IW
(Ψ
(h)0 , d0
)β(h)|Σ(h)
v , γ(h) ∼ N(β(h)0 ,Σ(h)
v ⊗ Ω(h)0 (λ(h))
)
. Macro variables’ behaviour is approximately linear anddescribed by a VAR(p)
. Conjugate priors centred around iterated VAR(p) (pre-sample)
β(h)0 = β
(0,h)T0
= vec(b(0,h)T0
)[.] 13/17
BLP: Priors
blp prior
Σ(h)v |γ(h) ∼ IW
(Ψ
(h)0 , d0
)β(h)|Σ(h)
v , γ(h) ∼ N(β(h)0 ,Σ(h)
v ⊗ Ω(h)0 (λ(h))
)
. Macro variables’ behaviour is approximately linear anddescribed by a VAR(p)
. Tightness of prior regulated by λ(h)
λ(h) ∼ Γ(k(h), θ(h)
)[.] 13/17
BLP: Posterior
blp posterior
Σ(h)ε |γ(h), y ∼ IW
(Ψ(h), d
)β(h)|Σ(h)
ε , γ(h), y ∼ N(β(h),Σ(h)
ε ⊗ Ω(h))
Misspecified parametric model:
. Likelihood is asymptotically Gaussian and centred at the MLE
. Posterior variance-covariance is underestimated
. Inference based on an ‘artificial’ Gaussian posterior centred atthe MLE with HAC covariance matrix (Muller, 2013)
[.] 14/17
BLP: Posterior
blp posterior
Σ(h)ε |γ(h), y ∼ IW
(Ψ(h), d
)β(h)|Σ(h)
ε , γ(h), y ∼ N(β(h),Σ(h)
ε ⊗ Ω(h))
Misspecified parametric model:
. Likelihood is asymptotically Gaussian and centred at the MLE
. Posterior variance-covariance is underestimated
. Inference based on an ‘artificial’ Gaussian posterior centred atthe MLE with HAC covariance matrix (Muller, 2013)
[.] 14/17
BLP: Posterior
blp posterior
Σ(h)ε,HAC |γ
(h), y ∼ IW(
Ψ(h)HAC , d
),
β(h)|Σ(h)ε,HAC , γ
(h), y ∼ N(β(h),Σ
(h)ε,HAC ⊗ Ω(h)
)
Misspecified parametric model:
. Likelihood is asymptotically Gaussian and centred at the MLE
. Posterior variance-covariance is underestimated
. Inference based on an ‘artificial’ Gaussian posterior centred atthe MLE with HAC covariance matrix (Muller, 2013)
[.] 14/17
Puzzles #2: Specifications
Industrial Production%
poi
nts
0 6 12 18 24−2.5
−2
−1.5
−1
−0.5
0
0.5
BLPVAR
Unemployment Rate
0 6 12 18 24
−0.1
0
0.1
0.2
0.3
0.4
CPI All
0 6 12 18 24−0.5
0
0.5
1Y T−Bond
0 6 12 18 24
−0.2
0
0.2
0.4
0.6
0.8
1
1.2
Industrial Production
0 6 12 18 24
−2
−1.5
−1
−0.5
0
0.5
1
1.5
BLPLP
Unemployment Rate
0 6 12 18 24
−0.4
−0.2
0
0.2
0.4CPI All
0 6 12 18 24
−0.6
−0.4
−0.2
0
0.2
0.4
0.6
1Y T−Bond
horizon 0 6 12 18 24
−0.2
0
0.2
0.4
0.6
0.8
1
1.2
Rolling 20-year subsamples
[.] 15/17
Large(r) Information Set:
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Real Activity
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s 0 6 12 18 24
−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Real Activity
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Real Activity
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Real Activity
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Real Activity
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Real Activity
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Real Activity
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Prices
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Prices
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Credit
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Credit
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Credit
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Credit
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Credit
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Other Assets
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Other Assets
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Other Assets
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: Other Assets
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: International Trade
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: International Trade
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
Large(r) Information Set: International Trade
Industrial Production%
poi
nts
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
Industrial Production
% p
oint
s
0 6 12 18 24−3
−2
−1
0
Business Inventories
0 6 12 18 24
−1.5
−1
−0.5
0
Capacity Utilization
0 6 12 18 24
−1.5−1
−0.50
0.5
Unemployment Rate
0 6 12 18 24
0
0.2
0.4
Average Weekly Hours Mfg
0 6 12 18 24
−0.2
0
0.2CPI All
0 6 12 18 24
−0.8−0.6−0.4−0.2
0
PCE Deflator
0 6 12 18 24−0.4
−0.2
0
0.2
Average Earnings Manufacturing
0 6 12 18 24−0.04
−0.02
0
0.02
Consumption Durable
0 6 12 18 24
−2
0
2
4Consumption Nondurable
0 6 12 18 24−0.4−0.2
00.20.40.6
Housing Starts
0 6 12 18 24
−20
−10
0
Building Permits
0 6 12 18 24
−20
−10
0
Real Personal Income
0 6 12 18 24
−0.6−0.4−0.2
00.2
Business Loans
0 6 12 18 24
−3
−2
−1
0
Consumer Loans
0 6 12 18 24
−1
0
1
OECD Exports
0 6 12 18 24
−8−6−4−2
0
OECD Imports
0 6 12 18 24
−8−6−4−2
02
M2 Money Stock
0 6 12 18 24−1
−0.5
01Y T−Bond
0 6 12 18 24−0.5
0
0.5
1Term Spread 10Y−1Y
0 6 12 18 24
−0.6−0.4−0.2
00.2
S&P 500
0 6 12 18 24
−15
−10
−5
0
House Price Index
0 6 12 18 24−2
−1
0
BIS Real EER
0 6 12 18 24−2
02468
GZ Excess Bond Premium
0 6 12 18 24−0.2
00.20.40.6
BAA−AAA Spread
0 6 12 18 24−0.2
0
0.2
Mortgage Spread
horizon 0 6 12 18 24
0
0.2
0.4
[.] 16/17
What are the Effects of Monetary Policy?
