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Finance and Economics Discussion Series: Data for FEDS 2013-08 ♣

Stock Prices, News, and Economic Fluctuations: Comment

Andre Kurmann and Elmar Mertens

Figure 1 Panel 1 Data: Total Factor Productivity Impulse Responses (in percentage deviation) from Level VAR

0 -5.41E-12 7.43E-12 -8.44E-16 -0.0088011
1 -0.17301 0.22176 0.028622 0.037624
2 -0.30142 0.23457 -0.04838 -0.036997
3 -0.43719 0.32958 -0.15263 -0.13167
4 -0.5 0.39609 -0.23371 -0.21276
5 -0.5 0.39133 -0.27113 -0.2506
6 -0.5 0.37467 -0.27669 -0.25882
7 -0.5 0.36057 -0.25959 -0.24319
8 -0.5 0.33479 -0.22806 -0.21327
9 -0.5 0.33703 -0.1881 -0.17417
10 -0.5 0.33461 -0.14823 -0.13468
11 -0.5 0.33193 -0.11306 -0.099284
12 -0.5 0.34342 -0.083911 -0.069701
13 -0.5 0.35932 -0.059951 -0.045227
14 -0.5 0.37399 -0.039852 -0.024698
15 -0.5 0.3919 -0.021902 -0.0064417
16 -0.5 0.40942 -0.0045386 0.011063
17 -0.5 0.44987 0.013355 0.028961
18 -0.5 0.50896 0.03229 0.047798
19 -0.5 0.57529 0.052321 0.067675
20 -0.5 0.6534 0.073211 0.08839
21 -0.5 0.73385 0.094596 0.1096
22 -0.5 0.81691 0.1161 0.13095
23 -0.5 0.9028 0.13742 0.15213
24 -0.5 0.99159 0.15836 0.17294
25 -0.5 1 0.17884 0.1933
26 -0.5 1 0.19885 0.21318
27 -0.5 1 0.21843 0.23263
28 -0.5 1 0.23764 0.2517
29 -0.5 1 0.25654 0.27044
30 -0.5 1 0.27516 0.28891
31 -0.5 1 0.29353 0.30711
32 -0.5 1 0.31165 0.32505
33 -0.5 1 0.32949 0.34271
34 -0.5 1 0.34706 0.3601
35 -0.5 1 0.36432 0.37718
36 -0.5 1 0.38127 0.39394
37 -0.5 1 0.39789 0.41037
38 -0.5 1 0.41418 0.42647
39 -0.5 1 0.43014 0.44224
40 -0.5 1 0.44576 0.45767
Return to Figure 1

Figure 1 Panel 2 Data: Stock Price Impulse Responses (in percentage deviation) from Level VAR

0 0.00023979 5.7955 3.3331 3.4357
1 -0.67518 8.3917 4.257 4.425
2 -1.4935 9.3974 4.5825 4.7763
3 -2.0036 10 4.5776 4.7989
4 -2.0672 10 4.2233 4.4738
5 -2.3093 10 3.9054 4.1457
6 -2.745 10 3.7653 3.9898
7 -3.2312 10 3.7797 3.979
8 -3.8045 10 3.9651 4.1375
9 -4.4161 10 4.2709 4.4179
10 -5 10 4.6221 4.7502
11 -5 10 4.9627 5.0772
12 -5 10 5.2619 5.3679
13 -5 10 5.505 5.6055
14 -5 10 5.6919 5.7886
15 -5 10 5.832 5.9254
16 -5 10 5.9394 6.0293
17 -5 10 6.0276 6.1133
18 -5 10 6.1068 6.1877
19 -5 10 6.1832 6.2587
20 -5 10 6.2593 6.3293
21 -5 10 6.3349 6.3995
22 -5 10 6.4084 6.4679
23 -5 10 6.4776 6.5323
24 -5 10 6.5407 6.5909
25 -5 10 6.5964 6.6424
26 -5 10 6.6443 6.6864
27 -5 10 6.6845 6.723
28 -5 10 6.7176 6.7525
29 -5 10 6.7442 6.7757
30 -5 10 6.7651 6.7933
31 -5 10 6.781 6.806
32 -5 10 6.7923 6.8141
33 -5 10 6.7993 6.818
34 -5 10 6.8021 6.818
35 -5 10 6.801 6.814
36 -5 10 6.7959 6.8062
37 -5 10 6.7871 6.7948
38 -5 10 6.7745 6.7797
39 -5 10 6.7583 6.7612
40 -5 10 6.7387 6.7393
Return to Figure 1

Figure 1 Panel 3 Data: Consumption Impulse Responses (in percentage deviation) from Level VAR

0 -0.52817 0.52092 0.40289 0.39134
1 -0.62554 0.63859 0.51086 0.50173
2 -0.73938 0.80334 0.57956 0.57088
3 -0.76977 0.94037 0.66377 0.65961
4 -0.7718 1.0688 0.67951 0.68036
5 -0.7685 1.191 0.67365 0.67832
6 -0.77509 1.308 0.65655 0.66394
7 -0.80486 1.3993 0.63246 0.64216
8 -0.83161 1.4831 0.61155 0.62221
9 -0.8652 1.5 0.59988 0.61095
10 -0.90359 1.5 0.59761 0.60855
11 -0.94976 1.5 0.60376 0.61446
12 -1 1.5 0.61598 0.62643
13 -1 1.5 0.6316 0.64194
14 -1 1.5 0.64834 0.6587
15 -1 1.5 0.66469 0.67522
16 -1 1.5 0.6799 0.69066
17 -1 1.5 0.69383 0.70486
18 -1 1.5 0.70675 0.71802
19 -1 1.5 0.71908 0.73056
20 -1 1.5 0.73125 0.74288
21 -1 1.5 0.74359 0.75532
22 -1 1.5 0.75629 0.76807
23 -1 1.5 0.76939 0.7812
24 -1 1.5 0.78284 0.79467
25 -1 1.5 0.79655 0.80839
26 -1 1.5 0.8104 0.82224
27 -1 1.5 0.82428 0.83611
28 -1 1.5 0.83812 0.84995
29 -1 1.5 0.85186 0.86369
30 -1 1.5 0.8655 0.87732
31 -1 1.5 0.87903 0.89084
32 -1 1.5 0.89246 0.90424
33 -1 1.5 0.90579 0.91754
34 -1 1.5 0.91904 0.93075
35 -1 1.5 0.9322 0.94387
36 -1 1.5 0.94526 0.95689
37 -1 1.5 0.95824 0.96982
38 -1 1.5 0.9711 0.98263
39 -1 1.5 0.98386 0.99532
40 -1 1.5 0.99648 1.0079
Return to Figure 1

Figure 1 Panel 4 Data: Hours Impulse Responses (in percentage deviation) from Level VAR

0 -0.34625 0.35105 0.23778 0.18896
1 -0.70189 0.78828 0.59438 0.53044
2 -0.86961 1.275 0.87964 0.81858
3 -0.96007 1.6359 1.0708 1.0171
4 -1 1.9125 1.1665 1.1237
5 -1 2 1.1564 1.1263
6 -1 2 1.0691 1.0502
7 -1 2 0.94922 0.93838
8 -1 2 0.82809 0.82198
9 -1 2 0.72486 0.72082
10 -1 2 0.64924 0.64539
11 -1 2 0.60229 0.59761
12 -1 2 0.57871 0.57291
13 -1 2 0.57039 0.56371
14 -1 2 0.56948 0.56235
15 -1 2 0.56998 0.56286
16 -1 2 0.56822 0.56145
17 -1 2 0.56266 0.55644
18 -1 2 0.55341 0.54779
19 -1 2 0.54153 0.53644
20 -1 2 0.52838 0.52369
21 -1 2 0.51519 0.51078
22 -1 2 0.50281 0.49855
23 -1 2 0.49167 0.48747
24 -1 2 0.48182 0.47764
25 -1 2 0.47306 0.46888
26 -1 2 0.46509 0.46091
27 -1 2 0.45759 0.45342
28 -1 2 0.4503 0.44617
29 -1 2 0.44305 0.43896
30 -1 2 0.43577 0.43173
31 -1 2 0.42843 0.42445
32 -1 2 0.42108 0.41716
33 -1 2 0.41376 0.4099
34 -1 2 0.40652 0.40271
35 -1 2 0.3994 0.39564
36 -1 2 0.39242 0.38871
37 -1 2 0.38558 0.38192
38 -1 2 0.37888 0.37526
39 -1 2 0.3723 0.36874
40 -1 2 0.36585 0.36233
Return to Figure 1

Figure 1 Panel 5 Data: Total Factor Productivity Impulse Responses (in percentage deviation) from Level VAR

0 -1.43E-11 1.01E-11 -3.53E-16 0.066246
1 -0.1749 0.24072 0.05458 0.10922
2 -0.29933 0.28111 -0.056162 0.0047172
3 -0.40907 0.3419 -0.16356 -0.089979
4 -0.49526 0.33299 -0.20373 -0.12784
5 -0.5 0.36289 -0.22631 -0.1553
6 -0.5 0.35979 -0.22808 -0.15943
7 -0.5 0.36057 -0.21265 -0.14747
8 -0.5 0.35883 -0.18862 -0.12668
9 -0.5 0.3624 -0.16086 -0.10245
10 -0.5 0.35924 -0.13328 -0.077464
11 -0.5 0.37375 -0.10634 -0.052978
12 -0.5 0.42164 -0.08137 -0.030097
13 -0.5 0.4723 -0.058258 -0.0089203
14 -0.5 0.51818 -0.036827 0.010799
15 -0.5 0.56464 -0.016674 0.029314
16 -0.5 0.60927 0.0024698 0.046918
17 -0.5 0.65599 0.020895 0.06385
18 -0.5 0.70298 0.038782 0.080301
19 -0.5 0.75245 0.056269 0.096387
20 -0.5 0.80315 0.073427 0.11218
21 -0.5 0.85618 0.090301 0.12773
22 -0.5 0.91049 0.10691 0.14305
23 -0.5 0.9667 0.12327 0.15815
24 -0.5 1 0.13937 0.17304
25 -0.5 1 0.15521 0.1877
26 -0.5 1 0.1708 0.20214
27 -0.5 1 0.18613 0.21635
28 -0.5 1 0.20121 0.23034
29 -0.5 1 0.21602 0.2441
30 -0.5 1 0.23057 0.25763
31 -0.5 1 0.24485 0.27092
32 -0.5 1 0.25887 0.28399
33 -0.5 1 0.27263 0.29682
34 -0.5 1 0.28612 0.30941
35 -0.5 1 0.29934 0.32176
36 -0.5 1 0.31229 0.33387
37 -0.5 1 0.32497 0.34574
38 -0.5 1 0.33737 0.35736
39 -0.5 1 0.3495 0.36874
40 -0.5 1 0.36136 0.37987
Return to Figure 1

Figure 1 Panel 6 Data: Stock Price Impulse Responses (in percentage deviation) from Level VAR

0 6.53E-05 6.044 3.9144 3.3554
1 -1.1978 8.3836 4.965 4.3227
2 -1.9623 9.9123 5.1465 4.5793
3 -2.8386 10 4.9597 4.5042
4 -3.2674 10 4.7906 4.3706
5 -3.4649 10 4.6669 4.2636
6 -3.6705 10 4.5878 4.1955
7 -3.743 10 4.6011 4.2122
8 -3.7602 10 4.6632 4.2692
9 -3.7499 10 4.7562 4.3594
10 -3.7294 10 4.8712 4.4706
11 -3.7041 10 4.993 4.5898
12 -3.9078 10 5.1149 4.7092
13 -4.356 10 5.2308 4.8239
14 -4.8007 10 5.3395 4.9319
15 -5 10 5.4395 5.0322
16 -5 10 5.5312 5.1245
17 -5 10 5.615 5.2095
18 -5 10 5.6914 5.2875
19 -5 10 5.761 5.3591
20 -5 10 5.8242 5.4247
21 -5 10 5.8813 5.4845
22 -5 10 5.9326 5.5388
23 -5 10 5.9783 5.5878
24 -5 10 6.0185 5.6315
25 -5 10 6.0533 5.6703
26 -5 10 6.0829 5.7041
27 -5 10 6.1074 5.7331
28 -5 10 6.1269 5.7574
29 -5 10 6.1417 5.7772
30 -5 10 6.1519 5.7925
31 -5 10 6.1575 5.8036
32 -5 10 6.1588 5.8106
33 -5 10 6.1559 5.8135
34 -5 10 6.1489 5.8126
35 -5 10 6.1381 5.808
36 -5 10 6.1236 5.7998
37 -5 10 6.1054 5.7882
38 -5 10 6.0838 5.7733
39 -5 10 6.059 5.7552
40 -5 10 6.0309 5.7341
Return to Figure 1

Figure 1 Panel 7 Data: Consumption Impulse Responses (in percentage deviation) from Level VAR

0 -0.48058 0.5217 0.34211 0.3941
1 -0.57946 0.63256 0.47019 0.52586
2 -0.71153 0.77306 0.53249 0.58209
3 -0.78531 0.91109 0.61401 0.65464
4 -0.83155 1.009 0.65251 0.69581
5 -0.85388 1.0827 0.67071 0.71603
6 -0.86293 1.139 0.66697 0.71539
7 -0.85886 1.2144 0.65709 0.70774
8 -0.85747 1.2894 0.64599 0.69847
9 -0.886 1.3672 0.63619 0.68973
10 -0.91612 1.45 0.62946 0.68364
11 -0.94935 1.5 0.62604 0.68037
12 -0.98318 1.5 0.62566 0.67992
13 -1 1.5 0.62782 0.68178
14 -1 1.5 0.63187 0.68542
15 -1 1.5 0.63732 0.69037
16 -1 1.5 0.64372 0.69623
17 -1 1.5 0.65078 0.70271
18 -1 1.5 0.65828 0.70961
19 -1 1.5 0.66607 0.71679
20 -1 1.5 0.67406 0.72417
21 -1 1.5 0.68219 0.73168
22 -1 1.5 0.69041 0.73928
23 -1 1.5 0.6987 0.74695
24 -1 1.5 0.70703 0.75466
25 -1 1.5 0.71537 0.76239
26 -1 1.5 0.72371 0.77013
27 -1 1.5 0.73203 0.77786
28 -1 1.5 0.74032 0.78556
29 -1 1.5 0.74856 0.79322
30 -1 1.5 0.75674 0.80083
31 -1 1.5 0.76485 0.80839
32 -1 1.5 0.77288 0.81588
33 -1 1.5 0.78082 0.82329
34 -1 1.5 0.78867 0.83062
35 -1 1.5 0.79642 0.83787
36 -1 1.5 0.80406 0.84502
37 -1 1.5 0.81159 0.85208
38 -1 1.5 0.81901 0.85904
39 -1 1.5 0.82632 0.8659
40 -1 1.5 0.83351 0.87266
Return to Figure 1

Figure 1 Panel 8 Data: Investment Impulse Responses (in percentage deviation) from Level VAR

