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Finance and Economics Discussion Series: Data for FEDS 2012-67 ♣

Financial Intermediation, Investment Dynamics and Business Cycle Fluctuations

Andrea Ajello

Figure 1: Compustat Capital Expenditure and Flow of Funds Corporate Investment

Year Quarter Flow of Funds Compustat
1989 1 94715 73838.45453
1989 2 96183.5 72539.8937
1989 3 100068.25 74072.66682
1989 4 101043.25 75624.80091
1990 1 103984.5 77369.99912
1990 2 104452.5 80350.76611
1990 3 106854.75 79604.52351
1990 4 105635.25 81169.27448
1991 1 104474 80093.14251
1991 2 103297.75 77696.64036
1991 3 102261.25 77678.83815
1991 4 101606 74451.03473
1992 1 102095.5 75191.67246
1992 2 105969.75 75854.00233
1992 3 108276.25 77214.7256
1992 4 111711.5 78560.84589
1993 1 111553.25 78483.23342
1993 2 115016.75 79223.65125
1993 3 116391 79870.37969
1993 4 121140 79860.11436
1994 1 123169.5 81742.89124
1994 2 125567 86073.10755
1994 3 128583.5 88757.80219
1994 4 135308 93499.83175
1995 1 141329.75 97994.98382
1995 2 144009.5 99645.32246
1995 3 145758.25 102660.3854
1995 4 148561.75 109025.6363
1996 1 150425 110078.2318
1996 2 153942.25 114580.7982
1996 3 158894.5 117637.016
1996 4 162127.5 125678.9176
1997 1 166925.75 118868.5759
1997 2 170045.75 128763.359
1997 3 177414 136682.2978
1997 4 176997.75 139971.3568
1998 1 181122.75 145408.1861
1998 2 185410.5 145538.0016
1998 3 186685.25 143130.8841
1998 4 191762.5 140606.6119
1999 1 196272.75 138355.7732
1999 2 200742.5 143228.8958
1999 3 205823.25 148974.8979
1999 4 207111.5 151372.561
2000 1 216618 158128.6834
2000 2 225674 161832.1481
2000 3 229008.25 171714.5921
2000 4 229268.5 166247.0716
2001 1 226644.75 198237.4372
2001 2 220293.25 181314.0788
2001 3 214518 173047.3419
2001 4 203864.5 161750.4221
2002 1 195936.25 153448.8858
2002 2 189093.75 144108.6674
2002 3 186519 138770.5152
2002 4 184425.75 134763.1893
2003 1 184546.5 128234.3379
2003 2 189566.5 129097.9793
2003 3 193876.75 128651.1359
2003 4 195946.5 129338.2845
2004 1 193353.5 129290.6767
2004 2 198619.75 132119.0534
2004 3 205309 138153.0055
2004 4 212980 159423.6982
2005 1 219208.75 147109.8959
2005 2 226138.25 159113.6571
2005 3 232382 159545.9435
2005 4 237235.5 167403.9351
2006 1 250597.5 180728.6568
2006 2 258000.75 187300.5998
2006 3 262646.5 188034.0279
2006 4 265447.25 191026.7341
2007 1 269859.25 195436.8846
2007 2 276227.25 199233.9934
2007 3 281773.75 201660.5165
2007 4 286336.5 203816.9238
2008 1 287684.25 215538.6696
2008 2 288673 219384.6406
2008 3 285238.25 223063.0479
2008 4 269491.75 217444.6149
2009 1 239777.25 180358.7842
2009 2 230807 167136.3796
2009 3 225851.5 157866.7926
2009 4 222625.25 158996.6311
2010 1 225548.5 165157.3887
Return to Figure 1

Figure 2: CAPX - Capital Expenditure

Year Quarter Original Series (Panel A) Seasonally Adjusted Series (Panel A) Original Series (Panel B) Trend (Panel B)
1989 1 63175.98 73838.45453 63175.98 73332.54747
1989 2 69434.06 72539.8937 69434.06 73092.54134
1989 3 72181.31 74072.66682 72181.31 73811.10476
1989 4 91776.52 75624.80091 91776.52 75647.32578
1990 1 66047.92 77369.99912 66047.92 77789.27848
1990 2 77027.09 80350.76611 77027.09 79517.0015
1990 3 77621.41 79604.52351 77621.41 80550.83574
1990 4 98493.03 81169.27448 98493.03 80894.39542
1991 1 68131.6 80093.14251 68131.6 80003.15215
1991 2 74669.95 77696.64036 74669.95 77983.07648
1991 3 75897.04 77678.83815 75897.04 76098.77395
1991 4 90229.56 74451.03473 90229.56 75004.46757
1992 1 63639.9 75191.67246 63639.9 74939.24434
1992 2 73292.26 75854.00233 73292.26 75905.30953
1992 3 75436.66 77214.7256 75436.66 77246.73205
1992 4 95119.21 78560.84589 95119.21 78322.05057
1993 1 66178.43 78483.23342 66178.43 78727.92909
1993 2 76902.68 79223.65125 76902.68 79164.52542
1993 3 78026.07 79870.37969 78026.07 79631.66644
1993 4 96520.46 79860.11436 96520.46 80020.66566
1994 1 68749.78 81742.89124 68749.78 82089.46453
1994 2 83982.35 86073.10755 83982.35 85484.18963
1994 3 86642.32 88757.80219 86642.32 89196.01933
1994 4 112711.2 93499.83175 112711.2 93529.82704
1995 1 82457.88 97994.98382 82457.88 97495.83332
1995 2 97386.71 99645.32246 97386.71 99870.86971
1995 3 100639.8 102660.3854 100639.8 103161.4823
1995 4 130541.9 109025.6363 130541.9 107218.106
1996 1 92839.97 110078.2318 92839.97 110796.8448
1996 2 112215.9 114580.7982 112215.9 114189.6512
1996 3 116096.8 117637.016 116096.8 117710.1897
1996 4 148871.1 125678.9176 148871.1 120461.9546
1997 1 100800.9 118868.5759 100800.9 123782.2745
1997 2 126356.6 128763.359 126356.6 129223.0722
1997 3 135868.6 136682.2978 135868.6 135346.5556
1997 4 163563.8 139971.3568 163563.8 140864.9094
1998 1 124393.1 145408.1861 124393.1 144692.4039
1998 2 143417.1 145538.0016 143417.1 145570.9116
1998 3 142381.2 143130.8841 142381.2 143277.6748
1998 4 162585.9 140606.6119 162585.9 140126.049
1999 1 119605.9 138355.7732 119605.9 139324.9406
1999 2 141638 143228.8958 141638 143096.8027
1999 3 147691.4 148974.8979 147691.4 148086.4702
1999 4 173750.6 151372.561 173750.6 152467.9086
2000 1 138264.3 158128.6834 138264.3 157209.1749
2000 2 160403.7 161832.1481 160403.7 162101.5609
2000 3 168892 171714.5921 168892 168641.4288
2000 4 190800 166247.0716 190800 178158.3048
2001 1 174274.3 198237.4372 174274.3 184015.2288
2001 2 180074.8 181314.0788 180074.8 181583.4625
2001 3 169033.7 173047.3419 169033.7 172707.2834
2001 4 185998.3 161750.4221 185998.3 162469.9793
2002 1 135217 153448.8858 135217 152812.3247
2002 2 143362.2 144108.6674 143362.2 144697.1437
2002 3 134590.2 138770.5152 134590.2 138830.694
2002 4 155597.4 134763.1893 155597.4 133736.901
2003 1 112928.7 128234.3379 112928.7 129632.4947
2003 2 128887.3 129097.9793 128887.3 128293.0365
2003 3 124097.4 128651.1359 124097.4 128939.324
2003 4 149084.6 129338.2845 149084.6 128922.1236
2004 1 114578.6 129290.6767 114578.6 129393.4389
2004 2 132073.1 132119.0534 132073.1 132689.5061
2004 3 132834.5 138153.0055 132834.5 140487.3525
2004 4 182811.8 159423.6982 182811.8 148928.6416
2005 1 131563.2 147109.8959 131563.2 155081.8808
2005 2 158988.4 159113.6571 158988.4 157969.9663
2005 3 153723.8 159545.9435 153723.8 160515.7115
2005 4 190203.6 167403.9351 190203.6 168147.9692
2006 1 163465.1 180728.6568 163465.1 179787.2306
2006 2 185796.5 187300.5998 185796.5 186784.0296
2006 3 182861.7 188034.0279 182861.7 188699.7913
2006 4 215840.3 191026.7341 215840.3 191080.3743
2007 1 177389.4 195436.8846 177389.4 195296.2075
2007 2 195711 199233.9934 195711 199151.3979
2007 3 198751.7 201660.5165 198751.7 201143.5111
2007 4 229767.1 203816.9238 229767.1 205694.3427
2008 1 195133.4 215538.6696 195133.4 213430.4916
2008 2 213360.2 219384.6406 213360.2 221359.7415
2008 3 222889.4 223063.0479 222889.4 221894.4608
2008 4 245510.3 217444.6149 245510.3 209818.9526
2009 1 161699.2 180358.7842 161699.2 187453.9328
2009 2 162136.8 167136.3796 162136.8 168238.1528
2009 3 158964 157866.7926 158964 158765.744
2009 4 179751.8 158996.6311 179751.8 158291.8288
2010 1 146842.3 165157.3887 146842.3 164784.315
Return to Figure 2

