The Effects of Forward Guidance in Three Macro Models, Accessible Data
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Figure 1: The Effects of Forward Guidance in Three Macro Models
Source: Simulation data created by the author.
Fed Funds Rate
Annual percentage rate
| FRBUS | EDO | SW | |
|---|---|---|---|
| 1 | 0.99833 | 0.94974 | 0.96011 |
| 2 | 0.8402 | 0.73403 | 0.75048 |
| 3 | 0.7011 | 0.54495 | 0.55799 |
| 4 | 0.57814 | 0.38895 | 0.38835 |
| 5 | 0.47079 | 0.2683 | 0.25061 |
| 6 | 0.37743 | 0.17977 | 0.14472 |
| 7 | 0.29697 | 0.11798 | 0.06739 |
| 8 | 0.22814 | 0.07709 | 0.01417 |
| 9 | 0.16981 | 0.05166 | -0.01967 |
| 10 | 0.12086 | 0.03704 | -0.03864 |
| 11 | 0.08023 | 0.02954 | -0.04675 |
| 12 | 0.04693 | 0.02634 | -0.04737 |
| 13 | 0.02004 | 0.02545 | -0.04323 |
| 14 | -0.00127 | 0.02553 | -0.03642 |
| 15 | -0.01779 | 0.02576 | -0.02848 |
| 16 | -0.03019 | 0.02566 | -0.02048 |
| 17 | -0.03911 | 0.02505 | -0.01308 |
| 18 | -0.04511 | 0.02391 | -0.00668 |
| 19 | -0.04868 | 0.02229 | -0.00143 |
| 20 | -0.05026 | 0.02033 | 0.00265 |
| 21 | -0.05022 | 0.01814 | 0.00564 |
Inflation
Quarterly change, annual rate
| FRBUS | EDO | SW |
|---|---|---|
| -0.00577 | -0.03031 | -0.1233 |
| -0.00961 | -0.0306 | -0.14708 |
| -0.01182 | -0.0216 | -0.14173 |
| -0.01286 | -0.01162 | -0.1264 |
| -0.01313 | -0.00341 | -0.10747 |
| -0.01293 | 0.00235 | -0.0878 |
| -0.0125 | 0.00575 | -0.069 |
| -0.01196 | 0.00722 | -0.05198 |
| -0.01143 | 0.00725 | -0.03725 |
| -0.01094 | 0.0063 | -0.02497 |
| -0.01052 | 0.00478 | -0.0151 |
| -0.01016 | 0.00299 | -0.00746 |
| -0.00987 | 0.00118 | -0.00178 |
| -0.00961 | -0.00051 | 0.00226 |
| -0.00938 | -0.00197 | 0.00496 |
| -0.00916 | -0.00317 | 0.00661 |
| -0.00893 | -0.0041 | 0.00749 |
| -0.00868 | -0.00475 | 0.0078 |
| -0.00839 | -0.00518 | 0.00772 |
| -0.00807 | -0.00539 | 0.0074 |
| -0.0077 | -0.00544 | 0.00695 |
GDP
Percent deviation
| FRBUS | EDO | SW |
|---|---|---|
| -0.00911 | -0.32351 | -0.21968 |
| -0.05082 | -0.48279 | -0.33602 |
| -0.07894 | -0.53359 | -0.37825 |
| -0.10763 | -0.51796 | -0.37101 |
| -0.12615 | -0.46606 | -0.33392 |
| -0.14166 | -0.39844 | -0.28158 |
| -0.15177 | -0.32816 | -0.22429 |
| -0.15795 | -0.26285 | -0.16881 |
| -0.16033 | -0.20631 | -0.11919 |
| -0.15968 | -0.15984 | -0.07745 |
| -0.15645 | -0.12318 | -0.04419 |
| -0.15118 | -0.09527 | -0.01909 |
| -0.14431 | -0.07464 | -0.00127 |
| -0.13627 | -0.05978 | 0.01043 |
| -0.1274 | -0.04931 | 0.01725 |
| -0.11803 | -0.04203 | 0.02036 |
| -0.10843 | -0.03696 | 0.02083 |
| -0.0988 | -0.03339 | 0.01954 |
| -0.08935 | -0.03077 | 0.0172 |
| -0.0802 | -0.02873 | 0.01435 |
| -0.07149 | -0.02702 | 0.01138 |
Figure 2: Effects of Forward Guidance in the Smets-Wouters Model
Source: Simulation data created by the author.