0 -1.7139 1.7449 0.76398 0.54577
1 -2.1717 2.3616 1.5078 1.233
2 -2.5 3.4603 2.109 1.8954
3 -2.5 3.654 2.3668 2.1762
4 -2.5 3.8394 2.3139 2.1639
5 -2.5 3.9415 2.1247 2.0155
6 -2.5 4.0353 1.8683 1.8035
7 -2.5 4.05 1.6107 1.5764
8 -2.499 4.0094 1.3738 1.3643
9 -2.4264 3.9641 1.1794 1.1872
10 -2.3401 3.9395 1.0284 1.0491
11 -2.2477 4.0136 0.91656 0.94564
12 -2.1602 4.1868 0.83619 0.87143
13 -2.0777 4.3795 0.78061 0.81996
14 -2.1142 4.5 0.74304 0.7854
15 -2.1879 4.5 0.71851 0.76291
16 -2.2628 4.5 0.70308 0.74897
17 -2.3376 4.5 0.69419 0.74108
18 -2.4135 4.5 0.68997 0.73753
19 -2.4904 4.5 0.68924 0.73716
20 -2.5 4.5 0.69117 0.73923
21 -2.5 4.5 0.69521 0.74321
22 -2.5 4.5 0.70093 0.74871
23 -2.5 4.5 0.70802 0.75546
24 -2.5 4.5 0.71621 0.7632
25 -2.5 4.5 0.72527 0.77173
26 -2.5 4.5 0.73502 0.7809
27 -2.5 4.5 0.74529 0.79053
28 -2.5 4.5 0.75593 0.80052
29 -2.5 4.5 0.76684 0.81075
30 -2.5 4.5 0.7779 0.82113
31 -2.5 4.5 0.78906 0.8316
32 -2.5 4.5 0.80024 0.84209
33 -2.5 4.5 0.81138 0.85256
34 -2.5 4.5 0.82245 0.86297
35 -2.5 4.5 0.83342 0.87329
36 -2.5 4.5 0.84426 0.88349
37 -2.5 4.5 0.85494 0.89355
38 -2.5 4.5 0.86546 0.90346
39 -2.5 4.5 0.87579 0.91321
40 -2.5 4.5 0.88592 0.92279
Return to Figure 1

Figure 2 Panel 1 Data: Total Factor Productivity Impulse Responses (in percentage deviation) from Stationary VAR

0 -8.85E-17 -2.61E-16 3.68E-16 0.53104
1 0.019111 -0.076921 0.11974 0.45901
2 -0.033324 -0.14922 0.098236 0.39366
3 -0.13547 -0.25584 0.056953 0.26183
4 -0.27191 -0.40264 0.030037 0.216
5 -0.30325 -0.45953 0.03237 0.15767
6 -0.31277 -0.48539 0.043453 0.13136
7 -0.30945 -0.49929 0.041571 0.11482
8 -0.29246 -0.48772 0.056624 0.13588
9 -0.26108 -0.46109 0.089919 0.16753
10 -0.23049 -0.43675 0.10563 0.20346
11 -0.20495 -0.42833 0.11526 0.2353
12 -0.18741 -0.42072 0.13095 0.26508
13 -0.17563 -0.42408 0.14534 0.2885
14 -0.16824 -0.43146 0.15913 0.30638
15 -0.16348 -0.44485 0.17196 0.31961
16 -0.15965 -0.453 0.18188 0.33102
17 -0.15471 -0.45706 0.19112 0.34215
18 -0.14778 -0.46508 0.21692 0.35434
19 -0.13862 -0.47153 0.22808 0.36808
20 -0.12752 -0.47191 0.24146 0.38367
21 -0.11488 -0.47098 0.26292 0.40086
22 -0.10125 -0.47177 0.28761 0.41921
23 -0.087117 -0.47116 0.30422 0.43819
24 -0.072869 -0.46858 0.32836 0.4574
25 -0.058695 -0.46479 0.34714 0.47653
26 -0.044647 -0.4655 0.36171 0.49543
27 -0.030682 -0.46752 0.38063 0.51407
28 -0.016706 -0.47148 0.39989 0.53251
29 -0.0026132 -0.47001 0.41991 0.55081
30 0.011682 -0.47259 0.4436 0.56909
31 0.026232 -0.47329 0.469 0.58741
32 0.041048 -0.4688 0.48691 0.6058
33 0.056112 -0.46881 0.51392 0.62427
34 0.071386 -0.46673 0.53995 0.6428
35 0.086822 -0.47137 0.56435 0.66135
36 0.10237 -0.47584 0.59899 0.67988
37 0.118 -0.47621 0.62267 0.69835
38 0.13368 -0.47164 0.64752 0.71672
39 0.14937 -0.46791 0.67603 0.73497
40 0.16507 -0.46395 0.71079 0.75308
Return to Figure 2

Figure 2 Panel 2 Data: Stock Price Impulse Responses (in percentage deviation) from Stationary VAR

0 2.6726 0.30326 4.37 3.7892
1 3.3057 0.25851 5.6598 5.2944
2 3.5761 0.27944 6.043 5.3636
3 3.5366 0.17843 5.9846 5.6522
4 2.9811 -0.12757 5.5507 5.8065
5 2.6198 -0.3593 5.322 5.4244
6 2.4395 -0.48978 5.1332 4.9677
7 2.2424 -0.64006 4.9675 4.6129
8 2.2222 -0.63161 4.8486 4.5045
9 2.4462 -0.45306 4.8993 4.5804
10 2.7642 -0.31041 5.0587 4.7599
11 3.1003 -0.13614 5.3037 4.9961
12 3.4213 -0.051551 5.6459 5.2694
13 3.7037 -0.066003 6.025 5.5273
14 3.9339 0.025458 6.3307 5.7389
15 4.111 0.070398 6.5798 5.8974
16 4.244 0.057311 6.7749 6.0109
17 4.3501 0.001847 6.9557 6.089
18 4.4437 -0.042232 7.0941 6.1439
19 4.5342 -0.020191 7.2387 6.1872
20 4.6273 0.010776 7.4334 6.2281
21 4.7254 0.034658 7.6269 6.2717
22 4.8275 -0.0017525 7.8755 6.3189
23 4.9307 -0.019591 8.1322 6.3683
24 5.0314 -0.07761 8.2839 6.4172
25 5.1267 -0.076437 8.4101 6.4629
26 5.2144 -0.050073 8.6342 6.5027
27 5.2936 -0.08648 8.8727 6.5349
28 5.364 -0.08118 9.0592 6.5589
29 5.4262 -0.091688 9.2472 6.5747
30 5.4811 -0.11469 9.4432 6.5829
31 5.5295 -0.13694 9.6373 6.5845
32 5.5724 -0.15836 9.8368 6.5801
33 5.6102 -0.15481 10.045 6.5707
34 5.6433 -0.11939 10.245 6.5567
35 5.6718 -0.10137 10.372 6.5384
36 5.6956 -0.10363 10.531 6.5158
37 5.7147 -0.11822 10.686 6.4891
38 5.729 -0.14563 10.819 6.4582
39 5.7385 -0.15083 10.995 6.423
40 5.7432 -0.14137 11.102 6.3837
Return to Figure 2

Figure 2 Panel 3 Data: Consumption Impulse Responses (in percentage deviation) from Stationary VAR

0 0.43643 -0.27201 0.48466 0.25061
1 0.53187 -0.22643 0.58746 0.40379
2 0.59869 -0.25496 0.68112 0.45186
3 0.67682 -0.23771 0.77221 0.53426
4 0.67521 -0.2409 0.79871 0.57493
5 0.65928 -0.22672 0.80465 0.58926
6 0.6459 -0.26491 0.81251 0.58546
7 0.61968 -0.28001 0.80766 0.57331
8 0.59602 -0.29803 0.79902 0.55334
9 0.58216 -0.2903 0.79361 0.53978
10 0.57623 -0.29001 0.79401 0.53191
11 0.57751 -0.29077 0.79503 0.53216
12 0.58544 -0.29432 0.79685 0.53937
13 0.59642 -0.29503 0.81062 0.55166
14 0.60833 -0.29797 0.83022 0.56602
15 0.61952 -0.30066 0.84815 0.58087
16 0.62906 -0.30512 0.86906 0.59474
17 0.63677 -0.30695 0.8897 0.60706
18 0.64305 -0.30812 0.90842 0.61772
19 0.64842 -0.30901 0.92689 0.6271
20 0.65348 -0.30993 0.94616 0.63569
21 0.65874 -0.31066 0.96734 0.64404
22 0.66453 -0.31136 0.98642 0.65255
23 0.67097 -0.31199 1.0117 0.66148
24 0.67807 -0.31265 1.0314 0.67094
25 0.68571 -0.31334 1.05 0.68088
26 0.69373 -0.31387 1.0791 0.69119
27 0.70197 -0.31306 1.1024 0.70174
28 0.71032 -0.31213 1.122 0.71238
29 0.7187 -0.31104 1.142 0.72301
30 0.72707 -0.30978 1.1684 0.73357
31 0.73543 -0.30833 1.1961 0.74404
32 0.74379 -0.3067 1.2227 0.75441
33 0.75219 -0.30489 1.2423 0.7647
34 0.76063 -0.30291 1.2682 0.77494
35 0.76915 -0.30078 1.2953 0.78514
36 0.77773 -0.2985 1.3293 0.79531
37 0.78638 -0.29608 1.3617 0.80546
38 0.79508 -0.29353 1.3901 0.81557
39 0.80382 -0.29085 1.42 0.82565
40 0.81258 -0.28805 1.4464 0.83566
Return to Figure 2

Figure 2 Panel 4 Data: Hours Impulse Responses (in percentage deviation) from Stationary VAR

0 0.2511 -0.10601 0.32505 0.11949
1 0.61097 -0.19117 0.72185 0.32697
2 0.86749 -0.15262 1.0158 0.60864
3 1.0301 -0.093511 1.2287 0.85874
4 1.141 -0.079927 1.3688 1.0167
5 1.1479 -0.085496 1.4072 1.0688
6 1.0757 -0.11504 1.3899 1.0442
7 0.97783 -0.14098 1.3143 0.97638
8 0.87921 -0.1953 1.2346 0.88229
9 0.79393 -0.2153 1.1608 0.78382
10 0.73106 -0.21766 1.1036 0.70134
11 0.69297 -0.21343 1.0667 0.64359
12 0.67626 -0.22806 1.0468 0.60812
13 0.67303 -0.24123 1.0412 0.58936
14 0.6748 -0.25199 1.0519 0.58078
15 0.6755 -0.24964 1.0529 0.57618
16 0.67167 -0.24523 1.0595 0.57035
17 0.6617 -0.23896 1.0635 0.5601
18 0.64574 -0.23162 1.0639 0.54435
19 0.62519 -0.22238 1.0579 0.52368
20 0.60196 -0.21218 1.0559 0.49948
21 0.57784 -0.20194 1.0506 0.47339
22 0.55416 -0.20013 1.0389 0.44692
23 0.53169 -0.19007 1.0328 0.42122
24 0.51071 -0.18005 1.0336 0.39688
25 0.49109 -0.17927 1.0271 0.37406
26 0.47246 -0.17453 1.0206 0.35259
27 0.4544 -0.17635 1.0183 0.33212
28 0.43652 -0.18508 1.0115 0.31228
29 0.41856 -0.20365 1.0071 0.29273
30 0.40038 -0.2046 1.0042 0.27326
31 0.38199 -0.21808 1.0047 0.25378
32 0.36344 -0.23494 1.007 0.23429
33 0.34484 -0.23097 1.0038 0.21485
34 0.32632 -0.21931 1.0011 0.19558
35 0.30798 -0.22992 0.99601 0.17657
36 0.28989 -0.24275 0.99664 0.1579
37 0.27208 -0.2478 0.99119 0.13963
38 0.25457 -0.25154 0.98027 0.12179
39 0.23734 -0.2447 0.97244 0.10438
40 0.2204 -0.26673 0.96517 0.087387
Return to Figure 2

Figure 2 Panel 5 Data: Total Factor Productivity Impulse Responses (in percent deviation) from Stationary VAR

0 -7.23E-17 -4.75E-16 4.48E-16 0.41539
1 0.015636 -0.068863 0.13057 0.46627
2 -0.016359 -0.1175 0.11602 0.42636
3 -0.10296 -0.21168 0.13402 0.34893
4 -0.23019 -0.34991 0.22962 0.34932
5 -0.24781 -0.37425 0.23328 0.30855
6 -0.26114 -0.39456 0.23756 0.28656
7 -0.26009 -0.39692 0.23784 0.25947
8 -0.25317 -0.39125 0.23799 0.2711
9 -0.23394 -0.37615 0.23844 0.29078
10 -0.21661 -0.35484 0.23986 0.31951
11 -0.20098 -0.33884 0.23746 0.34595
12 -0.19262 -0.3288 0.25225 0.37474
13 -0.18802 -0.32252 0.26338 0.39957
14 -0.18689 -0.32358 0.2784 0.42147
15 -0.18754 -0.32631 0.29191 0.43909
16 -0.18935 -0.32996 0.30354 0.45482
17 -0.19064 -0.33415 0.31502 0.4692
18 -0.19103 -0.34482 0.32909 0.48355
19 -0.19022 -0.34883 0.34218 0.49811
20 -0.18847 -0.35281 0.35082 0.51348
21 -0.186 -0.35271 0.36075 0.52956
22 -0.18318 -0.3535 0.37041 0.54629
23 -0.18026 -0.35545 0.38039 0.56335
24 -0.17747 -0.35565 0.38737 0.58051
25 -0.17491 -0.35737 0.3955 0.59755
26 -0.17259 -0.36053 0.40262 0.61436
27 -0.17048 -0.36107 0.41132 0.63087
28 -0.16852 -0.36222 0.42129 0.64708
29 -0.16662 -0.36748 0.42939 0.66302
30 -0.16474 -0.37143 0.43585 0.67876
31 -0.16283 -0.37452 0.44387 0.69433
32 -0.16089 -0.37518 0.45511 0.70978
33 -0.15891 -0.37481 0.4688 0.72513
34 -0.1569 -0.37415 0.47414 0.74037
35 -0.15489 -0.37562 0.48203 0.75552
36 -0.15289 -0.37671 0.4924 0.77055
37 -0.15091 -0.37839 0.50164 0.78546
38 -0.14895 -0.38203 0.50958 0.80022
39 -0.14702 -0.38495 0.52132 0.81485
40 -0.14512 -0.38804 0.53298 0.82933
Return to Figure 2

Figure 2 Panel 6 Data: Stock Price Impulse Responses (in percentage deviation) from Stationary VAR

