목차
Title page 1
Contents 1
Introduction 2
Summary of Methodology 3
Results 5
Appendix: Methodology and Data 11
Figures 8
Figure 1. Conditional Bivariate Distribution for Real GDP Growth and Inflation 8
Figure 2. Probabilities of Macroeconomc Scenarios 10
Appendix Tables 13
Table A1. OLS forecasts of macro variables at the four-quarter horizon 13
Table A2. CMD estimation: statistics to be fit 17
Table A3. CMD estimated loadings 17
Table A4. BEGE model selection results 23
Table A5. BEGE parameter estimates 24
Table A6. BEGE parameter-implied statistics 25
Appendix Figures 14
Figure A1. Estimated conditional means from predictive regressions 14
Figure A2. Reduced-form shocks from predictive regressions 14
Figure A3. Estimated supply and demand structural shocks 18
Figure A4. Estimated idiosyncratic inflation and unemployment rate structural shocks 19
Figure A5. Illustrations of BEGE densities 21
Figure A6. Estimated predictive variance for structural shocks 27
Figure A7. Estimated conditional skewness for structural shocks 28
Figure A8. Univariate conditional moments of endogenous shocks 30
Figure A9. Conditional covariance between real GDP and inflation shocks 31
Figure A10. Predictive joint distributions for headline inflation and real GDP growth 33