Fed Funds Rate
Annual percentage rate
| FRBUS | EDO | SW | |
|---|---|---|---|
| 1 | 0.99833 | 0.94974 | 0.96011 |
| 2 | 0.8402 | 0.73403 | 0.75048 |
| 3 | 0.7011 | 0.54495 | 0.55799 |
| 4 | 0.57814 | 0.38895 | 0.38835 |
| 5 | 0.47079 | 0.2683 | 0.25061 |
| 6 | 0.37743 | 0.17977 | 0.14472 |
| 7 | 0.29697 | 0.11798 | 0.06739 |
| 8 | 0.22814 | 0.07709 | 0.01417 |
| 9 | 0.16981 | 0.05166 | -0.01967 |
| 10 | 0.12086 | 0.03704 | -0.03864 |
| 11 | 0.08023 | 0.02954 | -0.04675 |
| 12 | 0.04693 | 0.02634 | -0.04737 |
| 13 | 0.02004 | 0.02545 | -0.04323 |
| 14 | -0.00127 | 0.02553 | -0.03642 |
| 15 | -0.01779 | 0.02576 | -0.02848 |
| 16 | -0.03019 | 0.02566 | -0.02048 |
| 17 | -0.03911 | 0.02505 | -0.01308 |
| 18 | -0.04511 | 0.02391 | -0.00668 |
| 19 | -0.04868 | 0.02229 | -0.00143 |
| 20 | -0.05026 | 0.02033 | 0.00265 |
| 21 | -0.05022 | 0.01814 | 0.00564 |
Inflation
Quarterly change, annual rate
| t | t+4 | t+8 | |
|---|---|---|---|
| 1 | -0.1233 | -0.26846 | -0.70079 |
| 2 | -0.14708 | -0.32547 | -0.85582 |
| 3 | -0.14173 | -0.32207 | -0.85946 |
| 4 | -0.1264 | -0.29698 | -0.81102 |
| 5 | -0.10747 | -0.26197 | -0.73893 |
| 6 | -0.0878 | -0.22228 | -0.65428 |
| 7 | -0.069 | -0.18174 | -0.56351 |
| 8 | -0.05198 | -0.14301 | -0.47146 |
| 9 | -0.03725 | -0.10787 | -0.38202 |
| 10 | -0.02497 | -0.07728 | -0.29834 |
| 11 | -0.0151 | -0.05163 | -0.22313 |
| 12 | -0.00746 | -0.03088 | -0.158 |
| 13 | -0.00178 | -0.01467 | -0.10351 |
| 14 | 0.00226 | -0.0025 | -0.05941 |
| 15 | 0.00496 | 0.00626 | -0.02493 |
| 16 | 0.00661 | 0.01221 | 0.00105 |
| 17 | 0.00749 | 0.01594 | 0.0198 |
| 18 | 0.0078 | 0.01799 | 0.03262 |
| 19 | 0.00772 | 0.01882 | 0.04074 |
| 20 | 0.0074 | 0.01879 | 0.04527 |
| 21 | 0.00695 | 0.0182 | 0.04715 |
GDP
Percent deviation
| t | t+4 | t+8 | |
|---|---|---|---|
| 1 | -0.21968 | -0.25011 | -0.49441 |
| 2 | -0.33602 | -0.43574 | -0.85659 |
| 3 | -0.37825 | -0.56241 | -1.09997 |
| 4 | -0.37101 | -0.63726 | -1.24228 |
| 5 | -0.33392 | -0.66739 | -1.3014 |
| 6 | -0.28158 | -0.62541 | -1.29405 |
| 7 | -0.22429 | -0.54314 | -1.23538 |
| 8 | -0.16881 | -0.44336 | -1.13862 |
| 9 | -0.11919 | -0.34153 | -1.01508 |
| 10 | -0.07745 | -0.24729 | -0.84431 |
| 11 | -0.04419 | -0.16595 | -0.66016 |
| 12 | -0.01909 | -0.09972 | -0.4844 |
| 13 | -0.00127 | -0.04869 | -0.32957 |
| 14 | 0.01043 | -0.01162 | -0.20156 |
| 15 | 0.01725 | 0.01343 | -0.10168 |
| 16 | 0.02036 | 0.02869 | -0.02832 |
| 17 | 0.02083 | 0.03638 | 0.02184 |
| 18 | 0.01954 | 0.03854 | 0.05283 |
| 19 | 0.0172 | 0.03693 | 0.06885 |
| 20 | 0.01435 | 0.03297 | 0.07381 |
| 21 | 0.01138 | 0.02778 | 0.07113 |
Figure 3: Effects of Forward Guidance in the EDO Model
Source: Simulation data created by the author.