0 1.8684 0.18022 4.2974 4.2996
1 2.2139 0.063607 5.6717 6.3185
2 2.4842 -0.0322 6.0343 6.5884
3 2.5428 -0.1981 5.9852 6.8594
4 1.9889 -0.46763 5.5077 7.1659
5 1.636 -0.67593 5.1427 6.9923
6 1.4242 -0.83182 4.9618 6.6236
7 1.1206 -1.0935 4.6843 6.2558
8 0.95711 -1.2006 4.4423 6.0128
9 0.97518 -1.1343 4.4783 5.8801
10 1.0529 -0.99777 4.4315 5.8136
11 1.156 -0.87657 4.4527 5.8017
12 1.2539 -0.86008 4.4585 5.8447
13 1.3289 -0.79096 4.5129 5.9027
14 1.3766 -0.75919 4.5794 5.9484
15 1.3957 -0.72229 4.5739 5.9698
16 1.3895 -0.66733 4.5809 5.967
17 1.3698 -0.66413 4.5815 5.9425
18 1.3456 -0.68248 4.5354 5.9023
19 1.3228 -0.70261 4.5157 5.8525
20 1.3047 -0.71684 4.5067 5.8001
21 1.293 -0.71018 4.4874 5.7495
22 1.287 -0.70037 4.4445 5.7028
23 1.2851 -0.69488 4.4162 5.6605
24 1.2852 -0.68356 4.4218 5.6219
25 1.2857 -0.66681 4.4085 5.5857
26 1.2854 -0.65934 4.4135 5.5505
27 1.2837 -0.63351 4.4172 5.5151
28 1.2804 -0.61522 4.419 5.479
29 1.2759 -0.61561 4.4187 5.4417
30 1.2705 -0.60482 4.4163 5.4034
31 1.2647 -0.58481 4.4119 5.3643
32 1.2588 -0.56838 4.406 5.3249
33 1.2532 -0.56616 4.398 5.2855
34 1.2478 -0.58667 4.3804 5.2463
35 1.2427 -0.60713 4.3548 5.2075
36 1.2379 -0.59363 4.3419 5.1692
37 1.2333 -0.58004 4.3311 5.1313
38 1.2287 -0.57543 4.2907 5.0939
39 1.2241 -0.57072 4.2622 5.0568
40 1.2195 -0.56027 4.2549 5.02
Return to Figure 2

Figure 2 Panel 7 Data: Consumption Impulse Responses(in percentage deviation) from Stationary VAR

0 0.44893 -0.42309 0.47108 0.0072412
1 0.52481 -0.44245 0.55637 0.12399
2 0.59558 -0.49841 0.64811 0.1487
3 0.65447 -0.52291 0.72859 0.24216
4 0.64748 -0.50377 0.73179 0.30271
5 0.64269 -0.49407 0.74827 0.33699
6 0.63856 -0.49412 0.76488 0.34966
7 0.61924 -0.48623 0.76109 0.35254
8 0.60369 -0.4816 0.75139 0.34844
9 0.59489 -0.48138 0.74885 0.3463
10 0.59047 -0.48303 0.74819 0.34515
11 0.59063 -0.48552 0.74778 0.34816
12 0.59476 -0.48967 0.75219 0.35534
13 0.60002 -0.49418 0.76468 0.36605
14 0.60568 -0.49584 0.77526 0.37834
15 0.61051 -0.49587 0.7875 0.39141
16 0.614 -0.49778 0.7942 0.40411
17 0.61621 -0.49725 0.80125 0.41597
18 0.61746 -0.49899 0.80586 0.42671
19 0.61804 -0.5008 0.81001 0.43644
20 0.61835 -0.50214 0.81392 0.44537
21 0.61868 -0.50096 0.82169 0.45383
22 0.61922 -0.50583 0.82553 0.46207
23 0.62001 -0.50809 0.83009 0.47029
24 0.62105 -0.50771 0.83802 0.4786
25 0.62226 -0.50876 0.84431 0.48702
26 0.62357 -0.51183 0.85292 0.49552
27 0.6249 -0.51393 0.8623 0.50406
28 0.62619 -0.51473 0.869 0.51256
29 0.62742 -0.51467 0.88175 0.52097
30 0.62857 -0.51458 0.88818 0.52927
31 0.62966 -0.51561 0.89642 0.53744
32 0.63069 -0.51855 0.90336 0.54547
33 0.6317 -0.52144 0.91054 0.55339
34 0.63269 -0.52451 0.91361 0.56119
35 0.63367 -0.52524 0.92009 0.56891
36 0.63466 -0.52594 0.92625 0.57654
37 0.63565 -0.52661 0.93777 0.5841
38 0.63665 -0.52722 0.94828 0.5916
39 0.63763 -0.52912 0.95712 0.59902
40 0.63861 -0.53297 0.96555 0.60638
Return to Figure 2

Figure 2 Panel 8 Data: Investment Impulse Responses (in percentage deviation) from Stationary VAR

0 -0.27895 -0.74551 0.45046 -0.56678
1 1.945 -1.6878 2.5311 -0.52607
2 2.1804 -1.4319 3.0356 0.84782
3 2.1095 -1.2852 3.175 1.4766
4 2.3273 -1.4078 3.4529 2.1984
5 2.1261 -1.3173 3.3361 2.3259
6 1.6419 -1.0361 2.8595 2.1492
7 1.2595 -0.93215 2.4421 1.803
8 0.86929 -0.80328 2.0133 1.4633
9 0.62185 -0.77768 1.6632 1.0747
10 0.49866 -0.7614 1.4553 0.77983
11 0.46573 -0.7528 1.2986 0.57129
12 0.49219 -0.71142 1.2627 0.467
13 0.56114 -0.73096 1.2344 0.42873
14 0.62825 -0.76784 1.2194 0.43883
15 0.68103 -0.77254 1.2323 0.46509
16 0.71071 -0.78335 1.224 0.49534
17 0.71851 -0.78821 1.2063 0.51391
18 0.70856 -0.78635 1.197 0.51834
19 0.68891 -0.77464 1.1868 0.50878
20 0.66563 -0.76322 1.1571 0.49079
21 0.64459 -0.75319 1.1184 0.46886
22 0.62863 -0.7443 1.1052 0.44805
23 0.6188 -0.74089 1.0752 0.43122
24 0.61441 -0.7422 1.0634 0.42011
25 0.61412 -0.73711 1.0627 0.41469
26 0.61616 -0.73518 1.0683 0.41415
27 0.61905 -0.7316 1.063 0.41707
28 0.62168 -0.72968 1.0576 0.42209
29 0.62349 -0.7281 1.0541 0.42803
30 0.62432 -0.72088 1.05 0.43414
31 0.62434 -0.71681 1.0491 0.44
32 0.62384 -0.70918 1.0501 0.44553
33 0.62316 -0.70797 1.0597 0.45084
34 0.62258 -0.70675 1.0709 0.45614
35 0.62228 -0.70998 1.0816 0.46161
36 0.62232 -0.7122 1.09 0.4674
37 0.62269 -0.71041 1.0937 0.47359
38 0.62333 -0.70661 1.0968 0.48017
39 0.62416 -0.69853 1.0989 0.48709
40 0.62507 -0.69336 1.1059 0.49427
Return to Figure 2

Figure A.1 Panel 1 Data: Total Factor Productivity Impulse Responses (in percentage deviation) from VECM

0 -5.36E-17 3.66E-17 0.044875 -2.76E-17 5.39E-18
1 -0.028898 0.12693 0.096051 0.038047 0.087796
2 -0.03292 0.052744 0.049991 -0.0073547 0.049316
3 -0.11283 0.091217 -0.044772 -0.1126 0.047944
4 -0.19935 0.18013 -0.14184 -0.19786 0.1167
5 -0.19608 0.14565 -0.13881 -0.19333 0.064387
6 -0.22164 0.15261 -0.16264 -0.21498 0.056305
7 -0.21895 0.15318 -0.16394 -0.21317 0.058856
8 -0.18812 0.13323 -0.13989 -0.18366 0.052765
9 -0.14962 0.11375 -0.10462 -0.14813 0.05284
10 -0.12015 0.10503 -0.077626 -0.11994 0.063928
11 -0.091165 0.088307 -0.044163 -0.086695 0.066473
12 -0.076367 0.076855 -0.017847 -0.061307 0.070158
13 -0.069266 0.077069 0.0026382 -0.042411 0.076831
14 -0.062554 0.082069 0.018932 -0.026794 0.080891
15 -0.055285 0.087373 0.033321 -0.013144 0.082028
16 -0.05007 0.09367 0.043846 -0.002799 0.083395
17 -0.043613 0.10002 0.054718 0.0082828 0.083363
18 -0.035545 0.10679 0.066535 0.020669 0.08186
19 -0.026544 0.11565 0.079698 0.034458 0.080153
20 -0.016599 0.12699 0.094224 0.049801 0.078375
21 -0.005363 0.14072 0.11059 0.066964 0.076196
22 -0.0014386 0.15637 0.12788 0.085003 0.074072
23 -0.012923 0.17342 0.14579 0.10358 0.071995
24 -0.024611 0.19112 0.16392 0.12233 0.069738
25 -0.036321 0.20891 0.18193 0.14091 0.067292
26 -0.047906 0.22649 0.19954 0.15907 0.064667
27 -0.059477 0.24368 0.21675 0.17684 0.061725
28 -0.071042 0.26041 0.23354 0.19423 0.058445
29 -0.082631 0.27677 0.24999 0.21131 0.054852
30 -0.094305 0.29286 0.2662 0.2282 0.050944
31 -0.10611 0.30883 0.28226 0.245 0.046735
32 -0.11805 0.32469 0.29824 0.26174 0.042275
33 -0.13011 0.34049 0.31418 0.27847 0.037592
34 -0.14227 0.35632 0.33007 0.29517 0.032707
35 -0.15452 0.37203 0.34588 0.31182 0.027645
36 -0.16681 0.38768 0.36159 0.32836 0.022423
37 -0.17911 0.40312 0.37715 0.34475 0.017046
38 -0.19139 0.41839 0.3925 0.36095 0.01152
39 -0.20364 0.43335 0.40763 0.37692 0.005852
40 -0.21583 0.44809 0.4225 0.39265 4.39E-05
Return to Figure a1

Figure A.1 Panel 2 Data: Stock Price Impulse Responses (in percentage deviation) from VECM

0 4.92E-16 4.8253 2.6641 2.5855 2.3246
1 0.033662 6.1554 3.3904 3.1624 3.1044
2 -0.19186 6.2192 3.7645 3.4928 2.8266
3 -0.35866 5.6371 3.6561 3.3172 2.3959
4 0.030274 5.4976 3.3111 2.9202 2.675
5 -0.034044 5.1999 3.1852 2.815 2.4752
6 -0.2447 4.8582 3.135 2.8067 2.1232
7 -0.33983 4.5276 2.9796 2.7063 1.8774
8 -0.49662 4.4541 3.0008 2.7913 1.6974
9 -0.79121 4.5487 3.2241 3.0684 1.4648
10 -1.0808 4.7518 3.5146 3.3921 1.2822
11 -1.3403 5.0155 3.8148 3.7216 1.154
12 -1.6067 5.3077 4.14 4.0672 1.0291
13 -1.8346 5.5664 4.4273 4.3651 0.92426
14 -2.0189 5.7702 4.6579 4.6013 0.83519
15 -2.1826 5.9123 4.838 4.787 0.73446
16 -2.3255 5.9975 4.972 4.9258 0.62561
17 -2.4464 6.0412 5.0645 5.0255 0.51734
18 -2.5625 6.0633 5.137 5.1081 0.40176
19 -2.6782 6.0744 5.1996 5.1831 0.27995
20 -2.7925 6.0869 5.2585 5.2559 0.15852
21 -2.9079 6.1061 5.3201 5.3323 0.038443
22 -3.0253 6.1345 5.3873 5.4142 -0.079929
23 -3.1412 6.1706 5.4572 5.4981 -0.19389
24 -3.2538 6.2094 5.5276 5.5814 -0.30315
25 -3.362 6.249 5.5954 5.6611 -0.40849
26 -3.4641 6.2832 5.6575 5.734 -0.51002
27 -3.5593 6.3113 5.7115 5.7979 -0.60816
28 -3.6477 6.3301 5.7566 5.8523 -0.70381
29 -3.7294 6.3414 5.7925 5.897 -0.7973
30 -3.8049 6.3433 5.8196 5.9326 -0.88876
31 -3.8749 6.3397 5.8389 5.9603 -0.97834
32 -3.9399 6.3292 5.8514 5.981 -1.066
33 -4.0002 6.3149 5.8581 5.9957 -1.1514
34 -4.0562 6.2961 5.8597 6.0052 -1.2344
35 -4.1079 6.2742 5.8567 6.0097 -1.3149
36 -4.1553 6.2492 5.8493 6.0095 -1.3926
37 -4.1984 6.2204 5.8375 6.0046 -1.4675
38 -4.2371 6.1892 5.8214 5.9948 -1.5396
39 -4.2713 6.1533 5.8006 5.9802 -1.6087
40 -4.301 6.1147 5.7753 5.9604 -1.675
Return to Figure a1

Figure A.1 Panel 3 Data: Consumption Impulse Responses (in percentage deviation) from VECM

0 -0.45955 0.46747 0.43358 0.43393 -0.36142
1 -0.47127 0.52244 0.52622 0.51875 -0.30432
2 -0.52718 0.5882 0.59534 0.58495 -0.33624
3 -0.54119 0.64226 0.65983 0.64226 -0.30763
4 -0.51308 0.65565 0.67806 0.65198 -0.25292
5 -0.50572 0.65888 0.68444 0.6533 -0.23969
6 -0.505 0.64948 0.68037 0.64526 -0.24576
7 -0.49011 0.62521 0.65994 0.62184 -0.24245
8 -0.4772 0.60439 0.64042 0.60165 -0.23949
9 -0.47424 0.59403 0.62975 0.59214 -0.24319
10 -0.47478 0.5888 0.62367 0.58747 -0.24828
11 -0.47639 0.58917 0.62237 0.58798 -0.25047
12 -0.48297 0.59813 0.6295 0.59685 -0.25324
13 -0.49174 0.61191 0.6419 0.61035 -0.25546
14 -0.49995 0.62726 0.65606 0.62514 -0.25559
15 -0.50821 0.64344 0.6711 0.64055 -0.25522
16 -0.51604 0.65877 0.68566 0.65515 -0.2549
17 -0.52248 0.67201 0.69829 0.66763 -0.25423
18 -0.52815 0.68339 0.70912 0.67831 -0.2539
19 -0.53349 0.69316 0.71848 0.68758 -0.25429
20 -0.53847 0.70167 0.72659 0.69571 -0.25512
21 -0.54344 0.70961 0.73407 0.70336 -0.25637
22 -0.54877 0.71759 0.74151 0.71111 -0.25811
23 -0.55445 0.72586 0.74917 0.71919 -0.26015
24 -0.56048 0.73461 0.75724 0.72773 -0.26234
25 -0.56689 0.74391 0.76582 0.7368 -0.26466
26 -0.57356 0.75363 0.7748 0.74629 -0.26703
27 -0.58037 0.76362 0.78405 0.75601 -0.26943
28 -0.58725 0.77372 0.79341 0.76582 -0.27186
29 -0.59414 0.78376 0.80274 0.77558 -0.27436
30 -0.60098 0.7936 0.81191 0.78518 -0.27691
31 -0.60776 0.8032 0.82088 0.79456 -0.27957
32 -0.61448 0.81253 0.82962 0.80371 -0.28234
33 -0.62116 0.82161 0.83813 0.81265 -0.28522
34 -0.6278 0.83048 0.84644 0.8214 -0.28822
35 -0.63443 0.83916 0.85459 0.83 -0.29133
36 -0.64105 0.84769 0.8626 0.83848 -0.29453
37 -0.64767 0.85609 0.87049 0.84685 -0.29782
38 -0.65427 0.86437 0.87828 0.85512 -0.30118
39 -0.66085 0.87253 0.88596 0.86329 -0.3046
40 -0.6674 0.88055 0.89352 0.87134 -0.30807
Return to Figure a1

Figure A.1 Panel 4 Data: Hours Impulse Responses (in percentage deviation) from VECM