Figure 3: Financing Gap Share net Working Capital

Year Quarter Original Series (Panel A) Seasonally Adjusted Series (Panel A) Original Series (Panel B) Trend (Panel B)
1989 1 0.4615896 0.351352499 0.4615896 0.361434446
1989 2 0.3776026 0.403666241 0.3776026 0.39213846
1989 3 0.382367 0.401057397 0.382367 0.40203111
1989 4 0.3180253 0.382907826 0.3180253 0.39120262
1990 1 0.4843518 0.37533834 0.4843518 0.38352481
1990 2 0.3755278 0.401549174 0.3755278 0.381299298
1990 3 0.3423795 0.358975249 0.3423795 0.387231602
1990 4 0.3262487 0.392482193 0.3262487 0.390209981
1991 1 0.5203292 0.412683337 0.5203292 0.382697711
1991 2 0.3199941 0.346048768 0.3199941 0.368856831
1991 3 0.3414356 0.354062817 0.3414356 0.355534367
1991 4 0.2928073 0.361705365 0.2928073 0.350810595
1992 1 0.4560505 0.350351214 0.4560505 0.352743989
1992 2 0.3139091 0.338994476 0.3139091 0.351619295
1992 3 0.3876624 0.397055717 0.3876624 0.348205655
1992 4 0.2645565 0.334762864 0.2645565 0.342287064
1993 1 0.4287642 0.326773712 0.4287642 0.334553983
1993 2 0.3152061 0.337640711 0.3152061 0.326625508
1993 3 0.3135199 0.321912846 0.3135199 0.323004348
1993 4 0.2429843 0.312245175 0.2429843 0.321590595
1994 1 0.4311341 0.334058535 0.4311341 0.33076681
1994 2 0.3201307 0.337788837 0.3201307 0.33774165
1994 3 0.3347245 0.346966336 0.3347245 0.329183407
1994 4 0.2328276 0.296860883 0.2328276 0.316797523
1995 1 0.4064807 0.315232499 0.4064807 0.318011438
1995 2 0.3311777 0.343364287 0.3311777 0.334911279
1995 3 0.3306979 0.350082364 0.3306979 0.352886157
1995 4 0.3048961 0.360752588 0.3048961 0.355712551
1996 1 0.4337642 0.347480973 0.4337642 0.347583026
1996 2 0.3286644 0.33788209 0.3286644 0.339840827
1996 3 0.2822364 0.308914022 0.2822364 0.340367034
1996 4 0.3099978 0.355449717 0.3099978 0.346576543
1997 1 0.4327382 0.351885298 0.4327382 0.347889048
1997 2 0.3351441 0.343573619 0.3351441 0.348269227
1997 3 0.3189172 0.350485832 0.3189172 0.358060041
1997 4 0.352544 0.389004144 0.352544 0.385428971
1998 1 0.4859098 0.408530881 0.4859098 0.41163158
1998 2 0.4233692 0.434055069 0.4233692 0.417517276
1998 3 0.3573711 0.391648572 0.3573711 0.400348161
1998 4 0.3481725 0.375762327 0.3481725 0.373912612
1999 1 0.4289605 0.356163456 0.4289605 0.361844813
1999 2 0.3481609 0.360191308 0.3481609 0.368977535
1999 3 0.3613907 0.398641555 0.3613907 0.377711379
1999 4 0.3591336 0.37765034 0.3591336 0.384751143
2000 1 0.4531008 0.384301013 0.4531008 0.396952598
2000 2 0.4081998 0.423806157 0.4081998 0.415264002
2000 3 0.4067073 0.44516072 0.4067073 0.439778291
2000 4 0.3938709 0.402898273 0.3938709 0.448525709
2001 1 0.5305832 0.466788349 0.5305832 0.436478428
2001 2 0.375945 0.394410442 0.375945 0.416766341
2001 3 0.3515341 0.39284187 0.3515341 0.393706123
2001 4 0.3944147 0.392615537 0.3944147 0.381008784
2002 1 0.4109434 0.350387502 0.4109434 0.370086112
2002 2 0.352713 0.377214271 0.352713 0.345431639
2002 3 0.248515 0.291873777 0.248515 0.314758855
2002 4 0.3087959 0.294471079 0.3087959 0.285249331
2003 1 0.3206577 0.266374601 0.3206577 0.273365869
2003 2 0.2416446 0.268481579 0.2416446 0.275161346
2003 3 0.2788656 0.326169475 0.2788656 0.272004564
2003 4 0.2711386 0.245487499 0.2711386 0.265872107
2004 1 0.3193614 0.269807803 0.3193614 0.262250079
2004 2 0.2420728 0.271823571 0.2420728 0.280126472
2004 3 0.26074 0.309451772 0.26074 0.31463363
2004 4 0.4802794 0.447802028 0.4802794 0.33617834
2005 1 0.3865046 0.340311441 0.3865046 0.33876257
2005 2 0.2895035 0.319941651 0.2895035 0.339285362
2005 3 0.2975889 0.346703158 0.2975889 0.347939212
2005 4 0.418818 0.386217624 0.418818 0.360428255
2006 1 0.3873048 0.338903638 0.3873048 0.362445395
2006 2 0.3349377 0.366152572 0.3349377 0.354384184
2006 3 0.3008803 0.350673825 0.3008803 0.351205111
2006 4 0.3798028 0.349479543 0.3798028 0.359615937
2007 1 0.4262022 0.375698404 0.4262022 0.370205514
2007 2 0.3628063 0.390762233 0.3628063 0.384457661
2007 3 0.3304178 0.382516833 0.3304178 0.393101343
2007 4 0.512922 0.488035072 0.512922 0.393778519
2008 1 0.3803473 0.324563822 0.3803473 0.399943228
2008 2 0.3675743 0.392897383 0.3675743 0.405058564
2008 3 0.3771917 0.431783267 0.3771917 0.405999905
2008 4 0.3930846 0.37324272 0.3930846 0.398527561
2009 1 0.4510151 0.390212739 0.4510151 0.370091471
2009 2 0.3077423 0.331599027 0.3077423 0.329917722
2009 3 0.2213839 0.277244692 0.2213839 0.293094167
2009 4 0.2959298 0.280752542 0.2959298 0.274276002
2010 1 0.3378436 0.272131093 0.3378436 0.280832875
Return to Figure 3

Figure 4: Working Capital Share of Financing Gap

Year Quarter Original Series Seasonally Adjusted Original Series Trend
1989 1 0.3986464 0.34954895503696 0.3986464 0.349415550170772
1989 2 0.2905709 0.325112952031098 0.2905709 0.32499478269087
1989 3 0.3264009 0.301403669008725 0.3264009 0.30214758638921
1989 4 0.2458522 0.285273430637322 0.2458522 0.285119452600959
1990 1 0.3225838 0.273443115354907 0.3225838 0.273882346833378
1990 2 0.2295567 0.264730635809023 0.2295567 0.261835121875268
1990 3 0.2739624 0.24869351610743 0.2739624 0.258168708861575
1990 4 0.2441743 0.282948556385261 0.2441743 0.260915127238789
1991 1 0.3081693 0.259003356259052 0.3081693 0.261784807945997
1991 2 0.2268319 0.263372876141687 0.2268319 0.266002370049275
1991 3 0.3055126 0.279367929724277 0.3055126 0.272807166795826
1991 4 0.2313346 0.269999365363615 0.2313346 0.275598091210964
1992 1 0.3376018 0.287629374156357 0.3376018 0.288193136482713
1992 2 0.2700354 0.30837083327812 0.2700354 0.303168547282656
1992 3 0.3275181 0.30065871393605 0.3275181 0.302304991577665
1992 4 0.237333 0.275749205013871 0.237333 0.308458128935502
1993 1 0.3852735 0.33459361389417 0.3852735 0.330040741671946
1993 2 0.3069163 0.34623285949198 0.3069163 0.34844086930417
1993 3 0.3799174 0.353829496414439 0.3799174 0.351883116066532
1993 4 0.305117 0.342446125469598 0.305117 0.340520893988055
1994 1 0.3752753 0.323653194108431 0.3752753 0.329892273066175
1994 2 0.2949723 0.335240969006736 0.2949723 0.328234988715801
1994 3 0.3546656 0.33002940341579 0.3546656 0.339631307743436
1994 4 0.3203427 0.356253229787226 0.3203427 0.346317606107601
1995 1 0.3838346 0.331378388300921 0.3838346 0.332360505467716
1995 2 0.2676957 0.308184551154505 0.2676957 0.318259665467389
1995 3 0.3481476 0.326075890083546 0.3481476 0.310852321431212
1995 4 0.2535081 0.287243115229092 0.2535081 0.300116734650645
1996 1 0.354276 0.301207443140168 0.354276 0.29304328325914
1996 2 0.261315 0.302163654434179 0.261315 0.312313576716692
1996 3 0.3553453 0.335620286284616 0.3553453 0.321259776050781
1996 4 0.2479932 0.279402223124705 0.2479932 0.321767702109586
1997 1 0.3750039 0.321748024621638 0.3750039 0.31090862074578
1997 2 0.2526661 0.293977451583017 0.2526661 0.300180457708683
1997 3 0.3090378 0.290953018241657 0.3090378 0.291884937898408
1997 4 0.2645779 0.294109522645934 0.2645779 0.286779638764122
1998 1 0.3255008 0.27218990466181 0.3255008 0.28278550753352
1998 2 0.2518213 0.293763141783735 0.2518213 0.281911255022179
1998 3 0.3007678 0.283096191443826 0.3007678 0.29511482078494
1998 4 0.2972365 0.325867421255396 0.2972365 0.321268782165345
1999 1 0.396441 0.344072913519441 0.396441 0.3381061798636
1999 2 0.2813618 0.322337835287166 0.2813618 0.328662964045214
1999 3 0.3438203 0.326548583398849 0.3438203 0.324889817301097
1999 4 0.3082193 0.336449324942309 0.3082193 0.338843455460234
2000 1 0.4051393 0.354375041479512 0.4051393 0.353756496529261
2000 2 0.3106563 0.350054937042589 0.3106563 0.339321569012428
2000 3 0.3186327 0.301642208795655 0.3186327 0.321012299559559
2000 4 0.3065104 0.333468304218346 0.3065104 0.315702064831186
2001 1 0.3534586 0.306062482291411 0.3534586 0.319302621452259
2001 2 0.2845922 0.321913262220727 0.2845922 0.311819634544317
2001 3 0.320176 0.303191077497761 0.320176 0.308304463682743
2001 4 0.2844773 0.309531957587953 0.2844773 0.311992216285682
2002 1 0.3748189 0.330932482008895 0.3748189 0.318758659429397
2002 2 0.286672 0.323882849918637 0.286672 0.347153590204572
2002 3 0.4300424 0.410669129891248 0.4300424 0.385552101813639
2002 4 0.3727296 0.396652070416162 0.3727296 0.415322074161885
2003 1 0.46941 0.429262421420727 0.46941 0.417974415536998
2003 2 0.3642685 0.401663262771488 0.3642685 0.398472522163603
2003 3 0.3831507 0.360749563989582 0.3831507 0.375936702851352
2003 4 0.3739973 0.396871142874958 0.3739973 0.380565349385007
2004 1 0.429915 0.393543449872023 0.429915 0.416047986617379
2004 2 0.4224811 0.460814111921925 0.4224811 0.431305946564047
2004 3 0.4114285 0.384389204423243 0.4114285 0.389604116429751
2004 4 0.2486738 0.272451028124818 0.2486738 0.328769458278739
2005 1 0.4454826 0.411604158597902 0.4454826 0.315258416972939
2005 2 0.2897642 0.328907618538728 0.2897642 0.344966890479857
2005 3 0.4232041 0.392052947500955 0.4232041 0.374490905971082
2005 4 0.3367124 0.361756424734213 0.3367124 0.366018198460141
2006 1 0.3553935 0.32362977472524 0.3553935 0.327766153614662
2006 2 0.2662714 0.305243422645753 0.2662714 0.295962416029347
2006 3 0.3116432 0.277834252602008 0.3116432 0.30090553260427
2006 4 0.3327328 0.358809234149104 0.3327328 0.308600075195403
2007 1 0.302631 0.27228001830972 0.302631 0.292948372452323
2007 2 0.2365083 0.275518311286969 0.2365083 0.26959103234856
2007 3 0.3011558 0.265226062459283 0.3011558 0.258146526879953
2007 4 0.2115417 0.23860072970597 0.2115417 0.254407128674039
2008 1 0.3193889 0.289256303081979 0.3193889 0.273158348279807
2008 2 0.2553093 0.295538672410461 0.2553093 0.311409252873672
2008 3 0.3927121 0.355032540534623 0.3927121 0.344779870634063
2008 4 0.3220429 0.349180419227275 0.3220429 0.343505069565244
2009 1 0.3291453 0.299056419859336 0.3291453 0.30981913881195
2009 2 0.2613738 0.303027511103678 0.2613738 0.297970029423732
2009 3 0.3518493 0.312882679707105 0.3518493 0.317808447354282
2009 4 0.3218269 0.349288996248073 0.3218269 0.347095673527716
2010 1 0.3964516 0.365829267157773 0.3964516 0.364742884514183
Return to Figure 4

