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Accessible Version

Figure 1: Home Demand Shock, Policy Rate vs. Balance Sheet Adjustment

A. Home Long-Term Interest Rate

Basis Points

Period Policy Rate Adjusts Balance Sheet Adjusts
1 100.00 127.96
2 95.00 121.56
3 90.25 115.48
4 85.74 109.71
5 81.45 104.22
6 77.38 99.01
7 73.51 94.06
8 69.84 89.36
9 66.34 84.89
10 63.03 80.64
11 59.88 76.61
12 56.88 72.78
13 54.04 69.14
14 51.34 65.69
15 48.77 62.40
16 46.33 59.28
17 44.01 56.32
18 41.81 53.50
19 39.72 50.83
20 37.74 48.29
21 35.85 45.87
22 34.06 43.58
23 32.35 41.40
24 30.74 39.33
25 29.20 37.36
26 27.74 35.49
27 26.35 33.72
28 25.03 32.03
29 23.78 30.43
30 22.59 28.91
31 21.46 27.46
32 20.39 26.09
33 19.37 24.79
34 18.40 23.55
35 17.48 22.37
36 16.61 21.25
37 15.78 20.19
38 14.99 19.18
39 14.24 18.22
40 13.53 17.31

B. Exchange Rate

Percent

Period Policy Rate Adjusts Balance Sheet Adjusts
1 6.00 3.84
2 5.70 3.65
3 5.42 3.46
4 5.14 3.29
5 4.89 3.13
6 4.64 2.97
7 4.41 2.82
8 4.19 2.68
9 3.98 2.55
10 3.78 2.42
11 3.59 2.30
12 3.41 2.18
13 3.24 2.07
14 3.08 1.97
15 2.93 1.87
16 2.78 1.78
17 2.64 1.69
18 2.51 1.61
19 2.38 1.52
20 2.26 1.45
21 2.15 1.38
22 2.04 1.31
23 1.94 1.24
24 1.84 1.18
25 1.75 1.12
26 1.66 1.06
27 1.58 1.01
28 1.50 0.96
29 1.43 0.91
30 1.36 0.87
31 1.29 0.82
32 1.22 0.78
33 1.16 0.74
34 1.10 0.71
35 1.05 0.67
36 1.00 0.64
37 0.95 0.61
38 0.90 0.58
39 0.85 0.55
40 0.81 0.52

C. Home Absorption

Percent

Period Policy Rate Adjusts Balance Sheet Adjusts
1 1.55 1.00
2 1.48 0.95
3 1.40 0.90
4 1.33 0.85
5 1.27 0.81
6 1.20 0.77
7 1.14 0.73
8 1.09 0.69
9 1.03 0.66
10 0.98 0.63
11 0.93 0.60
12 0.88 0.57
13 0.84 0.54
14 0.80 0.51
15 0.76 0.49
16 0.72 0.46
17 0.68 0.44
18 0.65 0.42
19 0.62 0.40
20 0.59 0.38
21 0.56 0.36
22 0.53 0.34
23 0.50 0.32
24 0.48 0.31
25 0.45 0.29
26 0.43 0.28
27 0.41 0.26
28 0.39 0.25
29 0.37 0.24
30 0.35 0.22
31 0.33 0.21
32 0.32 0.20
33 0.30 0.19
34 0.29 0.18
35 0.27 0.17
36 0.26 0.17
37 0.25 0.16
38 0.23 0.15
39 0.22 0.14
40 0.21 0.13

D. Home Net Exports

Share of GDP

Period Policy Rate Adjusts Balance Sheet Adjusts
1 -1.55 -0.99
2 -1.48 -0.94
3 -1.40 -0.90
4 -1.33 -0.85
5 -1.27 -0.81
6 -1.20 -0.77
7 -1.14 -0.73
8 -1.08 -0.69
9 -1.03 -0.66
10 -0.98 -0.63
11 -0.93 -0.60
12 -0.88 -0.57
13 -0.84 -0.54
14 -0.80 -0.51
15 -0.76 -0.48
16 -0.72 -0.46
17 -0.68 -0.44
18 -0.65 -0.42
19 -0.62 -0.39
20 -0.59 -0.38
21 -0.56 -0.36
22 -0.53 -0.34
23 -0.50 -0.32
24 -0.48 -0.31
25 -0.45 -0.29
26 -0.43 -0.28
27 -0.41 -0.26
28 -0.39 -0.25
29 -0.37 -0.24
30 -0.35 -0.22
31 -0.33 -0.21
32 -0.32 -0.20
33 -0.30 -0.19
34 -0.29 -0.18
35 -0.27 -0.17
36 -0.26 -0.17
37 -0.25 -0.16
38 -0.23 -0.15
39 -0.22 -0.14
40 -0.21 -0.13