0 -0.23766 0.2489 0.15338 0.24033 -0.1726
1 -0.50533 0.56928 0.45123 0.56715 -0.31651
2 -0.62933 0.79302 0.68699 0.78992 -0.31903
3 -0.66295 0.95942 0.84883 0.93139 -0.24682
4 -0.69888 1.0422 0.94687 1.0044 -0.23989
5 -0.64242 1.037 0.94338 0.97861 -0.17078
6 -0.57818 0.98148 0.89285 0.91314 -0.12459
7 -0.52727 0.89245 0.81983 0.83101 -0.11516
8 -0.4767 0.77468 0.72417 0.72969 -0.12355
9 -0.42871 0.66167 0.62679 0.63207 -0.13284
10 -0.40142 0.57806 0.55342 0.56184 -0.15134
11 -0.3877 0.52496 0.50422 0.51704 -0.1692
12 -0.38323 0.49785 0.47629 0.49385 -0.18273
13 -0.38772 0.49206 0.46782 0.48971 -0.19379
14 -0.39638 0.49874 0.47225 0.49688 -0.20151
15 -0.40405 0.50953 0.48168 0.50749 -0.20451
16 -0.41001 0.51998 0.4917 0.51754 -0.20522
17 -0.4132 0.52625 0.49848 0.52351 -0.20508
18 -0.41265 0.5262 0.49961 0.52338 -0.2043
19 -0.40923 0.52023 0.49509 0.51764 -0.20387
20 -0.40417 0.50973 0.48615 0.50769 -0.20454
21 -0.39813 0.49628 0.47409 0.49494 -0.20611
22 -0.39192 0.48188 0.46059 0.48115 -0.20836
23 -0.38625 0.46805 0.44719 0.46777 -0.21112
24 -0.3813 0.45557 0.43477 0.45557 -0.214
25 -0.37704 0.44485 0.42374 0.44485 -0.21666
26 -0.37335 0.4357 0.41417 0.43558 -0.21895
27 -0.36995 0.42772 0.40576 0.42739 -0.22077
28 -0.36656 0.42039 0.39806 0.41979 -0.22205
29 -0.36297 0.41327 0.39064 0.41234 -0.22288
30 -0.35903 0.40593 0.38311 0.40468 -0.22332
31 -0.35466 0.39828 0.37522 0.39656 -0.22347
32 -0.34986 0.39012 0.36684 0.38791 -0.2234
33 -0.3447 0.3816 0.35798 0.37877 -0.22319
34 -0.33924 0.37273 0.34872 0.36921 -0.22284
35 -0.33355 0.36375 0.33918 0.35939 -0.22239
36 -0.32773 0.35467 0.32949 0.34942 -0.22181
37 -0.3218 0.34573 0.31977 0.33943 -0.2211
38 -0.3158 0.33686 0.3101 0.32949 -0.22023
39 -0.30974 0.32816 0.30051 0.31962 -0.2192
40 -0.30362 0.31961 0.29103 0.30984 -0.21798
Return to Figure a1

Figure A.1 Panel 5 Data: Total Factor Productivity Impulse Responses (in percentage deviation) from VECM

0 -1.72E-16 1.27E-16 0.10538 -1.09E-16 5.15E-17
1 -0.023531 0.11535 0.12343 0.044018 0.075027
2 -0.053913 0.071343 0.058837 -0.018325 0.069756
3 -0.10892 0.090987 -0.04141 -0.10882 0.053876
4 -0.21394 0.19643 -0.14131 -0.20874 0.13654
5 -0.21796 0.17105 -0.17021 -0.21779 0.091069
6 -0.22036 0.16119 -0.17057 -0.21872 0.075404
7 -0.20595 0.1427 -0.15995 -0.20275 0.059714
8 -0.18282 0.13931 -0.14128 -0.1823 0.070363
9 -0.14497 0.11114 -0.10661 -0.14463 0.056761
10 -0.11491 0.104 -0.073899 -0.11286 0.070483
11 -0.094118 0.091886 -0.048968 -0.086314 0.07262
12 -0.085688 0.08593 -0.028617 -0.067185 0.078247
13 -0.078588 0.081886 -0.013278 -0.052067 0.079951
14 -0.076947 0.085945 -0.0029788 -0.042117 0.085877
15 -0.071749 0.085202 0.0048061 -0.033513 0.085012
16 -0.068784 0.087521 0.011225 -0.02647 0.086349
17 -0.064102 0.088263 0.01743 -0.018913 0.085403
18 -0.058842 0.090501 0.025061 -0.01001 0.084696
19 -0.051238 0.092921 0.034823 0.0011988 0.082249
20 -0.043293 0.098571 0.046336 0.013976 0.080605
21 -0.03406 0.10585 0.059264 0.02817 0.078135
22 -0.024605 0.11572 0.073247 0.043206 0.076035
23 -0.014745 0.12695 0.087718 0.058682 0.073669
24 -0.0050096 0.1393 0.10225 0.074103 0.071454
25 -6.57E-05 0.15184 0.11657 0.089305 0.068877
26 -0.0093498 0.16454 0.13056 0.10412 0.06625
27 -0.018689 0.17704 0.14417 0.11861 0.063277
28 -0.028034 0.18945 0.15751 0.13281 0.060085
29 -0.037523 0.20175 0.17066 0.14687 0.05656
30 -0.047128 0.21406 0.18374 0.16086 0.052808
31 -0.056929 0.22644 0.19682 0.17488 0.048776
32 -0.066893 0.23896 0.20996 0.18896 0.044546
33 -0.077032 0.25161 0.22318 0.20311 0.040106
34 -0.087302 0.26437 0.23646 0.21731 0.035505
35 -0.097686 0.27718 0.24976 0.23152 0.03074
36 -0.10814 0.29006 0.26305 0.24569 0.025838
37 -0.11865 0.30288 0.27627 0.25979 0.020795
38 -0.12919 0.31559 0.2894 0.27378 0.015624
39 -0.13975 0.32824 0.30241 0.28763 0.010322
40 -0.1503 0.34068 0.31527 0.30133 0.0048973
Return to Figure a1

Figure A.1 Panel 6 Data: Stock Price Impulse Responses (in percentage deviation) from VECM

0 4.53E-16 4.7514 2.6626 2.7928 2.1571
1 -0.21262 6.0307 3.138 3.2118 3.0898
2 -0.032117 6.1484 3.3378 3.4293 2.9902
3 0.035907 5.6006 3.2858 3.2629 2.5746
4 -0.15945 5.4401 3.0289 2.9246 2.7594
5 -0.14336 5.0219 2.8006 2.703 2.5439
6 0.064743 4.7168 2.7204 2.7048 2.2156
7 0.030701 4.4098 2.5377 2.5672 2.0293
8 -0.018779 4.2551 2.4369 2.5163 1.915
9 -0.22929 4.2474 2.5542 2.6785 1.7212
10 -0.52249 4.3947 2.8322 2.9876 1.5155
11 -0.77798 4.6014 3.1239 3.2953 1.3659
12 -1.0264 4.8136 3.4125 3.5947 1.2206
13 -1.2503 5.0239 3.688 3.8716 1.095
14 -1.4414 5.2108 3.9254 4.1094 0.98907
15 -1.6089 5.3497 4.1154 4.3006 0.88277
16 -1.7641 5.4412 4.2649 4.4531 0.76533
17 -1.9017 5.5026 4.382 4.5736 0.64981
18 -2.0341 5.5452 4.4797 4.6778 0.52959
19 -2.1674 5.5816 4.5709 4.777 0.40415
20 -2.3027 5.6206 4.6618 4.877 0.27619
21 -2.438 5.6669 4.755 4.9793 0.15022
22 -2.5749 5.7205 4.8528 5.0857 0.024861
23 -2.7113 5.7811 4.9545 5.195 -0.097482
24 -2.8455 5.8467 5.0571 5.3043 -0.21654
25 -2.9757 5.9121 5.1576 5.4103 -0.33204
26 -3.101 5.9743 5.2534 5.5106 -0.44447
27 -3.2203 6.0322 5.3425 5.6034 -0.55363
28 -3.3337 6.0826 5.4238 5.688 -0.66027
29 -3.4414 6.1277 5.4971 5.7642 -0.7646
30 -3.5438 6.1649 5.5628 5.8326 -0.8669
31 -3.6411 6.1981 5.6216 5.894 -0.96713
32 -3.734 6.225 5.6743 5.949 -1.0654
33 -3.8226 6.2494 5.7216 5.9985 -1.1615
34 -3.9072 6.269 5.7642 6.043 -1.2553
35 -3.9877 6.2865 5.8023 6.0827 -1.3467
36 -4.0642 6.3001 5.8361 6.1178 -1.4356
37 -4.1365 6.3108 5.8656 6.1481 -1.5218
38 -4.2046 6.3182 5.8906 6.1737 -1.6053
39 -4.2684 6.3214 5.9111 6.1943 -1.686
40 -4.3279 6.3219 5.9269 6.21 -1.764
Return to Figure a1

Figure A.1 Panel 7 Data: Consumption Impulse Responses (in percentage deviation) from VECM

0 -0.44321 0.45107 0.43139 0.40784 -0.35684
1 -0.46319 0.51758 0.53923 0.51051 -0.30783
2 -0.51812 0.58233 0.61053 0.57542 -0.34097
3 -0.52676 0.63428 0.66678 0.63385 -0.30893
4 -0.49979 0.64711 0.68139 0.64595 -0.2587
5 -0.48548 0.64694 0.68228 0.6441 -0.23844
6 -0.47415 0.62847 0.66292 0.62607 -0.23518
7 -0.46774 0.60756 0.64665 0.60632 -0.24072
8 -0.45462 0.58774 0.62595 0.58676 -0.23595
9 -0.45116 0.57531 0.61116 0.57486 -0.2399
10 -0.45429 0.57184 0.60496 0.57168 -0.24709
11 -0.45394 0.57101 0.60139 0.57087 -0.24719
12 -0.45925 0.57712 0.60519 0.577 -0.25051
13 -0.46714 0.58894 0.6153 0.58875 -0.2534
14 -0.47563 0.60311 0.62833 0.60276 -0.25544
15 -0.48334 0.61713 0.64152 0.6166 -0.25643
16 -0.49049 0.63002 0.65378 0.62927 -0.25748
17 -0.49648 0.64138 0.66461 0.64034 -0.25802
18 -0.50154 0.65086 0.67353 0.64958 -0.25855
19 -0.50627 0.65888 0.68101 0.65744 -0.25965
20 -0.51087 0.66596 0.6875 0.66442 -0.26123
21 -0.51543 0.67257 0.69346 0.67097 -0.26308
22 -0.52034 0.67926 0.69944 0.67762 -0.2654
23 -0.52562 0.68632 0.70577 0.68465 -0.26797
24 -0.53127 0.69387 0.71256 0.69217 -0.27072
25 -0.53721 0.70188 0.71984 0.70014 -0.27356
26 -0.54339 0.71028 0.72753 0.70849 -0.27649
27 -0.5497 0.7189 0.73549 0.71707 -0.27943
28 -0.55607 0.7276 0.74357 0.72571 -0.28241
29 -0.56244 0.73624 0.75163 0.73431 -0.28542
30 -0.56877 0.74473 0.75957 0.74276 -0.28849
31 -0.57504 0.75303 0.76735 0.75104 -0.29161
32 -0.58128 0.76114 0.77495 0.75912 -0.29481
33 -0.58748 0.76906 0.78238 0.76704 -0.2981
34 -0.59366 0.77683 0.78967 0.77481 -0.30147
35 -0.59984 0.78447 0.79684 0.78247 -0.30492
36 -0.60601 0.79201 0.80393 0.79003 -0.30843
37 -0.61218 0.79947 0.81094 0.79752 -0.31201
38 -0.61835 0.80685 0.81788 0.80493 -0.31563
39 -0.6245 0.81414 0.82476 0.81226 -0.3193
40 -0.63063 0.82133 0.83155 0.81949 -0.323
Return to Figure a1

Figure A.1 Panel 8 Data: Investment Impulse Responses (in percentage deviation) from VECM

0 -0.91295 0.94029 0.98755 0.871 -0.71118
1 -1.17 1.5044 1.5907 1.5025 -0.61308
2 -1.5757 2.0586 2.2321 2.0535 -0.80245
3 -1.5192 2.2781 2.4117 2.227 -0.58287
4 -1.2349 2.0655 2.1933 1.9724 -0.34853
5 -1.0097 1.805 1.9381 1.6962 -0.22036
6 -0.74339 1.5069 1.5971 1.372 -0.067196
7 -0.62285 1.1859 1.2983 1.0971 -0.096779
8 -0.5041 0.89574 1.0151 0.84304 -0.11301
9 -0.43248 0.6792 0.80003 0.65772 -0.14758
10 -0.40748 0.57427 0.68265 0.56751 -0.17935
11 -0.41653 0.55325 0.6413 0.55101 -0.20582
12 -0.44391 0.58493 0.6558 0.58307 -0.22256
13 -0.47446 0.63841 0.69509 0.63495 -0.2288
14 -0.50186 0.69797 0.74553 0.6912 -0.22689
15 -0.52325 0.75295 0.79316 0.74162 -0.22037
16 -0.53484 0.79268 0.82723 0.77664 -0.21089
17 -0.53963 0.81416 0.84495 0.7949 -0.20404
18 -0.53672 0.8189 0.8469 0.79778 -0.19742
19 -0.53161 0.81254 0.83855 0.79131 -0.19467
20 -0.52667 0.80142 0.82563 0.78116 -0.19502
21 -0.52436 0.79049 0.81289 0.77192 -0.19865
22 -0.52529 0.78334 0.80377 0.76659 -0.20418
23 -0.52991 0.78198 0.80015 0.76675 -0.21107
24 -0.5376 0.78672 0.80249 0.77254 -0.21824
25 -0.54761 0.79654 0.80996 0.78303 -0.22532
26 -0.55892 0.80985 0.82112 0.79667 -0.23193
27 -0.57076 0.82498 0.83438 0.81192 -0.23809
28 -0.58244 0.84052 0.84832 0.82745 -0.2438
29 -0.59369 0.85544 0.86195 0.84237 -0.24933
30 -0.60436 0.8692 0.87466 0.85621 -0.25482
31 -0.61453 0.88169 0.88627 0.86886 -0.26046
32 -0.62434 0.89309 0.89688 0.88051 -0.26634
33 -0.634 0.90369 0.90679 0.89145 -0.27252
34 -0.64365 0.91385 0.91632 0.90204 -0.27898
35 -0.65343 0.92389 0.92577 0.91254 -0.28569
36 -0.66337 0.934 0.93533 0.92315 -0.29256
37 -0.67346 0.94428 0.94511 0.93393 -0.29954
38 -0.68367 0.95472 0.9551 0.94487 -0.30657
39 -0.69392 0.96528 0.96523 0.95588 -0.3136
40 -0.70415 0.9759 0.97539 0.96687 -0.32061
Return to Figure a1

Figure A.2 Panel 1 Data: Total Factor Productivity Impulse Responses for Demand Shock Candidates (in percentage deviation) from VECM