Figure 5: Financing Gap Share of Capital Expenditures - Annual vs. Quarterly Data and comparison between definitions Chari - Kehoe 2009 and Ajello 2011

Year Quarter Annual Data (definition: Chari and Kehoe 2009) Quarterly Data (definition: Chari and Kehoe 2009) Quarterly Data (definition: Ajello 2011)
1989 1 0.181282937 0.463584636301202 0.351352498596635
1989 2 0.18248470825 0.448743138574686 0.403666240898285
1989 3 0.1836864795 0.408186683969195 0.401057396589785
1989 4 0.18488825075 0.40227821723011 0.382907825528014
1990 1 0.186090022 0.392750584749597 0.375338339650192
1990 2 0.18495384075 0.430089214422799 0.401549173580992
1990 3 0.1838176595 0.346929146082494 0.35897524890145
1990 4 0.18268147825 0.434815236010093 0.392482193386996
1991 1 0.181545297 0.423706593279968 0.412683336954103
1991 2 0.1810234705 0.355266494049252 0.346048768426948
1991 3 0.180501644 0.370947321696749 0.354062817079078
1991 4 0.1799798175 0.390020300354303 0.361705365441084
1992 1 0.179457991 0.381264066869334 0.350351214154601
1992 2 0.174892499 0.39461554210246 0.338994475917076
1992 3 0.170327007 0.452094323054798 0.397055717409925
1992 4 0.165761515 0.362170640614211 0.334762863853127
1993 1 0.161196023 0.399493834375269 0.326773711845656
1993 2 0.1618415415 0.410278798702499 0.337640711377345
1993 3 0.16248706 0.408758824791612 0.321912845917807
1993 4 0.1631325785 0.376088131873183 0.31224517516781
1994 1 0.163778097 0.411288285385151 0.334058534615939
1994 2 0.16764332325 0.41652196270678 0.33778883674162
1994 3 0.1715085495 0.410940819229372 0.346966336363623
1994 4 0.17537377575 0.382650825434907 0.296860882688307
1995 1 0.179239002 0.384342634598791 0.315232498738635
1995 2 0.182621547 0.401300366104241 0.343364287079998
1995 3 0.186004092 0.438985167568863 0.350082363524558
1995 4 0.189386637 0.400836803155121 0.360752588488457
1996 1 0.192769182 0.406211784858154 0.347480973132721
1996 2 0.19752948725 0.394424692458423 0.337882089695297
1996 3 0.2022897925 0.382110703142579 0.308914022447121
1996 4 0.20705009775 0.429267036545814 0.355449716775514
1997 1 0.211810403 0.429272321029027 0.351885297655805
1997 2 0.22046140975 0.417214908713259 0.34357361930787
1997 3 0.2291124165 0.414296852964417 0.350485832176241
1997 4 0.23776342325 0.471045384451178 0.389004143869491
1998 1 0.24641443 0.439294197653312 0.408530881127621
1998 2 0.24611130475 0.530777000684672 0.434055068515859
1998 3 0.2458081795 0.473997626781455 0.391648571912893
1998 4 0.24550505425 0.486699850106612 0.375762326733206
1999 1 0.245201929 0.477800764802097 0.35616345621429
1999 2 0.26425806025 0.4634236530909 0.360191307967104
1999 3 0.2833141915 0.532536890278854 0.398641554643039
1999 4 0.30237032275 0.493110503916504 0.37765033980123
2000 1 0.321426454 0.546438069387533 0.384301012641934
2000 2 0.31156935 0.583519406873193 0.42380615729653
2000 3 0.301712246 0.562958220735319 0.445160719519784
2000 4 0.291855142 0.552377037048244 0.402898272683875
2001 1 0.281998038 0.603342634417308 0.466788349024916
2001 2 0.2578554025 0.521730113438611 0.394410442396644
2001 3 0.233712767 0.500962818499164 0.392841869575309
2001 4 0.2095701315 0.501902818241474 0.392615537172319
2002 1 0.185427496 0.439671987150687 0.350387502158038
2002 2 0.17062268875 0.486526959831763 0.377214271415489
2002 3 0.1558178815 0.410784206409678 0.291873775533376
2002 4 0.14101307425 0.423541478778618 0.294471080662169
2003 1 0.126208267 0.395868281973863 0.266374600705219
2003 2 0.132210098 0.370466748415317 0.268481578279614
2003 3 0.138211929 0.401187838964684 0.326169474076158
2003 4 0.14421376 0.356790828560602 0.245487501096223
2004 1 0.150215591 0.367985101353286 0.269807803350381
2004 2 0.15528503675 0.391925442760228 0.271823570352689
2004 3 0.1603544825 0.387666110918499 0.309451769445674
2004 4 0.16542392825 0.391018470726942 0.447802033136421
2005 1 0.170493374 0.483740857272851 0.340311439371239
2005 2 0.1697834375 0.375567751903197 0.319941648827397
2005 3 0.169073501 0.455260944089082 0.346703156203153
2005 4 0.1683635645 0.485793161983647 0.386217632132562
2006 1 0.167653628 0.424112405005362 0.338903633618758
2006 2 0.16437436225 0.423063925136072 0.36615256828683
2006 3 0.1610950965 0.383614590272282 0.350673823380956
2006 4 0.15781583075 0.417660832877306 0.349479555739176
2007 1 0.154536565 0.397143130393349 0.375698397327313
2007 2 0.174077223 0.408008426978963 0.390762221781716
2007 3 0.193617881 0.419710776424998 0.382516835517349
2007 4 0.213158539 0.357258034270624 0.488035098201906
2008 1 0.232699197 0.383207532397925 0.324563798684353
2008 2 0.2098707975 0.431429210486827 0.392897372528186
2008 3 0.187042398 0.570921244424945 0.431783272848551
2008 4 0.1642139985 0.486561521409548 0.373242761536701
2009 1 0.141385599 0.422540289271768 0.39021269423932
2009 2 0.14031189675 0.357398705822939 0.331599018121483
2009 3 0.1392381945 0.294422115368517 0.277244702562432
2009 4 0.13816449225 0.337858704177152 0.280752599300882
2010 1 0.13709079 0.355853857069896 0.272131024366397
Return to Figure 5

