RDP 2013-10: Stochastic Terms of Trade Volatility in Small Open Economies Appendix B: Terms of Trade Processes – HP-filtered Data

Patricia Gómez-González and Daniel Rees

August 2013 – ISSN 1320-7229 (Print), ISSN 1448-5109 (Online)

Table B1 shows the results for the empirical estimation when the terms of trade processes are HP-filtered using a smoothing parameter of 1,600.

Table B1: Posterior Medians – HP-filtered Data
Australia Brazil Canada Mexico New Zealand South Africa
ρq 0.84 0.77 0.83 0.78 0.83 0.69
(0.81, 0.89) (0.65, 0.89) (0.77, 0.91) (0.71, 0.89) (0.77, 0.92) (0.60, 0.80)
σq −3.69 −3.36 −4.45 −3.46 −3.53 −3.38
(−4.19, −2.95) (−3.87, −2.74) (−4.82, −4.00) (−3.88, −3.02) (−3.96, −2.91) (−3.95, −2.81)
ρσ 0.94 0.93 0.89 0.87 0.95 0.97
(0.78, 0.99) (0.78, 1.00) (0.62, 0.99) (0.66, 0.97) (0.86, 1.00) (0.88, 1.00)
ηq 0.20 0.21 0.23 0.31 0.14 0.10
(0.12, 0.35) (0.11, 0.38) (0.11, 0.45) (0.20, 0.46) (0.08, 0.24) (0.05, 0.21)
Note: 95 per cent credible sets in parantheses