0 -0.63046 0.68949
1 -0.55329 0.56468
2 -0.47016 0.4938
3 -0.35676 0.39289
4 -0.37249 0.39657
5 -0.21381 0.24941
6 -0.21772 0.26612
7 -0.20111 0.24586
8 -0.2042 0.24368
9 -0.20305 0.2316
10 -0.23697 0.25566
11 -0.24721 0.25913
12 -0.26917 0.27758
13 -0.28641 0.29182
14 -0.29934 0.30307
15 -0.30119 0.30366
16 -0.30395 0.30562
17 -0.30158 0.30256
18 -0.2987 0.29923
19 -0.29577 0.2958
20 -0.2946 0.29413
21 -0.29347 0.29247
22 -0.2939 0.29237
23 -0.29544 0.29277
24 -0.29744 0.29351
25 -0.29915 0.29398
26 -0.30059 0.29425
27 -0.30125 0.29379
28 -0.30193 0.2927
29 -0.30214 0.29096
30 -0.30176 0.2887
31 -0.30086 0.28597
32 -0.29961 0.28295
33 -0.29807 0.2797
34 -0.29632 0.27628
35 -0.29438 0.27272
36 -0.29225 0.26903
37 -0.2902 0.26519
38 -0.28887 0.26118
39 -0.28725 0.25699
40 -0.28534 0.2526
41 -0.28314 0.248
42 -0.28063 0.24321
43 -0.27785 0.23823
44 -0.27479 0.23308
45 -0.27149 0.22777
46 -0.26795 0.22233
47 -0.2642 0.21675
48 -0.26024 0.21107
49 -0.25608 0.20529
50 -0.25174 0.19941
51 -0.24722 0.19345
52 -0.24253 0.18741
53 -0.23767 0.1813
54 -0.23398 0.17513
55 -0.23039 0.16889
56 -0.22663 0.16261
57 -0.2227 0.15629
58 -0.2186 0.14993
59 -0.21436 0.14355
60 -0.20997 0.13716
61 -0.20544 0.13076
62 -0.20078 0.12435
63 -0.19601 0.11796
64 -0.19113 0.11157
65 -0.18614 0.10521
66 -0.18106 0.098877
67 -0.17589 0.092577
68 -0.17064 0.086316
69 -0.16532 0.080102
70 -0.15993 0.073939
71 -0.15449 0.067834
72 -0.15024 0.061792
73 -0.14676 0.055819
74 -0.1432 0.04992
75 -0.13956 0.044099
76 -0.13584 0.038362
77 -0.13206 0.032714
78 -0.12821 0.027157
79 -0.1243 0.021698
80 -0.12035 0.016338
81 -0.11635 0.011083
82 -0.11231 0.0059361
83 -0.10824 0.00090001
84 -0.10541 -0.0032691
85 -0.10326 0.0017454
86 -0.10105 0.0066431
87 -0.098774 0.011421
88 -0.096438 0.016077
89 -0.094047 0.020609
90 -0.091604 0.025013
91 -0.090234 0.029289
92 -0.089036 0.033434
93 -0.087765 0.037446
94 -0.086424 0.041324
95 -0.085689 0.045067
96 -0.085031 0.048674
97 -0.084434 0.052143
98 -0.084134 0.055475
99 -0.083936 0.058667
100 -0.083878 0.061721
101 -0.083963 0.064635
102 -0.084157 0.06741
103 -0.084466 0.070045
104 -0.084861 0.072542
105 -0.085336 0.074899
106 -0.085874 0.077119
107 -0.086463 0.0792
108 -0.087092 0.081145
109 -0.087749 0.082954
110 -0.088422 0.084629
111 -0.089102 0.086169
112 -0.089779 0.087578
113 -0.090451 0.088856
114 -0.091102 0.090004
115 -0.091726 0.091025
116 -0.092295 0.09192
117 -0.092882 0.092691
118 -0.093352 0.093341
119 -0.093706 0.09387
120 -0.093947 0.094281
121 -0.094077 0.094577
122 -0.094097 0.094945
123 -0.094012 0.095241
124 -0.093822 0.095423
125 -0.093531 0.095493
126 -0.093142 0.095455
127 -0.092657 0.095491
128 -0.092078 0.095539
129 -0.091409 0.095479
130 -0.090653 0.095313
131 -0.089811 0.095044
132 -0.088888 0.094673
133 -0.087886 0.094205
134 -0.086808 0.093641
135 -0.085657 0.092985
136 -0.084436 0.092288
137 -0.083148 0.091849
138 -0.081796 0.091316
139 -0.080382 0.090694
140 -0.078911 0.089983
141 -0.077384 0.089187
142 -0.075805 0.088309
143 -0.074177 0.087352
144 -0.072503 0.086319
145 -0.070785 0.085212
146 -0.069027 0.084034
147 -0.067232 0.082789
148 -0.065402 0.081479
149 -0.06354 0.080107
150 -0.061649 0.078676
151 -0.059732 0.07719
152 -0.057792 0.075651
153 -0.055831 0.074425
154 -0.053853 0.073293
155 -0.051858 0.072104
156 -0.049852 0.07086
157 -0.047834 0.069566
158 -0.04581 0.068223
159 -0.04378 0.066834
160 -0.041747 0.065401
Return to Figure a2

Figure A.2 Panel 2 Data: Stock Price Impulse Responses for Demand Shock Candidates (in percentage deviation) from VECM

0 -4.1274 2.229
1 -5.5574 3.5116
2 -5.3874 3.3485
3 -4.9682 3.5664
4 -5.3069 4.1324
5 -4.9974 3.9036
6 -4.3167 3.0818
7 -3.8818 2.6143
8 -3.6226 2.2339
9 -3.4323 1.9516
10 -3.3675 1.8409
11 -3.4063 1.8784
12 -3.4477 1.892
13 -3.4968 1.9364
14 -3.5275 1.9638
15 -3.5088 1.9444
16 -3.4452 1.8768
17 -3.3568 1.7863
18 -3.2418 1.6595
19 -3.1115 1.5148
20 -2.9795 1.367
21 -2.8523 1.2249
22 -2.779 1.0902
23 -2.71 0.96894
24 -2.6446 0.85851
25 -2.5804 0.75613
26 -2.5162 0.659
27 -2.4504 0.56486
28 -2.3823 0.47076
29 -2.3113 0.3759
30 -2.2379 0.27998
31 -2.1623 0.18326
32 -2.0852 0.086453
33 -2.0071 -0.0093579
34 -1.964 -0.032097
35 -1.9231 0.063464
36 -1.8811 0.15617
37 -1.8381 0.24583
38 -1.7941 0.33251
39 -1.7491 0.41631
40 -1.7074 0.49744
41 -1.6858 0.57607
42 -1.6627 0.65233
43 -1.6383 0.72628
44 -1.6146 0.79793
45 -1.6033 0.86724
46 -1.5904 0.93412
47 -1.5819 0.99851
48 -1.5758 1.0603
49 -1.5738 1.1195
50 -1.5737 1.1761
51 -1.5759 1.2299
52 -1.5804 1.2811
53 -1.5867 1.3297
54 -1.5946 1.3756
55 -1.6039 1.4189
56 -1.6143 1.4596
57 -1.6256 1.4978
58 -1.6376 1.5334
59 -1.65 1.5665
60 -1.6627 1.5971
61 -1.6755 1.6252
62 -1.6882 1.6509
63 -1.7006 1.674
64 -1.7126 1.6948
65 -1.7243 1.7132
66 -1.7351 1.7292
67 -1.7454 1.7429
68 -1.7535 1.7543
69 -1.7594 1.7635
70 -1.7632 1.7705
71 -1.765 1.776
72 -1.7647 1.783
73 -1.7625 1.7878
74 -1.7583 1.7905
75 -1.7522 1.7912
76 -1.7443 1.7898
77 -1.7346 1.7917
78 -1.7232 1.7919
79 -1.7101 1.7902
80 -1.6954 1.7864
81 -1.6791 1.7807
82 -1.6613 1.7732
83 -1.6421 1.7638
84 -1.6214 1.7526
85 -1.5994 1.7398
86 -1.576 1.7286
87 -1.5515 1.7198
88 -1.5257 1.7092
89 -1.4988 1.697
90 -1.4709 1.6831
91 -1.4419 1.6677
92 -1.412 1.6507
93 -1.3812 1.6323
94 -1.3495 1.6125
95 -1.317 1.5913
96 -1.2838 1.5687
97 -1.2499 1.545
98 -1.2154 1.52
99 -1.1803 1.4939
100 -1.1447 1.4667
101 -1.1085 1.4385
102 -1.072 1.4097
103 -1.0351 1.3892
104 -0.99791 1.3676
105 -0.96042 1.3449
106 -0.92271 1.3213
107 -0.88482 1.2967
108 -0.8468 1.2712
109 -0.8087 1.2449
110 -0.77056 1.2178
111 -0.73243 1.1899
112 -0.69435 1.1613
113 -0.65635 1.1321
114 -0.61849 1.1023
115 -0.58079 1.0719
116 -0.54331 1.041
117 -0.50607 1.0096
118 -0.46911 0.97779
119 -0.43247 0.94563
120 -0.39618 0.91313
121 -0.36028 0.8905
122 -0.32479 0.86966
123 -0.28975 0.84833
124 -0.25519 0.82653
125 -0.22113 0.80429
126 -0.1876 0.78166
127 -0.15462 0.75867
128 -0.12223 0.73535
129 -0.090437 0.71174
130 -0.059272 0.68786
131 -0.028753 0.66376
132 0.0010995 0.63946
133 0.012893 0.62517
134 -0.016827 0.61229
135 -0.045848 0.59902
136 -0.074154 0.58537
137 -0.10173 0.57139
138 -0.12856 0.55707
139 -0.15463 0.54277
140 -0.17993 0.53599
141 -0.20445 0.52876
142 -0.22817 0.5211
143 -0.2511 0.51316
144 -0.27322 0.50962
145 -0.29453 0.5056
146 -0.31501 0.50262
147 -0.33468 0.50072
148 -0.35352 0.49987
149 -0.37153 0.49972
150 -0.3887 0.50034
151 -0.40505 0.50168
152 -0.42057 0.50361
153 -0.43526 0.50609
154 -0.44912 0.509
155 -0.46216 0.51228
156 -0.47439 0.51585
157 -0.48579 0.51964
158 -0.49639 0.52358
159 -0.50619 0.5276
160 -0.5152 0.53166
Return to Figure a2

Figure A.2 Panel 3 Data: Consumption Impulse Responses for Demand Shock Candidates (in percentage deviation) from VECM

0 0.0047718 0.19002
1 -0.1143 0.16865
2 -0.12495 0.18004
3 -0.15462 0.1711
4 -0.21234 0.21379
5 -0.23611 0.23679
6 -0.22327 0.22462
7 -0.22128 0.2238
8 -0.21109 0.21432
9 -0.18536 0.18883
10 -0.16196 0.16566
11 -0.14948 0.1528
12 -0.14137 0.14379
13 -0.14004 0.14153
14 -0.14496 0.14562
15 -0.15147 0.15163
16 -0.15767 0.15739
17 -0.16369 0.16301
18 -0.16797 0.16685
19 -0.1703 0.16851
20 -0.17102 0.16863
21 -0.17046 0.16752
22 -0.16888 0.1654
23 -0.167 0.16299
24 -0.16549 0.16066
25 -0.16445 0.15855
26 -0.16375 0.15678
27 -0.16335 0.15532
28 -0.16309 0.15404
29 -0.16283 0.15279
30 -0.16245 0.15146
31 -0.16185 0.14996
32 -0.16098 0.14822
33 -0.15993 0.14624
34 -0.15917 0.14404
35 -0.15817 0.14163
36 -0.15697 0.13907
37 -0.15561 0.1364
38 -0.15412 0.13365
39 -0.15252 0.13084
40 -0.15082 0.12798
41 -0.14902 0.12507
42 -0.14711 0.12211
43 -0.1451 0.11909
44 -0.14297 0.11602
45 -0.14073 0.11288
46 -0.13837 0.10967
47 -0.1359 0.10641
48 -0.13332 0.1031
49 -0.13065 0.099737
50 -0.12857 0.096337
51 -0.1266 0.092906
52 -0.12453 0.089449
53 -0.12237 0.085973
54 -0.12013 0.082482
55 -0.1178 0.07898
56 -0.11539 0.075471
57 -0.11291 0.071958
58 -0.11037 0.068445
59 -0.10775 0.064935
60 -0.10507 0.061432
61 -0.10234 0.057939
62 -0.099548 0.054461
63 -0.096711 0.051
64 -0.09383 0.047561
65 -0.09091 0.044147
66 -0.087954 0.040761
67 -0.084966 0.037407
68 -0.082582 0.034088
69 -0.080674 0.030807
70 -0.07872 0.027566
71 -0.076722 0.024368
72 -0.074683 0.021216
73 -0.072607 0.018112
74 -0.070496 0.015059
75 -0.068354 0.012059
76 -0.066185 0.0091139
77 -0.06399 0.0062258
78 -0.061774 0.0033967
79 -0.059539 0.00062861
80 -0.057932 -0.0019318
81 -0.056755 0.00082449
82 -0.055542 0.0035167
83 -0.054293 0.0061434
84 -0.053012 0.0087031
85 -0.051701 0.011194
86 -0.050361 0.013616
87 -0.049573 0.015967
88 -0.048917 0.018246
89 -0.048222 0.020453
90 -0.047487 0.022586
91 -0.047063 0.024644
92 -0.046704 0.026628
93 -0.046365 0.028537
94 -0.046202 0.03037
95 -0.046086 0.032126
96 -0.046051 0.033807
97 -0.046095 0.035411
98 -0.046197 0.036938
99 -0.046365 0.038388
100 -0.046581 0.039763
101 -0.046839 0.041061
102 -0.047133 0.042283
103 -0.047455 0.04343
104 -0.0478 0.044501
105 -0.048159 0.045498
106 -0.048529 0.046421
107 -0.048903 0.047271
108 -0.049275 0.048048
109 -0.049643 0.048753
110 -0.050001 0.049387
111 -0.050344 0.049951
112 -0.05066 0.050445
113 -0.050982 0.050872
114 -0.051243 0.051232
115 -0.051441 0.051526
116 -0.051576 0.051755
117 -0.05165 0.05192
118 -0.051664 0.052119
119 -0.05162 0.052285
120 -0.051519 0.052388
121 -0.051362 0.052429
122 -0.05115 0.052411
123 -0.050887 0.052425
124 -0.050571 0.052455
125 -0.050207 0.052425
126 -0.049794 0.052337
127 -0.049334 0.052191
128 -0.048829 0.051991
129 -0.048281 0.051736
130 -0.047691 0.051429
131 -0.047061 0.051071
132 -0.046393 0.05068
133 -0.045687 0.050442
134 -0.044946 0.050152
135 -0.044172 0.049812
136 -0.043366 0.049425
137 -0.042529 0.04899
138 -0.041663 0.04851
139 -0.040771 0.047987
140 -0.039853 0.047421
141 -0.038911 0.046815
142 -0.037947 0.046171
143 -0.036962 0.045489
144 -0.035958 0.044771
145 -0.034937 0.04402
146 -0.033899 0.043236
147 -0.032848 0.042421
148 -0.031783 0.041578
149 -0.030707 0.040892
150 -0.029621 0.040272
151 -0.028526 0.039621
152 -0.027425 0.038939
153 -0.026318 0.03823
154 -0.025206 0.037494
155 -0.024092 0.036732
156 -0.022976 0.035947
157 -0.021859 0.035139
158 -0.020744 0.03431
159 -0.019631 0.033462
160 -0.018521 0.032595
Return to Figure a2