Figure 6: Share of Financing Gap Funded with Portfolio Liquidations

Year Quarter Original Series Seasonally Adjusted Original Series Trend
1989 1 0.2444635 0.205058317159516 0.2444635 0.189864767973725
1989 2 0.0213122 0.0135851525265214 0.0213122 0.271896719634441
1989 3 0.4709328 0.580398785705318 0.4709328 0.348502290030673
1989 4 0.4245909 0.35311042108452 0.4245909 0.355448363378609
1990 1 0.3280011 0.305507538321322 0.3280011 0.294956294452705
1990 2 0.2370182 0.228370551867204 0.2370182 0.20371424542042
1990 3 0.0116291 0.0993994778312515 0.0116291 0.181649285061822
1990 4 0.3227865 0.257325593416196 0.3227865 0.249015306358331
1991 1 0.3897946 0.396771721963047 0.3897946 0.342331439669149
1991 2 0.4044018 0.383449735641057 0.4044018 0.38970133198875
1991 3 0.299742 0.355385557957745 0.299742 0.38589086380104
1991 4 0.4373238 0.38935490577132 0.4373238 0.3741247879078
1992 1 0.332704 0.367144079106781 0.332704 0.346539214041936
1992 2 0.3258487 0.29744131899626 0.3258487 0.316213845206954
1992 3 0.2494725 0.262493085817425 0.2494725 0.286491388417076
1992 4 0.3701366 0.347742539031922 0.3701366 0.283819859559089
1993 1 0.1852823 0.235904611012345 0.1852823 0.331840122733756
1993 2 0.4304226 0.406139683963261 0.4304226 0.375383862003809
1993 3 0.4684123 0.443488550038236 0.4684123 0.335902859750501
1993 4 0.1876356 0.181436430838541 0.1876356 0.246868731517562
1994 1 0.0441933 0.104431040665112 0.0441933 0.190500493643576
1994 2 0.3084687 0.297037467031154 0.3084687 0.20449766562448
1994 3 0.3136638 0.257194097854978 0.3136638 0.247837671737575
1994 4 0.0466992 0.0491963571334655 0.0466992 0.254142290365076
1995 1 0.2628249 0.328450928911058 0.2628249 0.243266308341868
1995 2 0.1923795 0.189429214113056 0.1923795 0.226411965928671
1995 3 0.2652763 0.19954947072922 0.2652763 0.200337417200522
1995 4 0.1345559 0.137964940658795 0.1345559 0.149275900702739
1996 1 0.1136511 0.169984437843926 0.1136511 0.0915867084813573
1996 2 -0.0962963 -0.0864568363252643 -0.0962963 0.0613095852532085
1996 3 0.1564428 0.0898493142952566 0.1564428 0.075120551415705
1996 4 0.1862343 0.191610518208663 0.1862343 0.114679901463524
1997 1 0.0186959 0.0582083339241596 0.0186959 0.133634988864758
1997 2 0.1436872 0.167559543657874 0.1436872 0.124730796057344
1997 3 0.1470781 0.0848168529778326 0.1470781 0.112639697993226
1997 4 0.1512237 0.150977608502323 0.1512237 0.10491836950189
1998 1 -0.0122558 0.021377751641695 -0.0122558 0.0974690585719636
1998 2 0.1305471 0.158841984427327 0.1305471 0.0967029037403039
1998 3 0.13607 0.0734938437904412 0.13607 0.0959766990847596
1998 4 0.0275451 0.0307076857430823 0.0275451 0.0580355176908905
1999 1 0.0059165 0.0406504477554971 0.0059165 -0.0435532959400248
1999 2 -0.36872 -0.347935087784621 -0.36872 -0.203639428300679
1999 3 -0.1600437 -0.222760065302503 -0.1600437 -0.369694515847675
1999 4 -0.5403527 -0.522260721741932 -0.5403527 -0.437066584696034
2000 1 -0.3458734 -0.328414661524956 -0.3458734 -0.362419067332152
2000 2 -0.220897 -0.199261840232008 -0.220897 -0.176799780780352
2000 3 0.0713729 0.0164179432879684 0.0713729 0.0171140050409562
2000 4 0.1801743 0.207721303406207 0.1801743 0.117841936170423
2001 1 0.0605912 0.0587038861149578 0.0605912 0.130366259933177
2001 2 0.0996668 0.118818206623575 0.0996668 0.0946894981542359
2001 3 0.1133961 0.0764563688115936 0.1133961 0.0815400935461935
2001 4 0.0860215 0.117828239425506 0.0860215 0.126139926494821
2002 1 0.2255854 0.20751334497831 0.2255854 0.24587121722374
2002 2 0.3901021 0.390620108263219 0.3901021 0.383911084338678
2002 3 0.553865 0.550804025976764 0.553865 0.462455224553769
2002 4 0.2884785 0.322553365980485 0.2884785 0.406359393291434
2003 1 0.4478044 0.420841229906858 0.4478044 0.237805778132735
2003 2 -0.058406 -0.0885534390208648 -0.058406 0.142991634083952
2003 3 0.0927347 0.117585696278616 0.0927347 0.187625469803459
2003 4 0.4300187 0.487592564089133 0.4300187 0.310902172751009
2004 1 0.2902063 0.232596505819414 0.2902063 0.396979905408416
2004 2 0.8371286 0.792980314783673 0.8371286 0.361537078026521
2004 3 0.232187 0.274622860099745 0.232187 0.312959230685813
2004 4 0.2475496 0.329439665939318 0.2475496 0.373843338323126
2005 1 0.5488302 0.464403169579667 0.5488302 0.476701966229293
2005 2 0.7216765 0.67206989154992 0.7216765 0.543214013517138
2005 3 0.3710375 0.419242873377711 0.3710375 0.500838738899485
2005 4 0.3255484 0.425920203962601 0.3255484 0.41497575133331
2006 1 0.4760698 0.371886232743172 0.4760698 0.39747112609642
2006 2 0.4675223 0.415299007595951 0.4675223 0.420120666870052
2006 3 0.4417425 0.505725497448007 0.4417425 0.434118043395973
2006 4 0.2126587 0.304579858504166 0.2126587 0.402750606630602
2007 1 0.5707554 0.464242755014437 0.5707554 0.351726040999156
2007 2 0.2195087 0.166981050441268 0.2195087 0.285986596830911
2007 3 0.5502952 0.630807832392134 0.5502952 0.227658778769641
2007 4 0.0180518 0.0908554635724118 0.0180518 0.196770297290543
2008 1 0.3939733 0.284056973304417 0.3939733 0.243634528748164
2008 2 0.3664663 0.320718499532175 0.3664663 0.355425519658289
2008 3 0.3689133 0.474487484891167 0.3689133 0.463496957167726
2008 4 0.5197373 0.556146899191352 0.5197373 0.469027251244516
2009 1 0.3938911 0.294098825362636 0.3938911 0.366972280941481
2009 2 0.3605667 0.31385313033062 0.3605667 0.256158800413292
2009 3 -0.1995479 -0.0696260524197209 -0.1995479 0.246733495387258
2009 4 0.5267777 0.531002287049266 0.5267777 0.341095967703859
2010 1 0.4937445 0.40850962320299 0.4937457 0.436409768016725
Return to Figure 6

Figure 8: Impulse responses to a one standard deviation financial shock. The dashed lines represent 90 percent posterior probability bands around the posterior median.