E. Home GDP

Percent

Period Policy Rate Adjusts Balance Sheet Adjusts
1 0.00 0.00
2 0.00 0.00
3 0.00 0.00
4 0.00 0.00
5 0.00 0.00
6 0.00 0.00
7 0.00 0.00
8 0.00 0.00
9 0.00 0.00
10 0.00 0.00
11 0.00 0.00
12 0.00 0.00
13 0.00 0.00
14 0.00 0.00
15 0.00 0.00
16 0.00 0.00
17 0.00 0.00
18 0.00 0.00
19 0.00 0.00
20 0.00 0.00
21 0.00 0.00
22 0.00 0.00
23 0.00 0.00
24 0.00 0.00
25 0.00 0.00
26 0.00 0.00
27 0.00 0.00
28 0.00 0.00
29 0.00 0.00
30 0.00 0.00
31 0.00 0.00
32 0.00 0.00
33 0.00 0.00
34 0.00 0.00
35 0.00 0.00
36 0.00 0.00
37 0.00 0.00
38 0.00 0.00
39 0.00 0.00
40 0.00 0.00

F. Foreign GDP

Percent

Period Policy Rate Adjusts Balance Sheet Adjusts
1 1.55 0.99
2 1.48 0.94
3 1.40 0.90
4 1.33 0.85
5 1.27 0.81
6 1.20 0.77
7 1.14 0.73
8 1.08 0.69
9 1.03 0.66
10 0.98 0.63
11 0.93 0.60
12 0.88 0.57
13 0.84 0.54
14 0.80 0.51
15 0.76 0.48
16 0.72 0.46
17 0.68 0.44
18 0.65 0.42
19 0.62 0.39
20 0.59 0.38
21 0.56 0.36
22 0.53 0.34
23 0.50 0.32
24 0.48 0.31
25 0.45 0.29
26 0.43 0.28
27 0.41 0.26
28 0.39 0.25
29 0.37 0.24
30 0.35 0.22
31 0.33 0.21
32 0.32 0.20
33 0.30 0.19
34 0.29 0.18
35 0.27 0.17
36 0.26 0.17
37 0.25 0.16
38 0.23 0.15
39 0.22 0.14
40 0.21 0.13
Figure 2: Common Shock, Policy Rate vs. Balance Sheet Adjustment

A. Long-Term Interest Rates

Basis Points

Period Home (Policy Rate Adjusts) Foreign (Balance Sheet Adjusts)
1 142.95 212.29
2 135.80 201.68
3 129.01 191.60
4 122.56 182.02
5 116.43 172.92
6 110.61 164.27
7 105.08 156.06
8 99.83 148.25
9 94.83 140.84
10 90.09 133.80
11 85.59 127.11
12 81.31 120.75
13 77.24 114.72
14 73.38 108.98
15 69.71 103.53
16 66.23 98.35
17 62.92 93.44
18 59.77 88.76
19 56.78 84.33
20 53.94 80.11
21 51.24 76.10
22 48.68 72.30
23 46.25 68.68
24 43.94 65.25
25 41.74 61.99
26 39.65 58.89
27 37.67 55.94
28 35.79 53.15
29 34.00 50.49
30 32.30 47.96
31 30.68 45.57
32 29.15 43.29
33 27.69 41.12
34 26.31 39.07
35 24.99 37.11
36 23.74 35.26
37 22.55 33.50
38 21.43 31.82
39 20.36 30.23
40 19.34 28.72

B. Exchange Rate

Percent

Period Home (Policy Rate Adjusts)
1 2.21
2 2.10
3 1.99
4 1.89
5 1.80
6 1.71
7 1.62
8 1.54
9 1.46
10 1.39
11 1.32
12 1.26
13 1.19
14 1.13
15 1.08
16 1.02
17 0.97
18 0.92
19 0.88
20 0.83
21 0.79
22 0.75
23 0.71
24 0.68
25 0.64
26 0.61
27 0.58
28 0.55
29 0.53
30 0.50
31 0.47
32 0.45
33 0.43
34 0.41
35 0.39
36 0.37
37 0.35
38 0.33
39 0.31
40 0.30

