RDP 2011-05: Terms of Trade Shocks: What are They and What Do They Do? Appendix B: Robustness Checks

Jarkko Jääskelä and Penelope Smith

December 2011

Figure B1: Responses of World Variables to Terms of Trade Shocks
Figure B2: Responses of Domestic Variables to Terms of Trade Shocks
Figure B3: Historical Decompositions of Export and Import Price Inflation
Figure B4: Historical Decompositions of World Output and the Terms of Trade
Figure B5: Historical Decompositions of The Real Exchange Rate and Domestic Output
Figure B6: Historical Decompositions of Inflation and the Nominal Interest Rate
Table B1: Variance Decomposition
Inflation-targeting sample, per cent
  πx πm Δyw Δq Δyd πd rd
World demand shock
Median target 24 21 55 19 15 10 39
One std dev interval (21,45) (12,38) (30,69) (14,37) (12,30) (6,25) (15,52)
Commodity-market specific shock
Median target 69 61 22 49 16 5 5
One std dev interval (42,68) (40,69) (15,42) (18,47) (5,18) (5,21) (4,28)
Globalisation shock
Median target 7 18 24 8 11 16 4
One std dev interval (6,20) (12,29) (7,37) (4,15) (4,17) (5,20) (2,17)
Shocks to domestic block
Median target       24 58 69 53
One std dev interval       (21,42) (45,68) (45,71) (25,59)
Figure B7: Historical Decompositions of Tradable and Non-tradable Inflation