Periods 5% (GDP) Median (GDP) 95% (GDP) 5% (Investment) Median (Investment) 95% (Investment) 5% (Consumption) Median (Consumption) 95% (Consumption) 5% (Price of Capital) Median (Price of Capital) 95% (Price of Capital) 5% (Federal Funds Rate) Median (Federal Funds Rate) 95% (Federal Funds Rate) 5% (Inflation) Median (Inflation) 95% (Inflation) 5% (Hours) Median (Hours) 95% (Hours) 5% (Wages) Median (Wages) 95% (Wages) 5% (Spread) Median (Spread) 95% (Spread)
0 -0.522027671143067 -0.442367982647063 -0.369990214798926 -2.25972102418404 -1.99685695655725 -1.77026091806505 -0.137251101662904 -0.0914052335161175 -0.0485090284559636 -4.87965074005053 -4.24732542545483 -3.69452401649711 -0.194974104955179 -0.165664878943346 -0.141525231591445 -0.779963597720009 -0.649255900771726 -0.531220901725875 -0.347873582898394 -0.258997044928973 -0.177510535055259 -0.0891420729317621 -0.0592059233091136 -0.0320330742447705 1.22061816373204 1.42551265130591 1.68132233364546
1 -0.683296312084347 -0.576713513696581 -0.47948815542189 -2.63050526640474 -2.31618921448947 -2.03281243731881 -0.240964498022204 -0.179659950359479 -0.121429765499315 -4.47302568033755 -3.88166341843103 -3.3594702238606 -0.457447927479117 -0.394063407432364 -0.340738098465316 -0.836303973948801 -0.703977793888399 -0.59528063081095 -0.550423929900818 -0.432435470714843 -0.323969203805973 -0.16004227882262 -0.119191113686479 -0.0852499143682844 1.19673096730902 1.39482923155766 1.63845133159203
2 -0.712117200548867 -0.600363451982633 -0.493493831089861 -2.6791310353035 -2.35689698386771 -2.05296910697148 -0.265010841470608 -0.197257665201023 -0.133550069678809 -4.13557474845175 -3.57960020107309 -3.0860238828726 -0.733779621521312 -0.642319717537846 -0.56099926900032 -0.768582572555882 -0.658627776788624 -0.563981904305286 -0.573120178347376 -0.449789190815961 -0.331131579641382 -0.178173364383297 -0.129874819788012 -0.0908118079502529 1.17459113112715 1.36595105754029 1.59757772905504
3 -0.694585831608252 -0.582133400895324 -0.472675075415406 -2.61175570767992 -2.28260534434638 -1.97911113223903 -0.259687744849947 -0.191548307116562 -0.125130022274386 -3.89151748167088 -3.35366940770659 -2.88443465309094 -1.00810947230162 -0.890028572716325 -0.784744722533427 -0.687738277157892 -0.598009546196177 -0.516074781923487 -0.531968360603369 -0.407186829125116 -0.289167703679359 -0.175472886879037 -0.123143783583357 -0.0802617253108345 1.15370864331868 1.33745916695122 1.55560740779821
4 -0.677000049104389 -0.565288402923037 -0.454292772854442 -2.52303542248895 -2.19852905934479 -1.89556935234305 -0.259468331930733 -0.189682554367054 -0.12213881028885 -3.73070990977475 -3.21179647883887 -2.76066548318696 -1.08412522842644 -0.968459728742798 -0.863629228946057 -0.622350692252137 -0.542997058928111 -0.470742667591136 -0.491933795278819 -0.367332543708319 -0.250038626322723 -0.174762496643932 -0.119512365352148 -0.0762010604154645 1.13363845359227 1.30936347933361 1.51589718469695
5 -0.66033270460307 -0.549604623979283 -0.439978611777475 -2.42973975976513 -2.11439872753324 -1.82001876288161 -0.261794083573951 -0.190560492164993 -0.122817578874268 -3.61334177638913 -3.10907009771337 -2.66561045578175 -1.08784818091775 -0.979860173560453 -0.877702866440182 -0.568392561557503 -0.497276009941455 -0.430981989439217 -0.454051920847143 -0.330354640409227 -0.217242227882834 -0.175359754685465 -0.118766559252914 -0.0771374847382667 1.11329289748538 1.28217832006357 1.47817028348972
6 -0.645111557967917 -0.534780042945837 -0.42853531429228 -2.33713377654942 -2.03003817706516 -1.75175826890785 -0.264574609621352 -0.192605533299095 -0.12470200528523 -3.51579460055144 -3.02283250589445 -2.59135971685074 -1.06619963216173 -0.963499267385279 -0.86534867055803 -0.525320132696025 -0.459264858991191 -0.397089675194452 -0.41382944411528 -0.295309918033852 -0.190205064066879 -0.177689727465929 -0.120445196118735 -0.0806906098119381 1.09315411004447 1.25448980982716 1.44169485987653
7 -0.62960189062534 -0.521820214704338 -0.419341205292384 -2.243284940812 -1.95146344627041 -1.68852788675507 -0.266314997361124 -0.195791034372539 -0.129028995343182 -3.43160427340489 -2.94603967977747 -2.52166635340333 -1.03884473778412 -0.938337363429737 -0.844827446152041 -0.490908484702596 -0.428796874283712 -0.370128051735303 -0.375812603093023 -0.26454370669613 -0.164769096925535 -0.180173061361735 -0.124133676690219 -0.086452770798664 1.07450178059802 1.22804703766338 1.40631321750738
8 -0.61627164123671 -0.511179696783437 -0.412476826251612 -2.16162668372743 -1.8811314077435 -1.63163715531038 -0.270002860962837 -0.199708595603076 -0.134444258240719 -3.3583945039496 -2.87896445476336 -2.4542968739546 -1.00585674659712 -0.909177476254075 -0.818608995256751 -0.463126242821723 -0.403646734330942 -0.347200685182514 -0.342652389512813 -0.238265570016619 -0.145799072225879 -0.183162002265349 -0.129811806047575 -0.093867168016194 1.05553701327204 1.20233795438054 1.37409080519883
9 -0.60519028111316 -0.503173954992975 -0.40790464289527 -2.08624000708556 -1.81799987804957 -1.57909531066556 -0.274382498875134 -0.204499522038915 -0.140640670090075 -3.28643929706926 -2.81496954803041 -2.39141186549431 -0.971831349393862 -0.878527231175796 -0.791147735620773 -0.439601774533214 -0.382875020934973 -0.327763735274878 -0.315575246010604 -0.216706358337161 -0.129972490104605 -0.187717096901622 -0.136805444531873 -0.102861094903887 1.0369264482023 1.17709367365638 1.34183246825582
10 -0.595785404578809 -0.496889069073214 -0.404071576061186 -2.01955566249081 -1.76279230020097 -1.53450753960225 -0.279571423690128 -0.210304288412178 -0.147611194177602 -3.21955904240894 -2.7519050276231 -2.33213822611208 -0.937025847281383 -0.848267110329539 -0.764757913069114 -0.420087768172241 -0.365281192646004 -0.311646146913918 -0.291738541944928 -0.198166565490695 -0.117339559589428 -0.193217707507422 -0.144718612318784 -0.111603848410541 1.01750855141547 1.15241637105977 1.3104667296873
11 -0.588848659275234 -0.491919190376033 -0.402298487686001 -1.96206227959407 -1.71308119457374 -1.48953585871964 -0.285101314272901 -0.216687726047327 -0.155073399988083 -3.15503261923036 -2.69189481587289 -2.27568345779379 -0.902655790155022 -0.818943448737302 -0.739156145355718 -0.403053631461933 -0.350301996580816 -0.29824645628131 -0.2709337416805 -0.182376146107438 -0.106821123835054 -0.199496967690026 -0.152976269843952 -0.120663029355201 0.997524586948964 1.12787682091966 1.27938878455746
12 -0.583449250453026 -0.488396073318675 -0.40090224000127 -1.90520992150812 -1.66731426747684 -1.45018013862216 -0.291170639549482 -0.223299416807399 -0.162739506052175 -3.09215768644097 -2.63455202442094 -2.22012124106458 -0.871621300395992 -0.791303397464641 -0.713399155728275 -0.387925563901455 -0.337267611806904 -0.286300611111941 -0.253735093719015 -0.169553326449906 -0.0984338299424499 -0.205913809600875 -0.161378626692965 -0.129719154356776 0.978813401306748 1.10433232856811 1.24894241565129
13 -0.578491666278431 -0.485635504609838 -0.400073834472025 -1.85529398346889 -1.62539444049087 -1.41250488871862 -0.297542949799339 -0.230382347848079 -0.169971588174035 -3.03383936290151 -2.57831952129924 -2.16426125728768 -0.842609503623588 -0.764966281982627 -0.689953949326009 -0.374409530193235 -0.325728274925204 -0.276046381198362 -0.238703571266393 -0.158327229449317 -0.090987848206939 -0.213155814895546 -0.169725921754216 -0.138129260742867 0.958286971701447 1.08091243207452 1.21969128035691
14 -0.57450697057607 -0.483568943270818 -0.399270625669897 -1.81046686136977 -1.58524082701882 -1.37646666732698 -0.303505158463013 -0.237222849919783 -0.177299375557569 -2.97679714754814 -2.52468143926125 -2.11377741267064 -0.814686875047513 -0.739616813021124 -0.667477015568826 -0.363005563801064 -0.315496498003964 -0.266824016248156 -0.224561898983892 -0.148602655470831 -0.0844461885585584 -0.220377201570702 -0.177753149135662 -0.146170980556513 0.939526655928023 1.05728429209658 1.19272533753929
15 -0.570469537664626 -0.481694640850927 -0.398449576560133 -1.76652600406177 -1.54688352176693 -1.34337696851077 -0.30949666584876 -0.243961047438346 -0.184582382457987 -2.92118906002382 -2.46988571677385 -2.05818471594753 -0.788982880124871 -0.716204764893306 -0.644904632347727 -0.352667000643122 -0.305696088867052 -0.258082940031756 -0.213156775847136 -0.140137044086557 -0.0795443378201644 -0.227591564192779 -0.185572681573642 -0.153735018365458 0.919418992790385 1.03441802323798 1.1656590406752
16 -0.567644329918381 -0.479883894569033 -0.397802037065682 -1.72774364259556 -1.51092233115908 -1.30997286509783 -0.315789243576665 -0.250389797101291 -0.191184294306415 -2.86786674187643 -2.4162354244659 -2.0076246735927 -0.764595257956539 -0.694100384712571 -0.624389632449988 -0.342495069862183 -0.296381406006443 -0.24987779199144 -0.203219634201634 -0.132227288869873 -0.0747037260506882 -0.234306896180406 -0.193188691979462 -0.160746541808384 0.899935605040918 1.01221446091562 1.1396816292719
17 -0.564443294416279 -0.478262571590515 -0.397901264603789 -1.69161454577548 -1.47783309918792 -1.27786203359812 -0.32111035471822 -0.256460802462177 -0.198138776455346 -2.81559578026822 -2.36396925406411 -1.95653008870692 -0.741294632240967 -0.672572524831232 -0.604128878274189 -0.333008532532249 -0.287770813092151 -0.242221269221451 -0.193601721345497 -0.125559838197236 -0.0704235317833296 -0.240271043760985 -0.200203318910319 -0.166836344554187 0.880256164518406 0.990521570329301 1.11484288718586
18 -0.561369204817942 -0.476750219775601 -0.397583319853455 -1.65479636450285 -1.44590158969178 -1.24643821414407 -0.326909110219486 -0.26253146412909 -0.204378524816717 -2.76574352805042 -2.3135020390269 -1.90707165198168 -0.719606756633998 -0.651997800402172 -0.584711931865632 -0.324255092507663 -0.279667198610584 -0.23479461831549 -0.185031280159044 -0.119545428055788 -0.0667104119536359 -0.247114151187963 -0.206878516945508 -0.173071651329028 0.860706739299023 0.969622580922017 1.09054486436034
19 -0.55868395913223 -0.475199902262902 -0.397053754065941 -1.62135983501212 -1.41392424491648 -1.21567614990389 -0.332202408325952 -0.26805116949874 -0.210388031396427 -2.7164946932538 -2.26400574728068 -1.85437218581195 -0.698734041341847 -0.631999726999341 -0.565553013598711 -0.315380817385401 -0.27196863465871 -0.22779677563871 -0.176985693875703 -0.114025259116711 -0.063565273248557 -0.253616212201102 -0.212882459987995 -0.178752283199816 0.840046239512238 0.948919596005117 1.06632924250424
20 -0.556253393162666 -0.473708945478746 -0.396393772542019 -1.58792655715018 -1.38441170560032 -1.18515061863656 -0.337283654273012 -0.273394687445938 -0.21618451632417 -2.66972456656719 -2.21619704750547 -1.80680122384242 -0.679161335370642 -0.613245122308439 -0.546614503077415 -0.307206431882363 -0.264580162702331 -0.220814083908934 -0.169905733605866 -0.108961248988057 -0.0605594456095959 -0.259093438596481 -0.218375635353341 -0.184017380662333 0.820500810002815 0.928437239363337 1.04478618997583
21 -0.554336277659286 -0.472168087974745 -0.395946997980048 -1.55916434812321 -1.35539839466091 -1.15511921136985 -0.341848481607371 -0.278262761545745 -0.22158418941974 -2.62097375646923 -2.16930523885902 -1.76028189520932 -0.660103000578688 -0.595367968879327 -0.528146357734333 -0.299633433275508 -0.257463602942938 -0.214100254136056 -0.163230519848461 -0.104271311085555 -0.0577623787435863 -0.264610904846292 -0.223692776771101 -0.188772166941953 0.800756114247374 0.908234927248743 1.02355795925341
22 -0.552117417673653 -0.470572297558247 -0.394761346949587 -1.52841577512673 -1.32618081431353 -1.12756530749932 -0.346370434017736 -0.282892926055012 -0.226288969198152 -2.57322338783099 -2.12254897218313 -1.71337206925934 -0.64203626062013 -0.57826832435961 -0.509690360373356 -0.292580726344973 -0.250677428382592 -0.207332121638772 -0.157108981813635 -0.099829106354914 -0.0552683246618684 -0.269814346929994 -0.228630287439868 -0.193425644600602 0.782323990571518 0.888646249520005 1.00266016795261
23 -0.549942803013254 -0.469269692975116 -0.393293096477138 -1.50076898415869 -1.29798864066192 -1.10041356984603 -0.350189456149241 -0.287401619067362 -0.23127898080692 -2.52526066893706 -2.07739823540491 -1.66961033199566 -0.624785936816058 -0.561361769565202 -0.49247350503387 -0.285388494617392 -0.244226616034456 -0.201088169658882 -0.151274095953032 -0.0957738692953684 -0.0529358629408103 -0.274605188496763 -0.233256910254942 -0.197524759413367 0.763882455565488 0.869414591041458 0.982184304262388
24 -0.547925815232373 -0.467373513954661 -0.391311030170624 -1.47237859261118 -1.27063099001898 -1.07191626445566 -0.353959284109749 -0.291572118909367 -0.235681725527594 -2.48385361925391 -2.0322816895007 -1.62646409907337 -0.607837091487066 -0.545228199009435 -0.475999525396013 -0.27857829829413 -0.237696314031452 -0.195176385893904 -0.145566091942555 -0.0919717181347204 -0.0507474423003337 -0.279087659845895 -0.237473284872669 -0.201295155055274 0.745703790410212 0.850742885502507 0.961498064938794
25 -0.546486902130218 -0.465512037832583 -0.389530344639165 -1.44736690148368 -1.24400190271383 -1.04544907898897 -0.357051009546893 -0.295284078725278 -0.239435085312397 -2.44021030359434 -1.98856310841722 -1.58609380094306 -0.591883315458957 -0.529597733338751 -0.459940579859835 -0.271903941792044 -0.231622628618217 -0.189640147068347 -0.140302933754564 -0.0883584788246482 -0.0486142856521627 -0.283265826145731 -0.24139256070923 -0.204445995532228 0.727074615797201 0.832336993967292 0.942588597482987
26 -0.543308465977638 -0.463230957318217 -0.387989034374961 -1.42109529484831 -1.21825849583209 -1.02063304483466 -0.359958241716122 -0.298696546238075 -0.243074264340025 -2.39396622002593 -1.94610677130311 -1.54418156942572 -0.576432293658213 -0.514295895768852 -0.443936420160249 -0.265866724708024 -0.225839600378928 -0.183933146223299 -0.135167470588153 -0.0849444623455393 -0.0468040856901716 -0.287092219089214 -0.244802845151837 -0.207218903326102 0.708927756732232 0.814302483778623 0.923474479298799
27 -0.540890569125572 -0.46104703509986 -0.385593504338442 -1.39740268658842 -1.19251002360044 -0.994110649494605 -0.362911723538264 -0.301691908440793 -0.24579281381737 -2.3512090263957 -1.90499804491771 -1.5031324762366 -0.56172685638418 -0.499295080213437 -0.428064044350522 -0.25974204426747 -0.21999044422308 -0.178447449455177 -0.13045316700257 -0.0817915165102613 -0.0449726227613497 -0.290702081117408 -0.248017259422118 -0.210053704904839 0.690729337778927 0.797853517059761 0.905617341106294
28 -0.538444872165767 -0.458686313417522 -0.383195020095512 -1.373796967948 -1.1689592316672 -0.969252618103133 -0.36560453013019 -0.304449550666663 -0.24886023834913 -2.30978384365456 -1.86371196175169 -1.46310905587827 -0.548003125228816 -0.485059605527864 -0.413591849608738 -0.253847206885347 -0.214389523694174 -0.173311810290341 -0.125879586660656 -0.078779413075605 -0.0431484360567122 -0.293778567508603 -0.250917078547153 -0.212048640969986 0.67278086739784 0.780893735999125 0.888018252810842
29 -0.535470285610711 -0.456426671872723 -0.380864603749571 -1.35052207569771 -1.14436213771474 -0.944730024979812 -0.367504400026897 -0.307065531225215 -0.251392819580772 -2.2701666900676 -1.8242702132927 -1.42333641532376 -0.534456096935603 -0.471232359297497 -0.398519030289967 -0.248164179219317 -0.208982629059478 -0.168013809947302 -0.121618978857712 -0.0760020900284611 -0.041407894683719 -0.296612951088969 -0.253484436172602 -0.214181163010184 0.655002928114804 0.764657945360993 0.871878873628132
30 -0.531988709927009 -0.453884885238121 -0.378376889114218 -1.327550515123 -1.12093927310418 -0.92167758583408 -0.369199681976878 -0.309374525302308 -0.254179662650628 -2.22922769893872 -1.78502488928249 -1.38735659187935 -0.521505188763287 -0.458002392660816 -0.384553186447365 -0.242806259009951 -0.203678583404971 -0.162651514619988 -0.117456923544309 -0.0731637590599893 -0.0398853481783042 -0.299454131184636 -0.255773705719076 -0.216091274922053 0.638486213576252 0.748339043558085 0.856122251568536
Return to Figure 8