Figure A.2 Panel 4 Data: Hours Impulse Responses for Demand Shock Candidates (in percentage deviation) from VECM

0 -0.15091 0.1517
1 -0.22057 0.2176
2 -0.11823 0.06665
3 -0.22306 0.11467
4 -0.29528 0.21325
5 -0.40473 0.33138
6 -0.43218 0.35816
7 -0.37389 0.29855
8 -0.28116 0.2099
9 -0.1997 0.1238
10 -0.13097 0.032683
11 -0.1131 0.033575
12 -0.1319 0.084813
13 -0.15256 0.11633
14 -0.16323 0.12962
15 -0.16188 0.1269
16 -0.15548 0.11779
17 -0.14767 0.1079
18 -0.14031 0.10012
19 -0.13499 0.096885
20 -0.13267 0.099045
21 -0.13299 0.10511
22 -0.13583 0.11369
23 -0.14055 0.1234
24 -0.14596 0.13277
25 -0.15099 0.14079
26 -0.15505 0.14711
27 -0.15785 0.15162
28 -0.15944 0.15457
29 -0.16013 0.15638
30 -0.16034 0.15753
31 -0.16039 0.15838
32 -0.16055 0.15922
33 -0.16096 0.1602
34 -0.16173 0.16133
35 -0.16264 0.16257
36 -0.16356 0.16381
37 -0.16438 0.16494
38 -0.16501 0.16586
39 -0.16537 0.16681
40 -0.16545 0.16756
41 -0.16523 0.168
42 -0.16475 0.16815
43 -0.16403 0.16804
44 -0.16311 0.16799
45 -0.16202 0.168
46 -0.16079 0.16784
47 -0.15943 0.16752
48 -0.15794 0.16704
49 -0.15634 0.16641
50 -0.15461 0.16563
51 -0.15275 0.16468
52 -0.15077 0.16357
53 -0.14865 0.16231
54 -0.14641 0.16157
55 -0.14405 0.16066
56 -0.14158 0.15958
57 -0.139 0.15834
58 -0.13632 0.15695
59 -0.13354 0.15541
60 -0.13068 0.15373
61 -0.12774 0.15193
62 -0.12473 0.14999
63 -0.12165 0.14793
64 -0.1185 0.14576
65 -0.11529 0.14347
66 -0.11202 0.14107
67 -0.1087 0.13856
68 -0.10534 0.13596
69 -0.10193 0.13326
70 -0.098488 0.13103
71 -0.095012 0.12905
72 -0.091508 0.12697
73 -0.087982 0.12479
74 -0.084437 0.12252
75 -0.080878 0.12017
76 -0.07731 0.11773
77 -0.073736 0.11522
78 -0.070161 0.11264
79 -0.06659 0.10999
80 -0.063025 0.10727
81 -0.05947 0.1045
82 -0.05593 0.10167
83 -0.052408 0.098797
84 -0.048908 0.095874
85 -0.045432 0.092911
86 -0.041985 0.089911
87 -0.03857 0.086878
88 -0.035189 0.084275
89 -0.031846 0.082343
90 -0.028544 0.080363
91 -0.025285 0.078338
92 -0.022072 0.07627
93 -0.018908 0.074165
94 -0.015795 0.072024
95 -0.012736 0.069851
96 -0.009732 0.067649
97 -0.0067859 0.065421
98 -0.0038996 0.063171
99 -0.001075 0.060901
100 0.0016862 0.059094
101 -0.00040455 0.057903
102 -0.0031525 0.056675
103 -0.0058341 0.05541
104 -0.0084477 0.054113
105 -0.010992 0.052784
106 -0.013466 0.051426
107 -0.015868 0.050511
108 -0.018197 0.04985
109 -0.020452 0.049149
110 -0.022633 0.048408
111 -0.024738 0.047911
112 -0.026768 0.047553
113 -0.02872 0.047169
114 -0.030596 0.047011
115 -0.032395 0.046871
116 -0.034116 0.046821
117 -0.035759 0.046859
118 -0.037324 0.04696
119 -0.038811 0.047118
120 -0.040221 0.04733
121 -0.041553 0.047586
122 -0.042808 0.04788
123 -0.043986 0.048204
124 -0.045087 0.048551
125 -0.046113 0.048915
126 -0.047063 0.049289
127 -0.047939 0.049669
128 -0.04874 0.050049
129 -0.049468 0.050422
130 -0.050124 0.050789
131 -0.050709 0.051138
132 -0.051223 0.05147
133 -0.051668 0.051795
134 -0.052044 0.052071
135 -0.052353 0.052282
136 -0.052596 0.052429
137 -0.052775 0.052514
138 -0.052967 0.052538
139 -0.053145 0.052502
140 -0.05326 0.052408
141 -0.053312 0.052257
142 -0.053303 0.052051
143 -0.0533 0.051791
144 -0.05334 0.051479
145 -0.053319 0.051115
146 -0.053238 0.050703
147 -0.053099 0.050243
148 -0.052904 0.049737
149 -0.052654 0.049186
150 -0.05235 0.048593
151 -0.051994 0.047959
152 -0.051588 0.047285
153 -0.051335 0.046573
154 -0.051048 0.045825
155 -0.050711 0.045043
156 -0.050324 0.044228
157 -0.049889 0.043382
158 -0.049408 0.042506
159 -0.048883 0.041603
160 -0.048315 0.040673
Return to Figure a2

Figure A.2 Panel 5 Data: Total Factor Productivity Impulse Responses for Demand Shock Candidates (in percentage deviation) from VECM

0 -0.68187 0.70899
1 -0.59571 0.59833
2 -0.55533 0.56225
3 -0.45768 0.47657
4 -0.48324 0.49426
5 -0.31926 0.33949
6 -0.31293 0.33979
7 -0.27303 0.3023
8 -0.27511 0.29472
9 -0.25897 0.27562
10 -0.28602 0.29377
11 -0.28652 0.29064
12 -0.30493 0.30705
13 -0.31292 0.3141
14 -0.32274 0.3232
15 -0.31978 0.32001
16 -0.31905 0.31911
17 -0.31208 0.31203
18 -0.30617 0.30597
19 -0.29875 0.29826
20 -0.29374 0.29274
21 -0.28874 0.28705
22 -0.28587 0.28322
23 -0.28346 0.27963
24 -0.28199 0.27682
25 -0.28039 0.27378
26 -0.27902 0.27079
27 -0.27712 0.26725
28 -0.27498 0.26338
29 -0.27247 0.25898
30 -0.2696 0.25427
31 -0.26665 0.24924
32 -0.26368 0.24406
33 -0.26052 0.23875
34 -0.25746 0.23341
35 -0.25466 0.22803
36 -0.25178 0.22264
37 -0.24876 0.2172
38 -0.24581 0.21172
39 -0.24315 0.20618
40 -0.2403 0.20055
41 -0.23727 0.19485
42 -0.23406 0.18907
43 -0.23091 0.18321
44 -0.22812 0.1773
45 -0.22515 0.17133
46 -0.22204 0.16533
47 -0.21879 0.15931
48 -0.2154 0.15326
49 -0.21222 0.14721
50 -0.20945 0.14116
51 -0.20653 0.1351
52 -0.20349 0.12905
53 -0.20031 0.12301
54 -0.19701 0.11699
55 -0.19359 0.11099
56 -0.19068 0.105
57 -0.188 0.099052
58 -0.18519 0.093134
59 -0.18227 0.087256
60 -0.17923 0.081424
61 -0.17609 0.075641
62 -0.17285 0.069912
63 -0.16999 0.064243
64 -0.16757 0.058636
65 -0.16505 0.053097
66 -0.16242 0.047628
67 -0.1597 0.042233
68 -0.15688 0.036917
69 -0.15397 0.031681
70 -0.1514 0.02653
71 -0.14932 0.021466
72 -0.14713 0.016493
73 -0.14485 0.011613
74 -0.14248 0.0068292
75 -0.14003 0.0021438
76 -0.13754 -0.00021863
77 -0.13582 0.0043054
78 -0.13401 0.0087258
79 -0.1321 0.013041
80 -0.13011 0.017248
81 -0.12804 0.021347
82 -0.12633 0.025335
83 -0.12484 0.029211
84 -0.12327 0.032974
85 -0.12161 0.036623
86 -0.1199 0.040156
87 -0.11868 0.043572
88 -0.11737 0.046872
89 -0.11597 0.050054
90 -0.11466 0.053119
91 -0.11357 0.056064
92 -0.1124 0.058891
93 -0.11126 0.061599
94 -0.11029 0.064189
95 -0.10923 0.066659
96 -0.10834 0.069012
97 -0.10741 0.071246
98 -0.10658 0.073362
99 -0.10572 0.075361
100 -0.10496 0.077244
101 -0.10421 0.079011
102 -0.10349 0.080663
103 -0.10279 0.082201
104 -0.10212 0.083626
105 -0.10148 0.08494
106 -0.10085 0.086142
107 -0.10024 0.087236
108 -0.099654 0.088221
109 -0.099076 0.089099
110 -0.098509 0.089873
111 -0.097952 0.090543
112 -0.0974 0.091111
113 -0.096853 0.091579
114 -0.096309 0.091948
115 -0.095766 0.092221
116 -0.095222 0.092398
117 -0.094675 0.092483
118 -0.094125 0.092477
119 -0.093569 0.092382
120 -0.093007 0.0922
121 -0.092438 0.091933
122 -0.091859 0.091584
123 -0.091271 0.091154
124 -0.090671 0.090646
125 -0.09004 0.090061
126 -0.089337 0.089437
127 -0.088563 0.088801
128 -0.087721 0.088154
129 -0.086813 0.087495
130 -0.085841 0.086815
131 -0.084808 0.08612
132 -0.083715 0.085427
133 -0.082567 0.084687
134 -0.081363 0.083978
135 -0.080108 0.083211
136 -0.078803 0.082466
137 -0.077451 0.081694
138 -0.076054 0.08086
139 -0.074615 0.080106
140 -0.073135 0.079293
141 -0.071617 0.078422
142 -0.070064 0.077607
143 -0.068477 0.076788
144 -0.066859 0.075912
145 -0.065212 0.074983
146 -0.063539 0.074121
147 -0.061841 0.073283
148 -0.060121 0.072392
149 -0.05838 0.071451
150 -0.056622 0.070462
151 -0.054848 0.069572
152 -0.05306 0.068717
153 -0.05126 0.067815
154 -0.04945 0.066867
155 -0.047632 0.065876
156 -0.045808 0.064843
157 -0.04398 0.063954
158 -0.04215 0.063102
159 -0.04032 0.062208
160 -0.038491 0.061273
Return to Figure a2

Figure A.2 Panel 6 Data: Stock Price Impulse Responses for Demand Shock Candidates (in percentage deviation) from VECM

0 -4.0857 1.748
1 -5.576 3.0432
2 -5.5714 2.9753
3 -5.238 3.3221
4 -5.4726 3.8386
5 -5.0489 3.5403
6 -4.4235 2.7745
7 -3.9884 2.3017
8 -3.7242 1.8612
9 -3.5124 1.4633
10 -3.4292 1.2002
11 -3.4343 1.073
12 -3.4405 0.97863
13 -3.4583 0.95299
14 -3.476 0.93582
15 -3.4659 0.89818
16 -3.4201 0.83012
17 -3.3578 0.74859
18 -3.2799 0.63964
19 -3.212 0.51493
20 -3.1476 0.38242
21 -3.0866 0.25189
22 -3.0279 0.1259
23 -2.9725 0.010163
24 -2.9289 0.039665
25 -2.8955 0.1379
26 -2.8598 0.22946
27 -2.8214 0.31592
28 -2.7801 0.39983
29 -2.7359 0.48224
30 -2.7023 0.564
31 -2.6689 0.6451
32 -2.6337 0.7254
33 -2.5969 0.80425
34 -2.5628 0.88117
35 -2.5363 0.95561
36 -2.508 1.0272
37 -2.4779 1.0958
38 -2.453 1.1614
39 -2.4293 1.2239
40 -2.4037 1.2836
41 -2.3814 1.3406
42 -2.3599 1.3951
43 -2.3376 1.447
44 -2.3187 1.4965
45 -2.2986 1.5436
46 -2.2811 1.5882
47 -2.2636 1.6304
48 -2.2467 1.6702
49 -2.2312 1.7074
50 -2.216 1.7422
51 -2.2014 1.7745
52 -2.1872 1.8044
53 -2.1735 1.8318
54 -2.1603 1.8568
55 -2.1474 1.8795
56 -2.1348 1.8999
57 -2.1225 1.918
58 -2.1103 1.9339
59 -2.0984 1.9475
60 -2.0866 1.959
61 -2.0749 1.9684
62 -2.0633 1.9756
63 -2.0516 1.9808
64 -2.0399 1.984
65 -2.0282 1.9852
66 -2.0164 1.9844
67 -2.0044 1.9818
68 -1.9923 1.9773
69 -1.98 1.9709
70 -1.9675 1.9629
71 -1.9548 1.9531
72 -1.9419 1.9416
73 -1.9278 1.9286
74 -1.9122 1.9152
75 -1.8951 1.9014
76 -1.8766 1.8873
77 -1.8566 1.8731
78 -1.8353 1.8586
79 -1.8127 1.8434
80 -1.7889 1.8285
81 -1.7638 1.8127
82 -1.7376 1.7972
83 -1.7103 1.7804
84 -1.682 1.7647
85 -1.6527 1.7477
86 -1.6224 1.7304
87 -1.5912 1.7138
88 -1.5592 1.6959
89 -1.5263 1.6768
90 -1.4927 1.6601
91 -1.4585 1.6421
92 -1.4235 1.6229
93 -1.388 1.6026
94 -1.3519 1.5851
95 -1.3153 1.5668
96 -1.2782 1.5473
97 -1.2407 1.5267
98 -1.2029 1.5052
99 -1.1647 1.4874
100 -1.1262 1.4687
101 -1.0875 1.449
102 -1.0486 1.4283
103 -1.0095 1.4068
104 -0.97036 1.3844
105 -0.93111 1.3668
106 -0.89182 1.3482
107 -0.85254 1.3287
108 -0.8133 1.3084
109 -0.77414 1.2873
110 -0.73509 1.2653
111 -0.69619 1.2443
112 -0.65747 1.2272
113 -0.61897 1.2093
114 -0.58072 1.1906
115 -0.54275 1.1712
116 -0.50509 1.1511
117 -0.46777 1.1303
118 -0.43082 1.1094
119 -0.39427 1.094
120 -0.35814 1.0779
121 -0.32245 1.0611
122 -0.28724 1.0436
123 -0.25253 1.0255
124 -0.21834 1.0069
125 -0.18468 0.98799
126 -0.15159 0.97468
127 -0.11908 0.96073
128 -0.087165 0.94616
129 -0.055869 0.93099
130 -0.025207 0.91526
131 0.0048071 0.89899
132 -0.01706 0.88615
133 -0.046015 0.87459
134 -0.07429 0.86245
135 -0.10187 0.84974
136 -0.12875 0.8365
137 -0.15492 0.82374
138 -0.18036 0.8143
139 -0.20506 0.80429
140 -0.22903 0.79372
141 -0.25225 0.78262
142 -0.27472 0.77361
143 -0.29643 0.76532
144 -0.31738 0.75648
145 -0.33756 0.7471
146 -0.35698 0.74015
147 -0.37562 0.73273
148 -0.39349 0.72477
149 -0.4106 0.71855
150 -0.42693 0.71189
151 -0.44249 0.7056
152 -0.45728 0.69973
153 -0.47131 0.69398
154 -0.48457 0.68854
155 -0.49708 0.68343
156 -0.50883 0.6784
157 -0.51984 0.67358
158 -0.5301 0.66904
159 -0.53963 0.66464
160 -0.54843 0.66045
Return to Figure a2