Fed Funds Rate
Annual rate
| t | t+4 | t+8 | |
|---|---|---|---|
| 1 | 0.94974 | 0 | 0 |
| 2 | 0.73403 | 0 | 0 |
| 3 | 0.54495 | 0 | 0 |
| 4 | 0.38895 | 0 | 0 |
| 5 | 0.2683 | 0.85231 | 0 |
| 6 | 0.17977 | 0.59714 | 0 |
| 7 | 0.11798 | 0.40616 | 0 |
| 8 | 0.07709 | 0.27008 | 0 |
| 9 | 0.05166 | 0.17797 | 0.83818 |
| 10 | 0.03704 | 0.11907 | 0.58463 |
| 11 | 0.02954 | 0.08391 | 0.403 |
| 12 | 0.02634 | 0.06474 | 0.27881 |
| 13 | 0.02545 | 0.05559 | 0.19805 |
| 14 | 0.02553 | 0.05212 | 0.14831 |
| 15 | 0.02576 | 0.05133 | 0.11946 |
| 16 | 0.02566 | 0.05133 | 0.10372 |
| 17 | 0.02505 | 0.05101 | 0.09548 |
| 18 | 0.02391 | 0.04985 | 0.09087 |
| 19 | 0.02229 | 0.04769 | 0.08747 |
| 20 | 0.02033 | 0.04462 | 0.08389 |
| 21 | 0.01814 | 0.04083 | 0.07946 |
Inflation
Quarterly change, annual rate
| t | t+4 | t+8 | |
|---|---|---|---|
| 1 | -0.03031 | -0.05522 | -0.09519 |
| 2 | -0.0306 | -0.06531 | -0.11712 |
| 3 | -0.0216 | -0.05759 | -0.11147 |
| 4 | -0.01162 | -0.04335 | -0.09587 |
| 5 | -0.00341 | -0.02718 | -0.07705 |
| 6 | 0.00235 | -0.01125 | -0.05789 |
| 7 | 0.00575 | 0.00085 | -0.03976 |
| 8 | 0.00722 | 0.00855 | -0.02338 |
| 9 | 0.00725 | 0.01234 | -0.00906 |
| 10 | 0.0063 | 0.0131 | 0.00303 |
| 11 | 0.00478 | 0.01175 | 0.01051 |
| 12 | 0.00299 | 0.00908 | 0.01353 |
| 13 | 0.00118 | 0.00575 | 0.01303 |
| 14 | -0.00051 | 0.00225 | 0.01014 |
| 15 | -0.00197 | -0.00107 | 0.00586 |
| 16 | -0.00317 | -0.004 | 0.001 |
| 17 | -0.0041 | -0.00643 | -0.00384 |
| 18 | -0.00475 | -0.00832 | -0.00827 |
| 19 | -0.00518 | -0.00969 | -0.01202 |
| 20 | -0.00539 | -0.01058 | -0.015 |
| 21 | -0.00544 | -0.01105 | -0.01719 |
GDP
Percent deviation
| t | t+4 | t+8 | |
|---|---|---|---|
| 1 | -0.32351 | -0.42739 | -0.55157 |
| 2 | -0.48279 | -0.7307 | -0.95714 |
| 3 | -0.53359 | -0.92494 | -1.24118 |
| 4 | -0.51796 | -1.02164 | -1.42515 |
| 5 | -0.46606 | -1.02814 | -1.52711 |
| 6 | -0.39844 | -0.94673 | -1.56146 |
| 7 | -0.32816 | -0.82295 | -1.53865 |
| 8 | -0.26285 | -0.68658 | -1.4649 |
| 9 | -0.20631 | -0.5556 | -1.34178 |
| 10 | -0.15984 | -0.43962 | -1.16563 |
| 11 | -0.12318 | -0.34259 | -0.97529 |
| 12 | -0.09527 | -0.26493 | -0.79401 |
| 13 | -0.07464 | -0.20497 | -0.63405 |
| 14 | -0.05978 | -0.16011 | -0.50028 |
| 15 | -0.04931 | -0.12742 | -0.39292 |
| 16 | -0.04203 | -0.10412 | -0.30959 |
| 17 | -0.03696 | -0.08775 | -0.24666 |
| 18 | -0.03339 | -0.07631 | -0.20018 |
| 19 | -0.03077 | -0.06822 | -0.16639 |
| 20 | -0.02873 | -0.06232 | -0.14202 |
| 21 | -0.02702 | -0.05779 | -0.12438 |
Figure 4: Effects of Forward Guidance in the FRB/US Model
Source: Simulation data created by the author.