Figure 9: Impulse Response Functions to Financial Shock - Comparison between model with sticky wages and flexible wages

Periods Flexible Wages (GDP) Sticky Wages (GDP) Flexible Wages (Investment) Sticky Wages (Investment) Flexible Wages (Consumption) Sticky Wages (Consumption) Flexible Wages (Entrepreneurs Consumption) Sticky Wages (Entrepreneurs Consumption) Flexible Wages (Workers Consumption) Sticky Wages (Workers Consumption) Flexible Wages (Wages) Sticky Wages (Wages)
0 -0.246395796370069 -0.442583347220837 -1.54738670631496 -2.01563453300031 0.018636122294291 -0.0930295843695195 0.381673506188717 0.522360530083123 -0.00959639178381621 -0.145281376697364 -0.0461252416232489 -0.261424309016143
1 -0.26404363658874 -0.597433279904069 -1.67716091224742 -2.37341836067509 0.0268992940048785 -0.197250528408066 0.617341047780243 0.730260468393273 -0.0190195515002262 -0.276109293310839 -0.0661875491347501 -0.459260819636949
2 -0.260334902123627 -0.628565183814156 -1.67150085764823 -2.4267988838118 0.0305965197741953 -0.222297324041065 0.781278312598378 0.868129591869519 -0.0277848664584372 -0.315042725353742 -0.0541778909278578 -0.485753812095333
3 -0.253141990142813 -0.611167170612847 -1.6248578441707 -2.35746237987542 0.0292414936932772 -0.217166721980722 0.86794370841647 0.928729747790682 -0.0359845750524265 -0.3146095534157 -0.0356279707570178 -0.445023433422912
4 -0.251885612717784 -0.594041722254035 -1.58901988820773 -2.27562543152532 0.0230554853529963 -0.215463842007868 0.883808714811019 0.913937721016265 -0.0438834869603564 -0.31150209642093 -0.0240940593346188 -0.404368162606917
5 -0.253430859559334 -0.577869654497043 -1.55792309868923 -2.18997575464588 0.0145055319621612 -0.215887050664265 0.865173849960125 0.867579576609624 -0.0516470378376057 -0.308026034426963 -0.0161384699429179 -0.365730355062058
6 -0.256532988207192 -0.562590657883899 -1.52999194089213 -2.10555490317564 0.00476042631836204 -0.217115690368663 0.82922784527163 0.809215225343383 -0.0593530414637109 -0.304406255980467 -0.0104645920760231 -0.329451072497509
7 -0.26032519986855 -0.548871303190335 -1.50353074338099 -2.02618681691381 -0.00550178790388323 -0.219038821156614 0.785580373086608 0.746936418203887 -0.0670184407480326 -0.301209222433041 -0.00610062758414584 -0.296549222392755
8 -0.264378597294601 -0.53760840147794 -1.47780399967831 -1.95453301990043 -0.0159220074045452 -0.222120882258836 0.739001717082644 0.683768135517366 -0.0746273265234012 -0.299196798567825 -0.00256006461260816 -0.268209136040998
9 -0.268465758524517 -0.528808367173872 -1.45247322488666 -1.89072339479406 -0.0262980737159135 -0.226340862078755 0.691906222120032 0.621645386062928 -0.0821495950691615 -0.298510538623058 0.000424817572060067 -0.244363987075244
10 -0.272486836652264 -0.52207891762821 -1.42749583688719 -1.83381668780936 -0.0365171545146925 -0.231444170056472 0.64543137317951 0.56166975148595 -0.0895520521643283 -0.298967285002728 0.00297810804633441 -0.224393039808132
11 -0.276399822261064 -0.51696501373999 -1.40293677334142 -1.78265096105443 -0.0465129940022457 -0.237151626996168 0.600099647848375 0.504326932130505 -0.0968038432284279 -0.300304830166471 0.00516051753494707 -0.207590763138853
12 -0.280184546974061 -0.513075979882505 -1.37886987532386 -1.73617443486518 -0.0562441372802813 -0.243236537349023 0.556146850823875 0.449727735232926 -0.103878534151992 -0.302286162835329 0.00701076820618291 -0.19334547867149
13 -0.28382671274586 -0.510090876591152 -1.35533926300874 -1.69349353690001 -0.0656830896607508 -0.249519718830959 0.513677257410498 0.397817131428374 -0.110754500696223 -0.304711813794836 0.00856337788121453 -0.181149441480765
14 -0.28731333123907 -0.507751433321202 -1.33235716896546 -1.65387504786744 -0.0748112000747869 -0.255860306006639 0.472730403263759 0.348475841367951 -0.117414612714804 -0.307418487214641 0.00985284401060325 -0.170589422221835
15 -0.290632389042012 -0.50585520347971 -1.3099136036119 -1.61673517431571 -0.0836160490691018 -0.262150015770435 0.433310350994232 0.301564107532577 -0.123845698107444 -0.310276549832286 0.0109130265383522 -0.161336407151981
16 -0.293773516966422 -0.504247712353634 -1.28798673080639 -1.581620125574 -0.0920899123920904 -0.268308217995472 0.395399835090677 0.256940932260776 -0.130037989122979 -0.313186313095143 0.0117756474535026 -0.153133600718345
17 -0.296728489835496 -0.502813241631572 -1.26655021951964 -1.548181891356 -0.100228705680105 -0.274276462794343 0.35896838529703 0.214473425710624 -0.135984618230515 -0.316072883531848 0.0124692785009736 -0.1457826363354
18 -0.299491354412718 -0.50146613422678 -1.24557743893451 -1.51615504617288 -0.108031190416247 -0.280013385118494 0.323977639659603 0.174040472337432 -0.141681176516304 -0.318880939256074 0.0130189817354425 -0.139130665337574
19 -0.302058288279594 -0.500143568681211 -1.22504342280563 -1.48533720748635 -0.115498356264643 -0.28549052933422 0.29038496787757 0.13553317204477 -0.147125330381727 -0.321570231319193 0.0134464038450344 -0.133059635908399
20 -0.304427331881929 -0.498799891273327 -1.20492555316424 -1.45557351850284 -0.122632938293865 -0.290689116715726 0.258145884317012 0.0988537811369862 -0.15231648921294 -0.324111981664004 0.0137700962823193 -0.127477871091796
21 -0.306598091908683 -0.49740226381384 -1.18520362226949 -1.42674465185737 -0.129439039920776 -0.295597581147866 0.227215570279379 0.0639141822580989 -0.157255517519544 -0.326486075412279 0.0140059062679226 -0.122313592768254
22 -0.308571465359775 -0.495927367334825 -1.16585964598585 -1.39875770342889 -0.135921837471842 -0.300209706426802 0.197549770734317 0.0306343496304833 -0.161944486247391 -0.32867890618618 0.0141673579774028 -0.117510009421783
23 -0.310349401359178 -0.494358936203865 -1.14687760799064 -1.37153938286992 -0.142087346622943 -0.304523231448983 0.169105280597944 -0.00105901401805303 -0.166386458758718 -0.330681744270856 0.0142659922337204 -0.113021633514345
24 -0.311934701633376 -0.49268593124866 -1.12824320723859 -1.34503097905202 -0.147942235447174 -0.308538813924264 0.141840179561442 -0.0312336183420501 -0.170585307415764 -0.332489513153578 0.0143116583225068 -0.108811544698024
25 -0.313330854631511 -0.490901193887916 -1.1099436311422 -1.31918466468026 -0.153493672833283 -0.312259263401793 0.115713922564873 -0.0599525069723212 -0.174545557006292 -0.334099877305617 0.0143127617926915 -0.104849365187379
26 -0.314541897283993 -0.489000456732513 -1.09196735748965 -1.2939607943976 -0.158749204237163 -0.315688973747363 0.090687352437216 -0.0872747860792185 -0.178272251537821 -0.335512563092269 0.0142764747802618 -0.101109763337344
27 -0.315572299222588 -0.486981615894866 -1.07430398238062 -1.26932593182154 -0.16371664904038 -0.318833502235105 0.0667226732933047 -0.113256193806568 -0.181770841243187 -0.33672885253241 0.0142089150675552 -0.0975713454653059
28 -0.316426865432218 -0.484844194366374 -1.0569440707152 -1.24525140742777 -0.168404015364498 -0.321699256048713 0.043783405830252 -0.137949543681266 -0.185047086977737 -0.337751204502149 0.0141152989831724 -0.0942158315523983
29 -0.317110654255981 -0.482588944425932 -1.0398790263013 -1.22171226102071 -0.172819429235482 -0.324293257376218 0.021834335566131 -0.161405070637595 -0.188106979527686 -0.338582969640329 0.0140000722000754 -0.0910274379177785
30 -0.317628908348033 -0.480217551079321 -1.02310097920705 -1.19868646193169 -0.176971075690557 -0.326622966056411 0.000841459556141982 -0.183670702921551 -0.190956671671685 -0.339228174115269 0.0138670217000979 -0.0879924106812886
Return to Figure 9