Figure A.2 Panel 7 Data: Consumption Impulse Responses for Demand Shock Candidates (in percentage deviation) from VECM

0 0.001085 0.1699
1 -0.11254 0.14069
2 -0.1431 0.17056
3 -0.173 0.17542
4 -0.23682 0.23567
5 -0.26967 0.2671
6 -0.25988 0.2578
7 -0.26978 0.26953
8 -0.25972 0.25961
9 -0.23453 0.23452
10 -0.20921 0.20926
11 -0.19153 0.1915
12 -0.17616 0.176
13 -0.16774 0.16722
14 -0.16515 0.1639
15 -0.16567 0.16338
16 -0.1674 0.16397
17 -0.17011 0.16555
18 -0.17168 0.16593
19 -0.17169 0.16501
20 -0.17046 0.16278
21 -0.16818 0.15953
22 -0.16497 0.1554
23 -0.16168 0.15093
24 -0.15842 0.14641
25 -0.15538 0.14208
26 -0.15286 0.13805
27 -0.1508 0.13438
28 -0.14894 0.13095
29 -0.14719 0.1277
30 -0.14573 0.12452
31 -0.14424 0.12132
32 -0.14259 0.11803
33 -0.14075 0.11465
34 -0.13874 0.11115
35 -0.13695 0.10756
36 -0.13511 0.10391
37 -0.13318 0.10022
38 -0.13118 0.096528
39 -0.12911 0.09284
40 -0.127 0.089171
41 -0.12533 0.085522
42 -0.12362 0.081894
43 -0.12184 0.078282
44 -0.11999 0.074683
45 -0.11806 0.071094
46 -0.11605 0.067513
47 -0.11411 0.063944
48 -0.11253 0.060387
49 -0.11089 0.056847
50 -0.10917 0.053328
51 -0.10738 0.049835
52 -0.10553 0.046371
53 -0.10362 0.042941
54 -0.10169 0.039546
55 -0.10028 0.03619
56 -0.098802 0.032875
57 -0.097262 0.029602
58 -0.095663 0.026373
59 -0.094007 0.02319
60 -0.092296 0.020055
61 -0.090557 0.016969
62 -0.089338 0.013934
63 -0.08806 0.010953
64 -0.086724 0.0080259
65 -0.085335 0.0051558
66 -0.083894 0.0023439
67 -0.082403 -0.00040837
68 -0.08122 0.0015325
69 -0.080162 0.0041874
70 -0.07905 0.0067797
71 -0.077886 0.0093085
72 -0.076673 0.011773
73 -0.075499 0.014171
74 -0.074635 0.016504
75 -0.073718 0.018769
76 -0.07275 0.020967
77 -0.071733 0.023096
78 -0.070905 0.025156
79 -0.070146 0.027146
80 -0.069336 0.029067
81 -0.068477 0.030917
82 -0.067837 0.032697
83 -0.067158 0.034407
84 -0.066429 0.036045
85 -0.065857 0.037613
86 -0.065247 0.039111
87 -0.064669 0.040537
88 -0.064133 0.041894
89 -0.063605 0.04318
90 -0.063106 0.044397
91 -0.062638 0.045543
92 -0.062176 0.046621
93 -0.061734 0.047631
94 -0.061319 0.048572
95 -0.060915 0.049446
96 -0.06053 0.050253
97 -0.060155 0.050994
98 -0.05979 0.051669
99 -0.059435 0.05228
100 -0.059088 0.052827
101 -0.058749 0.053311
102 -0.058414 0.053733
103 -0.058085 0.054094
104 -0.057759 0.054396
105 -0.057434 0.054638
106 -0.057111 0.054822
107 -0.056788 0.054949
108 -0.056463 0.055021
109 -0.056137 0.055038
110 -0.055807 0.055001
111 -0.055474 0.054913
112 -0.055137 0.054773
113 -0.054794 0.054584
114 -0.054446 0.054346
115 -0.054093 0.054062
116 -0.053729 0.053731
117 -0.053327 0.053365
118 -0.052883 0.05299
119 -0.052397 0.052607
120 -0.051871 0.052215
121 -0.051307 0.051811
122 -0.050706 0.051411
123 -0.05007 0.050993
124 -0.049399 0.050568
125 -0.048695 0.050137
126 -0.04796 0.049696
127 -0.047195 0.049239
128 -0.046401 0.048794
129 -0.045579 0.048312
130 -0.044732 0.047845
131 -0.043861 0.047375
132 -0.042966 0.046869
133 -0.04205 0.046359
134 -0.041113 0.045885
135 -0.040157 0.045377
136 -0.039184 0.044836
137 -0.038194 0.04429
138 -0.037189 0.043803
139 -0.03617 0.043285
140 -0.035139 0.042736
141 -0.034097 0.042159
142 -0.033044 0.041587
143 -0.031983 0.04109
144 -0.030915 0.040564
145 -0.02984 0.04001
146 -0.02876 0.03943
147 -0.027676 0.038825
148 -0.026589 0.038244
149 -0.0255 0.037747
150 -0.024411 0.037225
151 -0.023322 0.036678
152 -0.022235 0.036108
153 -0.02115 0.035515
154 -0.020068 0.034901
155 -0.018991 0.034364
156 -0.017919 0.033883
157 -0.016854 0.03338
158 -0.015795 0.032856
159 -0.014745 0.032312
160 -0.013704 0.031749
Return to Figure a2

Figure A.2 Panel 8 Data: Investment Impulse Responses for Demand Shock Candidates (in percentage deviation) from VECM

0 -0.27763 0.47463
1 -0.39734 0.38855
2 -1.009 1.0086
3 -1.3443 1.3091
4 -1.6987 1.6659
5 -1.8389 1.8181
6 -1.7617 1.7392
7 -1.4953 1.4878
8 -1.2228 1.2218
9 -0.95485 0.95613
10 -0.73408 0.73818
11 -0.55804 0.5622
12 -0.44996 0.45154
13 -0.38777 0.38762
14 -0.37785 0.37448
15 -0.39114 0.38161
16 -0.41322 0.39737
17 -0.4281 0.40791
18 -0.43316 0.41041
19 -0.42415 0.4003
20 -0.40515 0.38066
21 -0.37932 0.35387
22 -0.35162 0.32475
23 -0.32496 0.29612
24 -0.30334 0.27099
25 -0.28635 0.25008
26 -0.27486 0.23384
27 -0.26738 0.22145
28 -0.26232 0.21202
29 -0.25883 0.20424
30 -0.25597 0.19719
31 -0.25249 0.19006
32 -0.24818 0.18249
33 -0.24302 0.17434
34 -0.23741 0.16572
35 -0.23238 0.15683
36 -0.22724 0.14792
37 -0.22216 0.1392
38 -0.21727 0.13081
39 -0.21257 0.12282
40 -0.20867 0.11523
41 -0.20544 0.108
42 -0.2022 0.10103
43 -0.19887 0.094272
44 -0.19544 0.087643
45 -0.19186 0.081099
46 -0.18814 0.074616
47 -0.18519 0.068189
48 -0.18237 0.061824
49 -0.17943 0.055537
50 -0.17638 0.049346
51 -0.17325 0.043264
52 -0.17003 0.037304
53 -0.16674 0.03147
54 -0.16448 0.025764
55 -0.16212 0.020183
56 -0.15966 0.014726
57 -0.1571 0.0093884
58 -0.15443 0.0041677
59 -0.15168 -0.00093721
60 -0.14953 0.0030416
61 -0.14758 0.0079616
62 -0.14552 0.012764
63 -0.14337 0.017447
64 -0.14113 0.022008
65 -0.13902 0.026444
66 -0.13742 0.030754
67 -0.13573 0.034936
68 -0.13394 0.038991
69 -0.13206 0.042916
70 -0.13059 0.046711
71 -0.12918 0.050377
72 -0.12768 0.053912
73 -0.12612 0.057317
74 -0.12495 0.060592
75 -0.12369 0.063736
76 -0.12236 0.066749
77 -0.12132 0.069631
78 -0.12019 0.072382
79 -0.11915 0.075003
80 -0.11815 0.077494
81 -0.11719 0.079855
82 -0.11627 0.082087
83 -0.11542 0.08419
84 -0.11457 0.086166
85 -0.11376 0.088015
86 -0.113 0.089739
87 -0.11226 0.091339
88 -0.11155 0.092815
89 -0.11086 0.094169
90 -0.11019 0.095403
91 -0.10954 0.096518
92 -0.1089 0.097515
93 -0.10827 0.098397
94 -0.10766 0.099164
95 -0.10705 0.099819
96 -0.10645 0.10036
97 -0.10585 0.1008
98 -0.10526 0.10113
99 -0.10466 0.10135
100 -0.10406 0.10147
101 -0.10346 0.10149
102 -0.10285 0.10142
103 -0.10224 0.10124
104 -0.10162 0.10098
105 -0.10098 0.10062
106 -0.10034 0.10017
107 -0.099686 0.099638
108 -0.099011 0.09902
109 -0.098261 0.098342
110 -0.097434 0.097649
111 -0.09653 0.096942
112 -0.095554 0.096219
113 -0.094506 0.09547
114 -0.093391 0.094728
115 -0.092211 0.093961
116 -0.090967 0.093169
117 -0.089663 0.092379
118 -0.088301 0.091558
119 -0.086885 0.090722
120 -0.085415 0.089894
121 -0.083896 0.088998
122 -0.082329 0.088146
123 -0.080717 0.087272
124 -0.079063 0.086333
125 -0.077369 0.085405
126 -0.075638 0.084524
127 -0.073871 0.083581
128 -0.072073 0.082577
129 -0.070244 0.081587
130 -0.068388 0.080683
131 -0.066507 0.079722
132 -0.064603 0.078704
133 -0.062679 0.077633
134 -0.060737 0.0766
135 -0.058778 0.075677
136 -0.056806 0.074702
137 -0.054823 0.073676
138 -0.052831 0.072601
139 -0.050831 0.07148
140 -0.048826 0.070436
141 -0.046818 0.069514
142 -0.044809 0.068546
143 -0.042802 0.067532
144 -0.040797 0.066476
145 -0.038796 0.06538
146 -0.036803 0.064244
147 -0.034817 0.063282
148 -0.032842 0.062391
149 -0.030878 0.06146
150 -0.028928 0.06049
151 -0.026993 0.059482
152 -0.025074 0.05844
153 -0.023173 0.057364
154 -0.021292 0.056418
155 -0.019431 0.055616
156 -0.017593 0.054778
157 -0.015778 0.053905
158 -0.013987 0.053
159 -0.012223 0.052063
160 -0.010485 0.051097
Return to Figure a2

Figure A.3 Panel 1 Data: Total Factor Productivity Impulse Responses (in percentage deviation) from Level VAR

0 -5.41E-12 7.43E-12 -8.44E-16 -0.0088011
1 -0.17301 0.22176 0.028622 0.037624
2 -0.30142 0.23457 -0.04838 -0.036997
3 -0.43719 0.32958 -0.15263 -0.13167
4 -0.53223 0.39609 -0.23371 -0.21276
5 -0.58697 0.39133 -0.27113 -0.2506
6 -0.632 0.37467 -0.27669 -0.25882
7 -0.67211 0.36057 -0.25959 -0.24319
8 -0.68422 0.33479 -0.22806 -0.21327
9 -0.68375 0.33703 -0.1881 -0.17417
10 -0.67239 0.33461 -0.14823 -0.13468
11 -0.66124 0.33193 -0.11306 -0.099284
12 -0.65431 0.34342 -0.083911 -0.069701
13 -0.65166 0.35932 -0.059951 -0.045227
14 -0.68438 0.37399 -0.039852 -0.024698
15 -0.72697 0.3919 -0.021902 -0.0064417
16 -0.76731 0.40942 -0.0045386 0.011063
17 -0.80393 0.44987 0.013355 0.028961
18 -0.83669 0.50896 0.03229 0.047798
19 -0.8668 0.57529 0.052321 0.067675
20 -0.89611 0.6534 0.073211 0.08839
21 -0.92634 0.73385 0.094596 0.1096
22 -0.95883 0.81691 0.1161 0.13095
23 -0.99421 0.9028 0.13742 0.15213
24 -1.0325 0.99159 0.15836 0.17294
25 -1.0734 1.0835 0.17884 0.1933
26 -1.1163 1.1787 0.19885 0.21318
27 -1.1609 1.2774 0.21843 0.23263
28 -1.2068 1.3798 0.23764 0.2517
29 -1.254 1.4863 0.25654 0.27044
30 -1.3026 1.5971 0.27516 0.28891
31 -1.3529 1.7125 0.29353 0.30711
32 -1.405 1.8327 0.31165 0.32505
33 -1.4594 1.9579 0.32949 0.34271
34 -1.5161 2.0885 0.34706 0.3601
35 -1.5753 2.2246 0.36432 0.37718
36 -1.6372 2.3814 0.38127 0.39394
37 -1.7017 2.5523 0.39789 0.41037
38 -1.7689 2.7337 0.41418 0.42647
39 -1.8896 2.926 0.43014 0.44224
40 -2.0395 3.1301 0.44576 0.45767
Return to Figure a3

Figure A.3 Panel 2 Data: Stock Price Impulse Responses (in percentage deviation) from Level VAR

0 0.00023979 5.7955 3.3331 3.4357
1 -0.67518 8.3917 4.257 4.425
2 -1.4935 9.3974 4.5825 4.7763
3 -2.0036 10.405 4.5776 4.7989
4 -2.0672 11.033 4.2233 4.4738
5 -2.3093 11.243 3.9054 4.1457
6 -2.745 11.545 3.7653 3.9898
7 -3.2312 12.117 3.7797 3.979
8 -3.8045 12.947 3.9651 4.1375
9 -4.4161 13.968 4.2709 4.4179
10 -5.0878 15.175 4.6221 4.7502
11 -5.7927 16.541 4.9627 5.0772
12 -6.5343 17.997 5.2619 5.3679
13 -7.3101 19.503 5.505 5.6055
14 -8.128 21.106 5.6919 5.7886
15 -8.9919 22.859 5.832 5.9254
16 -9.9075 24.665 5.9394 6.0293
17 -10.88 26.532 6.0276 6.1133
18 -11.914 28.501 6.1068 6.1877
19 -13.017 30.743 6.1832 6.2587
20 -14.193 33.14 6.2593 6.3293
21 -15.449 35.705 6.3349 6.3995
22 -16.793 38.449 6.4084 6.4679
23 -18.23 41.386 6.4776 6.5323
24 -19.77 44.532 6.5407 6.5909
25 -21.419 47.901 6.5964 6.6424
26 -23.188 51.511 6.6443 6.6864
27 -25.086 55.379 6.6845 6.723
28 -27.122 59.525 6.7176 6.7525
29 -29.309 63.969 6.7442 6.7757
30 -31.657 68.798 6.7651 6.7933
31 -34.179 74.125 6.781 6.806
32 -36.89 79.854 6.7923 6.8141
33 -39.802 86.063 6.7993 6.818
34 -42.933 93.393 6.8021 6.818
35 -46.299 101.35 6.801 6.814
36 -49.918 109.98 6.7959 6.8062
37 -53.81 119.34 6.7871 6.7948
38 -57.996 129.5 6.7745 6.7797
39 -62.497 140.53 6.7583 6.7612
40 -67.34 152.49 6.7387 6.7393
Return to Figure a3