. We contribute to the debate with
1. a novel flexible econometric method that optimally bridgesbetween VARs with LPs
2. an identification strategy that is coherent withimperfect/asymmetric information
. We find that following a monetary tightening:
1. economic activity and prices contract – no puzzles
2. firms and households lending cools down, borrowing costs rise andso do corporate spreads
3. expectations move in line with fundamentals
4. the slope of the yield curve flattens, and equity prices fall
5. finally, the currency appreciates
[.] 17/17
Additional Slides
[.] 17/17
Testing for Information Frictions #2
FF4t FF4GKt MPNt MPIt
f1,t−1 -0.012[-1.97]*
-0.011[-2.74]***
-0.103[-4.13]***
0.006[0.98]
f2,t−1 0.001[0.38]
0.004[1.79]*
-0.005[-0.45]
0.005[1.56]
f3,t−1 0.002[0.41]
-0.001[-0.23]
-0.035[-2.21]**
0.001[0.29]
f4,t−1 0.015[2.09]**
0.008[1.92]*
0.068[2.71]***
0.005[0.70]
f5,t−1 0.002[0.26]
0.001[0.12]
0.017[0.61]
0.008[1.18]
f6,t−1 -0.011[-2.19]**
-0.007[-2.58]**
0.008[0.57]
-0.008[-1.63]
f7,t−1 -0.010[-1.69]*
-0.006[-1.40]
-0.053[-2.85]***
-0.004[-0.54]
f8,t−1 -0.001[-0.35]
0.001[0.32]
-0.042[-2.38]**
-0.001[-0.15]
f9,t−1 -0.002[-0.59]
-0.002[-0.53]
-0.037[-1.65]
0.000[0.07]
f10,t−1 0.004[0.75]
0.000[-0.03]
-0.030[-2.54]**
-0.003[-0.70]
R2 0.073 0.140 0.202 0.033
[.] 17/17
BLP: Hyperprior
λ(h) ∼ Γ(k(h), θ(h)
). mode = 0.4
. standard deviation = logistic function over h
()=+
+-(-)
[.] 17/17
BLP: Hyperprior
λ(h) ∼ Γ(k(h), θ(h)
). mode = 0.4
. standard deviation = logistic function over h
= σ= (=)
= σ= (=)
= σ= (=)
= σ= (=)
= σ= (=)
[.] 17/17
mp shocks – 1979 to 2014
Industrial Production%
poi
nts
0 6 12 18 24
−3
−2
−1
0
Unemployment Rate
0 6 12 18 24−0.2
0
0.2
0.4
0.6
CPI All
0 6 12 18 24
−1
−0.5
0
CRB Commodity Price Index
0 6 12 18 24
−5
0
5
1Y T−Bond
horizon
0 6 12 18 24−0.5
0
0.5
1
LP
BVAR
BLP
[.] 17/17
VAR, LP, BLP on Simulated Data from JPT (2010)
. True model: n = 7, p = 5. Estimated models: n = 6, p = 1
GDP
0 6 12 18
-4
-2
0
% p
oint
s
Consumption
0 6 12 18
-3
-2
-1
0
1Investment
0 6 12 18
-10
-5
0
5Hours
0 6 12 18
-3
-2
-1
0
Wages
0 6 12 18
-2
-1
0
1
Fed Funds Rate
0 6 12 18
0
0.5
1
DSGELP(1)
GDP
0 6 12 18
-4
-2
0
% p
oint
s
Consumption
0 6 12 18
-3
-2
-1
0
1Investment
0 6 12 18
-10
-5
0
5Hours
0 6 12 18
-3
-2
-1
0
Wages
0 6 12 18
-2
-1
0
1
Fed Funds Rate
0 6 12 18
0
0.5
1
DSGEVAR(1)
GDP
0 6 12 18
-4
-2
0
% p
oint
s
Consumption
0 6 12 18
-3
-2
-1
0
1Investment
0 6 12 18
-10
-5
0
5Hours
0 6 12 18
-3
-2
-1
0
Wages
0 6 12 18
-2
-1
0
1
Fed Funds Rate
0 6 12 18
horizon
0
0.5
1
DSGEBLP(1)
[.] 17/17
VAR, LP, BLP on Simulated Data from JPT (2010)
. True model: n = 7, p = 5. Estimated models: n = 3, p = 1
GDP
0 6 12 18
-4
-3
-2
-1
0
% p
oint
s
Hours
0 6 12 18
-3
-2
-1
0Fed Funds Rate
0 6 12 18
0
0.5
1
DSGELP(1)
GDP
0 6 12 18
-4
-3
-2
-1
0
% p
oint
s
Hours
0 6 12 18
-3
-2
-1
0Fed Funds Rate
0 6 12 18
0
0.5
1
DSGEVAR(1)
GDP
0 6 12 18
-4
-3
-2
-1
0
% p
oint
s
Hours
0 6 12 18
-3
-2
-1
0Fed Funds Rate
0 6 12 18
horizon
0
0.5
1
DSGEBLP(1)
[.] 17/17