Figure 10: Data and Model-implied Corporate Bond Spreads

Year Quarter Model BB - AAA B - AAA CCC - AAA and lower
1989 1 0.202126002845902 1.93981612903226 3.67634838709678 6.89800967741936
1989 2 0.320208366539129 2.133 4.28221666666667 7.4848
1989 3 1.11266541930416 2.23591904761905 4.92814126984126 9.07493492063492
1989 4 3.17670602014588 2.45203174603174 5.79142857142857 11.2398412698413
1990 1 1.97408048308982 2.531403125 6.305996875 12.889215625
1990 2 2.91400277228498 2.56603015873016 6.38623650793651 13.3730301587302
1990 3 3.77242131504405 2.49496984126985 6.54390634920635 15.7953984126984
1990 4 7.22114951902367 4.08980937500001 9.02357499999999 20.621778125
1991 1 8.1793574815302 4.06994590163935 8.18474918032787 21.1256672131148
1991 2 6.9221979761775 2.55125 6.24421875 13.40184375
1991 3 5.26609162352903 2.29717692307692 5.27819230769231 11.89126875
1991 4 5.54289224597394 2.57007192982456 4.75882380952381 10.4213158730159
1992 1 6.63270502145148 2.15996774193548 3.84738095238095 8.78930158730159
1992 2 4.84771865954651 1.88145873015873 3.4813 6.98541111111111
1992 3 5.73929044710264 1.62088524590164 3.350046875 7.234640625
1992 4 5.4953920830323 1.818215625 3.603465625 7.77766875
1993 1 6.33201799305299 1.59579677419355 3.45561935483871 7.38344193548387
1993 2 6.48181997198345 1.55460158730159 3.30439374999999 7.291221875
1993 3 6.89223698033194 1.583575 3.43709062500001 7.799090625
1993 4 4.76563731615517 1.598059375 3.401246875 7.780903125
1994 1 4.03294674600926 1.227 2.80133333333333 5.40366666666667
1994 2 2.65065472773833 1.49988333333333 3.048675 6.459675
1994 3 4.23073825979656 1.46991875 3.10623125000001 6.5367625
1994 4 2.01305996768235 1.42634920634921 3.20411111111112 7.03282539682539
1995 1 3.33223030992111 1.5024375 3.43153125 7.906453125
1995 2 4.28010105825305 1.23250793650794 3.37930158730159 8.03725396825398
1995 3 4.54464964814081 1.19062063492063 3.39209682539683 8.48381111111111
1995 4 3.44285143847856 1.40433174603175 3.84285555555555 9.03899841269842
1996 1 3.38399647361061 1.211953125 3.46696875000001 7.95275
1996 2 1.81703135459184 1.13025 3.034984375 6.99707812499999
1996 3 2.20058307461492 1.11793230769231 3.06277230769232 6.83895846153846
1996 4 3.17808136295613 1.0595125 2.9929984375 8.011715625
1997 1 3.06589542745155 0.916096721311474 2.50930819672131 7.07943114754099
1997 2 2.10387013114868 0.834070312500002 2.4311734375 6.7262953125
1997 3 1.94526127731633 0.804203124999999 2.37978153846154 6.11723538461538
1997 4 3.23964919187807 0.920687692307695 2.56785538461538 6.36824615384615
1998 1 3.36994598583207 0.976292063492063 2.5735253968254 6.64735873015873
1998 2 4.39603113422527 1.1145546875 2.5985984375 6.3799953125
1998 3 3.32073099885261 1.58795757575757 3.57674242424242 8.06357575757576
1998 4 2.7324566546877 1.95054307692308 4.82855846153846 11.5013507692308
1999 1 3.39685889700757 1.88045555555555 4.28062063492064 11.4304746031746
1999 2 4.13028870723719 1.54392461538462 3.42141230769231 11.0278692307692
1999 3 3.20914305828804 1.59333181818182 3.47220454545455 9.52383484848485
1999 4 2.46562682284887 1.78971666666667 3.52765454545454 10.9745121212121
2000 1 4.25553030515249 1.99229692307692 3.63748307692307 11.7871692307692
2000 2 0.539638396034437 2.6963015625 4.3695484375 14.2643125
2000 3 3.09461367859446 2.55787846153847 4.54326461538461 15.5058507692308
2000 4 2.65914142503708 2.9142484375 6.54306875 19.04479375
2001 1 6.77186229876346 2.1326 5.95836923076924 17.3016676923077
2001 2 5.81703065776286 1.803978125 5.9460421875 16.98648125
2001 3 6.67141972570551 1.90394677419355 5.62979032258065 17.4631532258065
2001 4 7.49008837702462 2.32729538461539 5.60979846153847 18.8395907692308
2002 1 6.34591026400621 2.37808870967742 4.575 17.9739258064516
2002 2 6.05794952551811 2.39457230769231 4.26694153846154 14.3775261538461
2002 3 5.35219894560463 3.71414090909091 7.17196515151515 17.5168484848485
2002 4 6.46748323845623 3.51372769230769 6.46116 17.8397046153846
2003 1 6.25993264605742 2.85283809523809 4.77295396825397 14.3198206349206
2003 2 5.57345831596493 1.9639578125 4.0450578125 11.1504078125
2003 3 3.63178137689394 1.45331212121212 3.39665757575758 8.69328636363636
2003 4 3.62849739225529 0.87154923076923 2.63537538461539 7.1270523076923
2004 1 3.30949768254455 0.4749078125 2.2655515625 5.964759375
2004 2 2.50926000767459 0.522755555555557 2.21960476190476 6.2444380952381
2004 3 2.82205530041171 0.730699999999998 2.32186923076923 6.43857692307692
2004 4 1.86658104882404 0.586176923076923 1.98982307692308 5.65211538461539
2005 1 0.646995350741129 0.951968253968256 2.2436507936508 5.44869841269841
2005 2 1.44130667940352 1.72025384615384 3.04285384615384 7.32222307692308
2005 3 0.503231115289792 1.73133636363636 2.69500303030303 7.04627575757576
2005 4 -0.408222655734291 1.984296875 2.79096875 6.759671875
2006 1 -1.56497153055767 2.019625 2.749828125 5.990421875
2006 2 -1.04691711374882 1.80531904761905 2.33563650793651 5.07944603174603
2006 3 -0.283379523640646 1.91384375 2.788703125 5.896359375
2006 4 1.13718313354388 1.61449047619048 2.73528412698413 5.34858571428571
2007 1 0.816468296825608 1.465528125 2.43135625 4.38098125
2007 2 -0.958943342210202 1.32555396825397 2.23496666666667 4.02091904761905
2007 3 -0.548363344607143 2.00722307692308 3.02666923076923 5.39214615384615
2007 4 1.28887865223643 2.476671875 3.458890625 6.280359375
2008 1 4.28518201734593 3.03974444444445 4.89774444444445 8.93614126984127
2008 2 4.68072107228957 2.64636923076923 4.88107692307692 8.89761538461538
2008 3 6.15949914880026 3.41548787878788 6.40010909090909 10.909396969697
2008 4 11.7413232217767 8.83142307692308 14.0992692307692 26.6872076923077
2009 1 13.2528741259982 8.09874761904761 11.7347793650794 27.7194142857143
2009 2 11.7322786651359 5.752184375 8.37916875 18.4930125
2009 3 6.34117205047575 4.07269393939394 5.7873303030303 11.0867848484849
2009 4 3.05846635379215 2.75796923076923 4.04015384615385 8.43750769230769
2010 1 1.44150547399557 2.14946190476191 3.32063650793651 6.73711269841269
Return to Figure 10