Fed Funds Rate
Annual rate
| t | t+4 | t+8 | |
|---|---|---|---|
| 1 | 0.99833 | 0 | 0 |
| 2 | 0.8402 | 0 | 0 |
| 3 | 0.7011 | 0 | 0 |
| 4 | 0.57814 | 0 | 0 |
| 5 | 0.47079 | 0.97102 | 0 |
| 6 | 0.37743 | 0.79156 | 0 |
| 7 | 0.29697 | 0.63598 | 0 |
| 8 | 0.22814 | 0.5019 | 0 |
| 9 | 0.16981 | 0.38731 | 0.94628 |
| 10 | 0.12086 | 0.29015 | 0.74823 |
| 11 | 0.08023 | 0.20854 | 0.5791 |
| 12 | 0.04693 | 0.14071 | 0.43569 |
| 13 | 0.02004 | 0.085 | 0.3152 |
| 14 | -0.00127 | 0.03991 | 0.21495 |
| 15 | -0.01779 | 0.00402 | 0.13251 |
| 16 | -0.03019 | -0.02393 | 0.06565 |
| 17 | -0.03911 | -0.04509 | 0.01231 |
| 18 | -0.04511 | -0.06049 | -0.02937 |
| 19 | -0.04868 | -0.07105 | -0.06106 |
| 20 | -0.05026 | -0.07758 | -0.08427 |
| 21 | -0.05022 | -0.08079 | -0.10035 |
Inflation
Quarterly change, annual rate
| t | t+4 | t+8 | |
|---|---|---|---|
| 1 | -0.00577 | -0.01033 | -0.01644 |
| 2 | -0.00961 | -0.0172 | -0.02737 |
| 3 | -0.01182 | -0.02149 | -0.0344 |
| 4 | -0.01286 | -0.02393 | -0.03874 |
| 5 | -0.01313 | -0.02507 | -0.04122 |
| 6 | -0.01293 | -0.0253 | -0.04243 |
| 7 | -0.0125 | -0.0249 | -0.04278 |
| 8 | -0.01196 | -0.02413 | -0.04253 |
| 9 | -0.01143 | -0.0232 | -0.04185 |
| 10 | -0.01094 | -0.02225 | -0.04087 |
| 11 | -0.01052 | -0.02134 | -0.03965 |
| 12 | -0.01016 | -0.02053 | -0.03831 |
| 13 | -0.00987 | -0.01982 | -0.03697 |
| 14 | -0.00961 | -0.01921 | -0.03567 |
| 15 | -0.00938 | -0.01866 | -0.03445 |
| 16 | -0.00916 | -0.01816 | -0.03332 |
| 17 | -0.00893 | -0.01768 | -0.03225 |
| 18 | -0.00868 | -0.0172 | -0.03123 |
| 19 | -0.00839 | -0.01669 | -0.03023 |
| 20 | -0.00807 | -0.01614 | -0.02923 |
| 21 | -0.0077 | -0.01554 | -0.02819 |
GDP
Percent deviation
| t | t+4 | t+8 | |
|---|---|---|---|
| 1 | -0.00911 | -0.013 | -0.0166 |
| 2 | -0.05082 | -0.05582 | -0.06232 |
| 3 | -0.07894 | -0.0933 | -0.10434 |
| 4 | -0.10763 | -0.13397 | -0.14979 |
| 5 | -0.12615 | -0.16872 | -0.19043 |
| 6 | -0.14166 | -0.20191 | -0.23006 |
| 7 | -0.15177 | -0.22544 | -0.26599 |
| 8 | -0.15795 | -0.24244 | -0.29823 |
| 9 | -0.16033 | -0.25218 | -0.32601 |
| 10 | -0.15968 | -0.25653 | -0.34928 |
| 11 | -0.15645 | -0.25589 | -0.36249 |
| 12 | -0.15118 | -0.25122 | -0.36851 |
| 13 | -0.14431 | -0.24324 | -0.36725 |
| 14 | -0.13627 | -0.2327 | -0.36068 |
| 15 | -0.1274 | -0.22024 | -0.34945 |
| 16 | -0.11803 | -0.20643 | -0.33466 |
| 17 | -0.10843 | -0.19177 | -0.31714 |
| 18 | -0.0988 | -0.17668 | -0.29772 |
| 19 | -0.08935 | -0.16152 | -0.27707 |
| 20 | -0.0802 | -0.14659 | -0.2558 |
| 21 | -0.07149 | -0.13211 | -0.23441 |