C. Absorption

Percent

Period Home (Policy Rate Adjusts) Foreign (Balance Sheet Adjusts)
1 0.70 -0.70
2 0.66 -0.66
3 0.63 -0.63
4 0.60 -0.60
5 0.57 -0.57
6 0.54 -0.54
7 0.51 -0.51
8 0.49 -0.49
9 0.46 -0.46
10 0.44 -0.44
11 0.42 -0.42
12 0.40 -0.40
13 0.38 -0.38
14 0.36 -0.36
15 0.34 -0.34
16 0.32 -0.32
17 0.31 -0.31
18 0.29 -0.29
19 0.28 -0.28
20 0.26 -0.26
21 0.25 -0.25
22 0.24 -0.24
23 0.22 -0.22
24 0.21 -0.21
25 0.20 -0.20
26 0.19 -0.19
27 0.18 -0.18
28 0.17 -0.17
29 0.17 -0.17
30 0.16 -0.16
31 0.15 -0.15
32 0.14 -0.14
33 0.13 -0.13
34 0.13 -0.13
35 0.12 -0.12
36 0.12 -0.12
37 0.11 -0.11
38 0.10 -0.10
39 0.10 -0.10
40 0.09 -0.09

D. Net Exports

Share of GDP

Period Home (Policy Rate Adjusts) Foreign (Balance Sheet Adjusts)
1 -0.70 0.70
2 -0.66 0.66
3 -0.63 0.63
4 -0.60 0.60
5 -0.57 0.57
6 -0.54 0.54
7 -0.51 0.51
8 -0.49 0.49
9 -0.46 0.46
10 -0.44 0.44
11 -0.42 0.42
12 -0.40 0.40
13 -0.38 0.38
14 -0.36 0.36
15 -0.34 0.34
16 -0.32 0.32
17 -0.31 0.31
18 -0.29 0.29
19 -0.28 0.28
20 -0.26 0.26
21 -0.25 0.25
22 -0.24 0.24
23 -0.22 0.22
24 -0.21 0.21
25 -0.20 0.20
26 -0.19 0.19
27 -0.18 0.18
28 -0.17 0.17
29 -0.17 0.17
30 -0.16 0.16
31 -0.15 0.15
32 -0.14 0.14
33 -0.13 0.13
34 -0.13 0.13
35 -0.12 0.12
36 -0.12 0.12
37 -0.11 0.11
38 -0.10 0.10
39 -0.10 0.10
40 -0.09 0.09

E. Home GDP

Percent

Period Home (Policy Rate Adjusts)
1 0.00
2 0.00
3 0.00
4 0.00
5 0.00
6 0.00
7 0.00
8 0.00
9 0.00
10 0.00
11 0.00
12 0.00
13 0.00
14 0.00
15 0.00
16 0.00
17 0.00
18 0.00
19 0.00
20 0.00
21 0.00
22 0.00
23 0.00
24 0.00
25 0.00
26 0.00
27 0.00
28 0.00
29 0.00
30 0.00
31 0.00
32 0.00
33 0.00
34 0.00
35 0.00
36 0.00
37 0.00
38 0.00
39 0.00
40 0.00

F. Foreign GDP

Percent

Period Foreign (Balance Sheet Adjusts)
1 0.00
2 0.00
3 0.00
4 0.00
5 0.00
6 0.00
7 0.00
8 0.00
9 0.00
10 0.00
11 0.00
12 0.00
13 0.00
14 0.00
15 0.00
16 0.00
17 0.00
18 0.00
19 0.00
20 0.00
21 0.00
22 0.00
23 0.00
24 0.00
25 0.00
26 0.00
27 0.00
28 0.00
29 0.00
30 0.00
31 0.00
32 0.00
33 0.00
34 0.00
35 0.00
36 0.00
37 0.00
38 0.00
39 0.00
40 0.00
Table 1: Parameter Values
Parameters Figure 1, Solid Figure 1, Dashed Figure 2
$$ \gamma_{c}$$ 1000 0 1000
$$ \gamma_{c}^{*}$$ 0 0 0
$$ \gamma_{u}$$ 0 1000 0
$$ \gamma_{u}^{*}$$ 0 0 1000
$$ \sigma$$ 2 2 2
$$ \eta$$ 0.22 0.22 0.22
$$ \alpha$$ 0.15 0.15 0.15
$$ \phi_{c}$$ 6 6 6
$$ \phi_{u}$$ 3 3 3
Last Update: July 11, 2017