Figure 11: GDP Growth - Data and Model-implied series in Absence of Financial Shocks

Year Quarter Data Model
1989 1 0.72121191 0.781594315060613
1989 2 0.496575646 0.0463487443560334
1989 3 0.520819903 0.303362418676277
1989 4 0.007947716 -0.132106477218801
1990 1 0.794428993 0.633227441836809
1990 2 0.147622956 0.30493630047835
1990 3 -0.279565469 0.18031565151808
1990 4 -1.207574546 -0.690794572157276
1991 1 -0.731571912 -0.323897288153861
1991 2 0.444684226 0.561278152936054
1991 3 0.160112038 1.07834842222211
1991 4 0.091762432 0.64768155981624
1992 1 0.777040279 0.158553131431417
1992 2 0.818950458 0.855541072360422
1992 3 0.742213762 0.374546908010167
1992 4 0.704404567 0.471969670990033
1993 1 -0.120651486 0.183987656512248
1993 2 0.378489344 0.277105396938944
1993 3 0.217817467 0.231746794288914
1993 4 1.023012193 0.97527353371584
1994 1 0.671586203 0.885005542101548
1994 2 1.094010031 0.994930789742616
1994 3 0.371726362 0.119522911733077
1994 4 0.77864723 0.916373026869078
1995 1 0.042996498 0.217549919514771
1995 2 -0.032183708 0.00974074368068945
1995 3 0.591250668 0.113651691576716
1995 4 0.381522363 0.626986745320499
1996 1 0.466570113 0.51876231900333
1996 2 1.429899772 0.904159828069621
1996 3 0.35822789 0.491946582989521
1996 4 0.83402705 0.0953629510532043
1997 1 0.629481382 0.290910787598813
1997 2 1.00142739 0.636294392519237
1997 3 1.015252293 0.562603701920132
1997 4 0.436148999 0.0723812925394716
1998 1 0.695794848 0.223865504641055
1998 2 0.59858745 0.0277993104109551
1998 3 1.001018529 0.574803157357807
1998 4 1.418459768 0.654928732193618
1999 1 0.656309744 0.309411564219676
1999 2 0.42925992 0.120689260254474
1999 3 0.977250705 0.554955129950197
1999 4 1.414129187 0.703364667713127
2000 1 0.045029611 0.0273408153604789
2000 2 1.597278291 1.30753552569476
2000 3 -0.24573959 0.0465236898741899
2000 4 0.284331291 0.332524343183836
2001 1 -0.617638605 -0.901222236587062
2001 2 0.318370338 0.094963437276393
2001 3 -0.621593627 0.0433698616638057
2001 4 0.036001841 0.00191703289929296
2002 1 0.569442297 0.540274165220113
2002 2 0.265897785 0.567359708978792
2002 3 0.164937223 0.662651656396943
2002 4 -0.314434516 0.149124777224961
2003 1 0.115495956 0.319761827739606
2003 2 0.505942633 0.555486450284011
2003 3 1.345029497 1.03672418154083
2003 4 0.548166265 0.640894036646751
2004 1 0.435087895 0.523179811904269
2004 2 0.423253948 0.653595735378818
2004 3 0.406681189 0.391809835311463
2004 4 0.548736035 0.654873084966038
2005 1 0.713494999 0.817167379612508
2005 2 0.151143344 0.298238398341252
2005 3 0.430911391 0.577569921030309
2005 4 0.187993942 0.735494117611536
2006 1 1.006569255 0.847883361805978
2006 2 0.023595934 0.370389076310065
2006 3 -0.32861772 0.105628715815223
2006 4 0.363795649 -0.205189929115785
2007 1 -0.005820548 0.21898601629697
2007 2 0.598801997 0.85162539611946
2007 3 0.341593811 0.441749993032542
2007 4 0.486502434 -0.192217015594367
2008 1 -0.423428637 -0.801581587574847
2008 2 0.009074744 -0.242569734683029
2008 3 -1.25333424 -0.290863887717843
2008 4 -1.996663023 -1.60957367483644
2009 1 -1.494356606 -1.0184160894509
2009 2 -0.395510935 0.291683199333612
2009 3 0.142243106 2.07940037432729
2009 4 0.959377873 2.11106994956853
2010 1 0.726647983 1.5281865381657
Return to Figure 11

Figure 12: GDP Growth in the Data and in the Model in absence of specific shocks.

Year Quarter Data (No Financial Shock Model (No Financial Shock Data (No TFP Shock) Model (No TFP Shock) Data (No Gov't Spending) Model (No Gov't Spending) Data (No MP Shock) Model (No MP Shock)
2006 2 0.023595934 0.0719234290847583 0.023595934 0.167510967022415 0.023595934 0.167510967022415 0.023595934 0.345647816648578
2006 3 -0.32861772 -0.0165076243658414 -0.32861772 -0.0468327543795528 -0.32861772 -0.0468327543795528 -0.32861772 0.161144892415171
2006 4 0.363795649 0.9857487279977 0.363795649 0.474463482448934 0.363795649 0.474463482448934 0.363795649 0.64404406373484
2007 1 -0.005820548 0.191112969885907 -0.005820548 0.216304800821728 -0.005820548 0.216304800821728 -0.005820548 0.36963941355879
2007 2 0.598801997 0.162131989409795 0.598801997 0.796351803057661 0.598801997 0.796351803057661 0.598801997 0.836267195951814
2007 3 0.341593811 0.313959086948734 0.341593811 0.359458353099168 0.341593811 0.359458353099168 0.341593811 0.335923515438402
2007 4 0.486502434 1.09199347290056 0.486502434 0.370734717362265 0.486502434 0.370734717362265 0.486502434 0.167809557517801
2008 1 -0.423428637 0.79068170791265 -0.423428637 -0.498120509373602 -0.423428637 -0.498120509373602 -0.423428637 -1.14801061298282
2008 2 0.009074744 0.663494673012384 0.009074744 -0.160772807588936 0.009074744 -0.160772807588936 0.009074744 -0.521907449331579
2008 3 -1.25333424 -0.551538194918083 -1.25333424 -1.37390039030872 -1.25333424 -1.37390039030872 -1.25333424 -0.90030244559775
2008 4 -1.996663023 0.0229137314667304 -1.996663023 -2.33091680082929 -1.996663023 -2.33091680082929 -1.996663023 -1.9474237650705
2009 1 -1.494356606 -0.0665247392963401 -1.494356606 -1.84141273050441 -1.494356606 -1.84141273050441 -1.494356606 -0.56207858039372
2009 2 -0.395510935 -0.278410249002023 -0.395510935 -0.889702764119222 -0.395510935 -0.889702764119222 -0.395510935 0.971723703625927
2009 3 0.142243106 -1.52917742668785 0.142243106 -0.298422539005056 0.142243106 -0.298422539005056 0.142243106 1.3029440294763
2009 4 0.959377873 -0.744691549633343 0.959377873 0.464078584072426 0.959377873 0.464078584072426 0.959377873 1.25298725926695
2010 1 0.726647983 -0.395090139773169 0.726647983 0.25036054397994 0.726647983 0.25036054397994 0.726647983 0.484677434907298
Return to Figure 12

Figure 13: Model Estimates of Exogenous Shocks (smoothed series) - Great Recession

Year Quarter Financial Shock TFP Shock Gov't Spending Shock MP Shock
2006 2 1.80122468387055 -0.144915417850734 -0.0870003442834282 0.123026466044067
2006 3 2.50591339329215 -0.844705413630439 -0.33851809757822 0.0543208336999044
2006 4 5.1494423537614 0.85499408833532 0.53730284749848 0.110870482303582
2007 1 -0.974750699649035 -0.529215814797195 -0.0493205475725713 0.0680890306614401
2007 2 -6.10333520475138 -0.07743598451775 0.188048193218838 -0.0142618836011632
2007 3 1.60470776448621 0.95093874418284 0.242476703363039 -0.128271351921612
2007 4 6.49725987178849 0.862513609017305 -0.0555980056929534 -0.293047168546167
2008 1 10.7495208846624 -0.323531373444475 -0.255282819626418 -0.240206728024988
2008 2 1.94632443152002 0.266678977588187 0.0518809516348124 0.0645420709942215
2008 3 5.78436535535011 -0.300948690566453 0.144389561800216 -0.0763540011429313
2008 4 20.8237334507974 1.33254489825264 1.07438475580137 0.287071700417329
2009 1 7.41381349572396 0.454617258904776 1.35430241586493 0.463522569853168
2009 2 -3.89425092814867 0.971266038241116 0.700769081901212 0.423360222434553
2009 3 -18.2881587178156 -0.167297063379249 -0.479011316253316 0.154086771242959
2009 4 -11.1974010739513 0.356707847043256 -0.250547789706497 -0.010225142179209
2010 1 -5.67291764513374 0.194986634944228 -0.358305865939449 0
Return to Figure 13
♣ This version is optimized for use by screen readers. Descriptions for all mathematical expressions are provided in LaTex format. A printable pdf version is available. Return to Text
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Last update: February 7, 2013