RDP 2015-11: Unprecedented Changes in the Terms of Trade Appendix C: Additional Results

Mariano Kulish and Daniel Rees

August 2015 – ISSN 1448-5109 (Online)

Table C1: Prior and Posterior Distribution of Shock Processes
Variable Prior distribution Posterior distribution
Shape Mean Std dev Mode Mean 5% 95%
ρH Beta 0.5 0.2   0.91 0.90 0.85 0.95
ρN Beta 0.5 0.2   0.99 0.99 0.99 1.00
ρx Beta 0.5 0.2   0.82 0.81 0.70 0.90
ρξ Beta 0.5 0.2   0.70 0.61 0.34 0.81
ρν Beta 0.5 0.2   0.29 0.31 0.18 0.44
ρL Beta 0.5 0.2   0.87 0.82 0.66 0.93
ρz Beta 0.5 0.2   0.65 0.63 0.50 0.75
ρA Beta 0.5 0.2   0.53 0.54 0.29 0.78
ρψ Beta 0.5 0.2   0.69 0.68 0.54 0.81
ρy* Beta 0.5 0.2   0.60 0.59 0.35 0.81
ρr* Beta 0.5 0.2   0.97 0.97 0.96 0.98
ρπ* Beta 0.5 0.2   0.41 0.41 0.26 0.56
σH Inv gamma 0.1 2   0.020 0.020 0.017 0.024
σN Inv gamma 0.1 2   0.011 0.011 0.009 0.013
σx Inv gamma 0.1 2   0.069 0.068 0.059 0.081
σζ Inv gamma 0.1 2   0.016 0.014 0.012 0.022
σv Inv gamma 0.1 2   0.060 0.065 0.042 0.093
σL Inv gamma 0.1 2   0.042 0.045 0.034 0.058
σz Inv gamma 0.01 2   0.004 0.004 0.003 0.004
σA Inv gamma 0.01 2   0.002 0.002 0.001 0.003
σr Inv gamma 0.01 2   0.001 0.001 0.001 0.001
σψ Inv gamma 0.01 2   0.011 0.012 0.007 0.018
σy* Inv gamma 0.01 2   0.002 0.002 0.001 0.002
σr* Inv gamma 0.01 2   0.001 0.001 0.001 0.001
σπ* Inv gamma 0.01 2   0.003 0.003 0.003 0.004