This document contains the data and programs for Michael Dueker's Jan/Feb 1995 Review article. The data and programs follow. ********************************************************************* This is the beginning of the program file ********************************************************************* ********************************************************************* ** The following program was used for Michael Dueker's ** ** January/February 1995 Review article entitled, "Narrow Vs. ** ** Broad Measures of Money as Intermediate Targets: Some Forecast ** ** Results." It defines a relationship between the monetary base ** ** and the federal funds rate and then estimates the relationship ** ** using a time-varying parameter model with Markov variance. ** ** This same program can be used (assuming the appropriate ** ** modifications are made) to estimate the following ** ** relationships in Dueker's paper: ** ** (1) Gross Domestic Product (GDP)/federal funds rate ** ** (2) Inflation/ federal funds rate ** ** (3) Velocities (i.e., M1, M2, etc.) ** ********************************************************************* ; @>>>>>>>>>>>>>>>>>>>>Time varying parameter model >>>>>>>>>>>>@ @>>>>>>>>>>>>>>>>>>>>with Markov Variance >>>>>>>>>>>>>>>>>>>@ @>>>>>>>>>>>>>>>>>>>>Using Optmum Proc >>>>>>>>>>>>>>>>>>>>>>@ @===========> GAUSS 2.1 + NEW APPLICATION MODULE@ new; #lineson; library optmum; #include optmum.ext; optset; output file=a:\velfor.t83 reset; load data[140,12]=a:\targetc.prn; @cols. date bogamb rgdp tbond10 tbond30 m1 m2 ngdp adjres tb3mo m2plus ffund@ veloc = data[.,2]./(1+(data[.,12]/100)); t=rows(data); qtr_idx= data[3:t,1]; y= 100*(ln(veloc[3:t])-ln(veloc[2:t-1])); dr3= 1*(ln(1+data[2:t-1,10]/100)-ln(1+data[1:t-2,10]/100)); dr10=1*(ln(1+data[2:t-1,4]/100)-ln(1+data[1:t-2,4]/100)); gmb= 1*(ln(data[2:t-1,2])-ln(data[1:t-2,2])); gq = 1*(ln(data[2:t-1,3])-ln(data[1:t-2,3])); t=t-2; AA=.1*ones(t,1)~dr3~dr10~gmb; yy=y; dddd=AA; beta=invpd(AA'AA)*AA'yy; res= yy-AA*beta; sig=res'res/(t-1); beta; sig; my=yy-sumc(yy)/rows(yy); r2= 1 - res'res/(my'my); r2;; r2; format /m1 /rd 12,6; qtr_idx~y; START=11; /* 1961.1--1987.4 */ PRMTR_NO=8; /* >>Number of parameters to be estimated. >> */ TVP_NO=4; /* >>Number of Time-varying Coefficients >> */ output on; prmtr_in=.4*sig|2|2|2|2|2.5*sig|.90|.95; prmtr_in= 16.14335|1.236|113.91998|423.35769|29.59895|5.25840|0.94122| 0.91135; prmtr_in; PRIOR_CF=zeros(TVP_NO,1); /* Initial values of reg coefs */ PRIOR_CF=inv(dddd[1:10,.]'dddd[1:10,.])*dddd[1:10,.]'yy[1:10]; PRIOR_VR=EYE(TVP_NO)*START; /* Initial var-cov for reg coef */ /* Maximum Likelihood Estimation ================================================== */ {xout,fout,gout,hout}=optmum(&lik_fcn,tran_inv(PRMTR_IN)); /* prmtr estimates, -log lik value, Gradient, code */ PRM_FNL=TRANS(xout); F_SS =SAVE_OUT(PRM_FNL); OUTPUT FILE=a:\velfor.d83 RESET; F_SS; ?"Calculating Hessian and its inverse.....";; ?"THANK YOU FOR YOUR PATIENCE..............!!!"; hout=inv(hessp(&lik_fcn,xout)); grdn_fnl=gradfd(&TRANS,xout); Hsn_fnl=grdn_fnl*hout*grdn_fnl'; SD_fnl =sqrt(diag(Hsn_fnl)); /* Standard errors of the estimated coefficients */ output on; ?"==FINAL OUTPUT========================================================"; ?"likelihood value is ";; fout; ?"Estimated parameters are:"; prm_fnl'; ?"var-cov matrix is:"; Hsn_fnl; ?"Standard errors of parameters are:"; sd_fnl; ?"