Figure A.3 Panel 3 Data: Consumption Impulse Responses (in percentage deviation) from Level VAR

0 -0.52817 0.52092 0.40289 0.39134
1 -0.62554 0.63859 0.51086 0.50173
2 -0.73938 0.80334 0.57956 0.57088
3 -0.76977 0.94037 0.66377 0.65961
4 -0.7718 1.0688 0.67951 0.68036
5 -0.7685 1.191 0.67365 0.67832
6 -0.77509 1.308 0.65655 0.66394
7 -0.80486 1.3993 0.63246 0.64216
8 -0.83161 1.4831 0.61155 0.62221
9 -0.8652 1.5685 0.59988 0.61095
10 -0.90359 1.6574 0.59761 0.60855
11 -0.94976 1.7551 0.60376 0.61446
12 -1.0022 1.863 0.61598 0.62643
13 -1.0625 1.9811 0.6316 0.64194
14 -1.1303 2.1099 0.64834 0.6587
15 -1.206 2.2489 0.66469 0.67522
16 -1.2898 2.3976 0.6799 0.69066
17 -1.382 2.6001 0.69383 0.70486
18 -1.483 2.8268 0.70675 0.71802
19 -1.5933 3.0719 0.71908 0.73056
20 -1.7134 3.3366 0.73125 0.74288
21 -1.8438 3.6222 0.74359 0.75532
22 -1.9853 3.9302 0.75629 0.76807
23 -2.1384 4.2623 0.76939 0.7812
24 -2.3041 4.6205 0.78284 0.79467
25 -2.483 5.0065 0.79655 0.80839
26 -2.6762 5.4222 0.8104 0.82224
27 -2.8847 5.8896 0.82428 0.83611
28 -3.1095 6.4116 0.83812 0.84995
29 -3.3518 6.9781 0.85186 0.86369
30 -3.6128 7.5929 0.8655 0.87732
31 -3.8941 8.26 0.87903 0.89084
32 -4.197 8.984 0.89246 0.90424
33 -4.5231 9.7695 0.90579 0.91754
34 -4.8743 10.622 0.91904 0.93075
35 -5.2523 11.547 0.9322 0.94387
36 -5.6593 12.55 0.94526 0.95689
37 -6.0973 13.639 0.95824 0.96982
38 -6.5687 14.821 0.9711 0.98263
39 -7.0761 16.103 0.98386 0.99532
40 -7.6222 17.495 0.99648 1.0079
Return to Figure a3

Figure A.3 Panel 4 Data: Hours Impulse Responses (in percentage deviation) from Level VAR

0 -0.34625 0.35105 0.23778 0.18896
1 -0.70189 0.78828 0.59438 0.53044
2 -0.86961 1.275 0.87964 0.81858
3 -0.96007 1.6359 1.0708 1.0171
4 -1.0656 1.9125 1.1665 1.1237
5 -1.1338 2.153 1.1564 1.1263
6 -1.1562 2.3067 1.0691 1.0502
7 -1.1549 2.3831 0.94922 0.93838
8 -1.1537 2.4089 0.82809 0.82198
9 -1.1593 2.4129 0.72486 0.72082
10 -1.1743 2.4177 0.64924 0.64539
11 -1.1988 2.4404 0.60229 0.59761
12 -1.2332 2.4903 0.57871 0.57291
13 -1.2763 2.5721 0.57039 0.56371
14 -1.3279 2.6849 0.56948 0.56235
15 -1.3876 2.8443 0.56998 0.56286
16 -1.4558 3.0206 0.56822 0.56145
17 -1.5327 3.2119 0.56266 0.55644
18 -1.6188 3.4191 0.55341 0.54779
19 -1.7143 3.691 0.54153 0.53644
20 -1.8199 4.001 0.52838 0.52369
21 -1.9358 4.3379 0.51519 0.51078
22 -2.0628 4.7041 0.50281 0.49855
23 -2.2013 5.102 0.49167 0.48747
24 -2.3522 5.5341 0.48182 0.47764
25 -2.5161 6.0035 0.47306 0.46888
26 -2.694 6.5133 0.46509 0.46091
27 -2.8868 7.0668 0.45759 0.45342
28 -3.0954 7.6677 0.4503 0.44617
29 -3.3209 8.3201 0.44305 0.43896
30 -3.5646 9.0283 0.43577 0.43173
31 -3.8278 9.797 0.42843 0.42445
32 -4.1118 10.631 0.42108 0.41716
33 -4.4182 11.537 0.41376 0.4099
34 -4.7486 12.52 0.40652 0.40271
35 -5.1048 13.586 0.3994 0.39564
36 -5.4887 14.744 0.39242 0.38871
37 -5.9024 16 0.38558 0.38192
38 -6.348 17.363 0.37888 0.37526
39 -6.828 18.842 0.3723 0.36874
40 -7.345 20.448 0.36585 0.36233
Return to Figure a3

Figure A.3 Panel 5 Data: Total Factor Productivity Impulse Responses (in percentage deviation) from Level VAR

0 -1.43E-11 1.01E-11 -3.53E-16 0.066246
1 -0.1749 0.24072 0.05458 0.10922
2 -0.29933 0.28111 -0.056162 0.0047172
3 -0.40907 0.3419 -0.16356 -0.089979
4 -0.49526 0.33299 -0.20373 -0.12784
5 -0.54485 0.36289 -0.22631 -0.1553
6 -0.56193 0.35979 -0.22808 -0.15943
7 -0.57972 0.36057 -0.21265 -0.14747
8 -0.57798 0.35883 -0.18862 -0.12668
9 -0.56737 0.3624 -0.16086 -0.10245
10 -0.5638 0.35924 -0.13328 -0.077464
11 -0.56384 0.37375 -0.10634 -0.052978
12 -0.58526 0.42164 -0.08137 -0.030097
13 -0.60893 0.4723 -0.058258 -0.0089203
14 -0.63296 0.51818 -0.036827 0.010799
15 -0.66451 0.56464 -0.016674 0.029314
16 -0.70449 0.60927 0.0024698 0.046918
17 -0.74797 0.65599 0.020895 0.06385
18 -0.79491 0.70298 0.038782 0.080301
19 -0.84559 0.75245 0.056269 0.096387
20 -0.90005 0.80315 0.073427 0.11218
21 -0.95858 0.85618 0.090301 0.12773
22 -1.0213 0.91049 0.10691 0.14305
23 -1.0886 0.9667 0.12327 0.15815
24 -1.1605 1.0241 0.13937 0.17304
25 -1.2374 1.0832 0.15521 0.1877
26 -1.3196 1.1435 0.1708 0.20214
27 -1.4074 1.2053 0.18613 0.21635
28 -1.501 1.2685 0.20121 0.23034
29 -1.6008 1.3335 0.21602 0.2441
30 -1.7073 1.4001 0.23057 0.25763
31 -1.8208 1.4684 0.24485 0.27092
32 -1.9418 1.5386 0.25887 0.28399
33 -2.0707 1.6107 0.27263 0.29682
34 -2.208 1.6849 0.28612 0.30941
35 -2.3542 1.7865 0.29934 0.32176
36 -2.51 1.9244 0.31229 0.33387
37 -2.6759 2.0713 0.32497 0.34574
38 -2.8525 2.2275 0.33737 0.35736
39 -3.0407 2.3938 0.3495 0.36874
40 -3.241 2.5709 0.36136 0.37987
Return to Figure a3

Figure A.3 Panel 6 Data: Stock Price Impulse Responses (in percentage deviation) from Level VAR

0 6.53E-05 6.044 3.9144 3.3554
1 -1.1978 8.3836 4.965 4.3227
2 -1.9623 9.9123 5.1465 4.5793
3 -2.8386 10.29 4.9597 4.5042
4 -3.2674 10.821 4.7906 4.3706
5 -3.4649 11.304 4.6669 4.2636
6 -3.6705 11.799 4.5878 4.1955
7 -3.743 12.32 4.6011 4.2122
8 -3.7602 12.875 4.6632 4.2692
9 -3.7499 13.476 4.7562 4.3594
10 -3.7294 14.133 4.8712 4.4706
11 -3.7041 15.048 4.993 4.5898
12 -3.9078 16.099 5.1149 4.7092
13 -4.356 17.212 5.2308 4.8239
14 -4.8007 18.402 5.3395 4.9319
15 -5.2429 19.669 5.4395 5.0322
16 -5.6849 21.019 5.5312 5.1245
17 -6.1297 22.457 5.615 5.2095
18 -6.5805 23.99 5.6914 5.2875
19 -7.0402 25.629 5.761 5.3591
20 -7.61 27.377 5.8242 5.4247
21 -8.2525 29.24 5.8813 5.4845
22 -8.9317 31.227 5.9326 5.5388
23 -9.6496 33.348 5.9783 5.5878
24 -10.408 35.609 6.0185 5.6315
25 -11.209 38.021 6.0533 5.6703
26 -12.055 40.594 6.0829 5.7041
27 -12.949 43.337 6.1074 5.7331
28 -13.893 46.264 6.1269 5.7574
29 -14.889 49.385 6.1417 5.7772
30 -15.942 52.714 6.1519 5.7925
31 -17.054 56.264 6.1575 5.8036
32 -18.228 60.05 6.1588 5.8106
33 -19.469 64.088 6.1559 5.8135
34 -20.78 68.394 6.1489 5.8126
35 -22.165 72.986 6.1381 5.808
36 -23.629 77.883 6.1236 5.7998
37 -25.175 83.105 6.1054 5.7882
38 -26.81 88.674 6.0838 5.7733
39 -28.538 94.612 6.059 5.7552
40 -30.364 100.94 6.0309 5.7341
Return to Figure a3

Figure A.3 Panel 7 Data: Consumption Impulse Responses (in percentage deviation) from Level VAR

0 -0.48058 0.5217 0.34211 0.3941
1 -0.57946 0.63256 0.47019 0.52586
2 -0.71153 0.77306 0.53249 0.58209
3 -0.78531 0.91109 0.61401 0.65464
4 -0.83155 1.009 0.65251 0.69581
5 -0.85388 1.0827 0.67071 0.71603
6 -0.86293 1.139 0.66697 0.71539
7 -0.85886 1.2144 0.65709 0.70774
8 -0.85747 1.2894 0.64599 0.69847
9 -0.886 1.3672 0.63619 0.68973
10 -0.91612 1.45 0.62946 0.68364
11 -0.94935 1.5678 0.62604 0.68037
12 -0.98318 1.6908 0.62566 0.67992
13 -1.0189 1.8204 0.62782 0.68178
14 -1.0555 1.9567 0.63187 0.68542
15 -1.0936 2.1006 0.63732 0.69037
16 -1.1327 2.2527 0.64372 0.69623
17 -1.1729 2.4138 0.65078 0.70271
18 -1.2144 2.5846 0.65828 0.70961
19 -1.2571 2.766 0.66607 0.71679
20 -1.3071 2.959 0.67406 0.72417
21 -1.3667 3.1646 0.68219 0.73168
22 -1.4309 3.3833 0.69041 0.73928
23 -1.4999 3.6164 0.6987 0.74695
24 -1.5739 3.8646 0.70703 0.75466
25 -1.6533 4.1291 0.71537 0.76239
26 -1.7382 4.4109 0.72371 0.77013
27 -1.829 4.7112 0.73203 0.77786
28 -1.926 5.0312 0.74032 0.78556
29 -2.0295 5.3721 0.74856 0.79322
30 -2.1398 5.7355 0.75674 0.80083
31 -2.2573 6.1226 0.76485 0.80839
32 -2.3824 6.5351 0.77288 0.81588
33 -2.5154 6.9745 0.78082 0.82329
34 -2.6569 7.4427 0.78867 0.83062
35 -2.8071 7.9414 0.79642 0.83787
36 -2.9666 8.4727 0.80406 0.84502
37 -3.1359 9.0387 0.81159 0.85208
38 -3.3155 9.6415 0.81901 0.85904
39 -3.5059 10.284 0.82632 0.8659
40 -3.7076 10.967 0.83351 0.87266
Return to Figure a3

Figure A.3 Panel 8 Data: Investment Impulse Responses (in percentage deviation) from Level VAR

0 -1.7139 1.7449 0.76398 0.54577
1 -2.1717 2.3616 1.5078 1.233
2 -2.7804 3.4603 2.109 1.8954
3 -2.7287 3.654 2.3668 2.1762
4 -2.6526 3.8394 2.3139 2.1639
5 -2.5152 3.9415 2.1247 2.0155
6 -2.5857 4.0353 1.8683 1.8035
7 -2.5602 4.05 1.6107 1.5764
8 -2.499 4.0094 1.3738 1.3643
9 -2.4264 3.9641 1.1794 1.1872
10 -2.3401 3.9395 1.0284 1.0491
11 -2.2477 4.0136 0.91656 0.94564
12 -2.1602 4.1868 0.83619 0.87143
13 -2.0777 4.3795 0.78061 0.81996
14 -2.1142 4.5899 0.74304 0.7854
15 -2.1879 4.8182 0.71851 0.76291
16 -2.2628 5.0651 0.70308 0.74897
17 -2.3376 5.3329 0.69419 0.74108
18 -2.4135 5.6217 0.68997 0.73753
19 -2.4904 5.9325 0.68924 0.73716
20 -2.5689 6.2665 0.69117 0.73923
21 -2.6491 6.6249 0.69521 0.74321
22 -2.7314 7.0089 0.70093 0.74871
23 -2.816 7.4201 0.70802 0.75546
24 -2.9031 7.8597 0.71621 0.7632
25 -2.993 8.3293 0.72527 0.77173
26 -3.0859 8.8307 0.73502 0.7809
27 -3.1822 9.3654 0.74529 0.79053
28 -3.282 9.9354 0.75593 0.80052
29 -3.3856 10.543 0.76684 0.81075
30 -3.4935 11.189 0.7779 0.82113
31 -3.6059 11.877 0.78906 0.8316
32 -3.7443 12.609 0.80024 0.84209
33 -3.9699 13.388 0.81138 0.85256
34 -4.2094 14.215 0.82245 0.86297
35 -4.4633 15.111 0.83342 0.87329
36 -4.7325 16.148 0.84426 0.88349
37 -5.0175 17.254 0.85494 0.89355
38 -5.3193 18.432 0.86546 0.90346
39 -5.6386 19.688 0.87579 0.91321
40 -5.9764 21.026 0.88592 0.92279
Return to Figure a3
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Last update: April 17, 2013