==============================================================="; END; /* ======================================================================== ======================================================================== */ PROC LIK_FCN(PRMTR1); local prmtr, ppr,qpr,aaa,prob__0,prob__1,p_cf_0,p_cf_1, p_vr_0, p_vr_1, qq, lik, j_iter, h, pr__0_l,pr__1_l, pst_cf0, pst_cf1, pst_vr0, pst_vr1, f_cast0, f_cast1, ss00, ss01, ss10, ss11, pr_vl00, pr_vl01, pr_vl10, pr_vl11, pr_val,k_gn00, k_gn01, k_gn10, k_gn11, p_cf00, p_cf01, p_cf10, p_cf11, p_vr00, p_vr01, p_vr10, p_vr11, pro_00, pro_01, pro_10, pro_11, likv; EXTERNAL PROC TRANS, V_PROB; PRMTR=TRANS(PRMTR1); PPR=PRMTR[7,1]; @Pr[St=1/St-1=1]@ QPR=PRMTR[8,1]; @Pr[St=0/St-1=0]@ AAA=EYE(TVP_NO); /* >>>>>>>>>>>>>>>>>>>>>>>>> INITIAL PROB. Pr[S0/Y0] */ PROB__1=(1-QPR)/(2-PPR-QPR); /* Pr[St-1=1/Yt-1], STEADY STATE PROB. */ PROB__0=1-PROB__1 ; /* Pr[ST-1=0/Yt-1], STEADY STATE PROB */ P_CF_0=PRIOR_CF; P_CF_1=PRIOR_CF; P_VR_0=PRIOR_VR; P_VR_1=PRIOR_VR; /* Initial values */ QQ=(PRMTR[2,1]^2~0~0~0)| (0~PRMTR[3,1]^2~0~0)| (0~0~PRMTR[4,1]^2~0)| (0~0~0~PRMTR[5,1]^2); LIKV=0.0; J_ITER = 1; DO UNTIL J_ITER>T; H=AA[J_ITER,.]; PR__0_L= QPR*PROB__0 + (1-PPR)*PROB__1; /* Pr[St=0/Yt-1] */ PR__1_L= (1-QPR)*PROB__0 + PPR*PROB__1; /* Pr[St=1/Yt-1] */ /* ===================PREDICTION============================= */ PST_CF0 = AAA * P_CF_0; /* Prediction of coef when St-1=0 */ PST_CF1=AAA*P_CF_1; PST_VR0 = AAA * P_VR_0 * AAA' +QQ; PST_VR1 = AAA * P_VR_1 * AAA' +QQ; F_CAST0 = yy[J_ITER,.] - H * PST_CF0; /* Forecast error when St-1=0 */ F_CAST1 = yy[J_ITER,.] - H * PST_CF1; /* Forecast error when St-1=0 */ SS00= H * PST_VR0 * H' + PRMTR[1,1]^2; /* St-1=0,St=0 */ SS01= H* PST_VR0 * H' + PRMTR[6,1]^2; /* St-1=0,St=1 */ SS10= H * PST_VR1 * H' + PRMTR[1,1]^2; /* St-1=1,St=0 */ SS11= H * PST_VR1 * H' + PRMTR[6,1]^2; /* St-1=1,St=1 */ /* <<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<< */ PR_VL00=V_PROB(F_CAST0,SS00)* QPR*PROB__0; /* Pr[St,Yt/Yt-1] */ PR_VL01=V_PROB(F_CAST0,SS01)*(1-QPR)*PROB__0; PR_VL10=V_PROB(F_CAST1,SS10)*(1-PPR)*PROB__1; PR_VL11=V_PROB(F_CAST1,SS11)* PPR*PROB__1; PR_VAL=PR_VL00+PR_VL01+PR_VL10+PR_VL11; /* Pr[Yt/Yt-1] */ /* >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> */ LIK=-1*LN(PR_VAL); /* =======================UPDATING===============================*/ K_GN00 =PST_VR0 * H' / SS00; K_GN01 =PST_VR0 * H' / SS01; K_GN10 =PST_VR1 * H' / SS10; K_GN11 =PST_VR1 * H' / SS11; P_CF00 = PST_CF0 + K_GN00 * F_CAST0; P_CF01 = PST_CF0 + K_GN01 * F_CAST0; P_CF10 = PST_CF1 + K_GN10 * F_CAST1; P_CF11 = PST_CF1 + K_GN11 * F_CAST1; P_VR00 = (EYE(TVP_NO) - K_GN00 * H ) * PST_VR0; P_VR01 = (EYE(TVP_NO) - K_GN01 * H ) * PST_VR0; P_VR10 = (EYE(TVP_NO) - K_GN10 * H ) * PST_VR1; P_VR11 = (EYE(TVP_NO) - K_GN11 * H ) * PST_VR1; @>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>@ PRO_00=PR_VL00/PR_VAL; @Pr[St,St-1/Yt]@ PRO_01=PR_VL01/PR_VAL; PRO_10=PR_VL10/PR_VAL; PRO_11=PR_VL11/PR_VAL; PROB__0=PRO_00+PRO_10; @Pr[St=0/Yt]@ PROB__1=PRO_01+PRO_11; @Pr[St=1/Yt]@ @<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<@ P_CF_0=(PRO_00*P_CF00 + PRO_10*P_CF10)/PROB__0; P_CF_1=(PRO_01*P_CF01 + PRO_11*P_CF11)/PROB__1; P_VR_0=(PRO_00*(P_VR00+(P_CF_0-P_CF00)*(P_CF_0-P_CF00)')+ PRO_10*(P_VR10+(P_CF_0-P_CF10)*(P_CF_0-P_CF10)'))/PROB__0; P_VR_1=(PRO_01*(P_VR01+(P_CF_1-P_CF01)*(P_CF_1-P_CF01)')+ PRO_11*(P_VR11+(P_CF_1-P_CF11)*(P_CF_1-P_CF11)'))/PROB__1; IF J_ITER < START; goto skip; endif; LIKV = LIKV+LIK; skip: J_ITER = J_ITER+1; ENDO; RETP(LIKV); ENDP; PROC (1) = SAVE_OUT(PRMTR1); local prmtr, ppr,qpr,aaa,prob__0,prob__1,p_cf_0,p_cf_1, p_vr_0, p_vr_1, qq, lik, j_iter, h, pr__0_l,pr__1_l, pst_cf0, pst_cf1, pst_vr0, pst_vr1, f_cast0, f_cast1, ss00, ss01, ss10, ss11, pr_vl00, pr_vl01, pr_vl10, pr_vl11, pr_val,k_gn00, k_gn01, k_gn10, k_gn11, p_cf00, p_cf01, p_cf10, p_cf11, p_vr00, p_vr01, p_vr10, p_vr11, pro_00, pro_01, pro_10, pro_11, likv,cf,vr, DTA_MAT, SS,S1,S2,f_cast,coeffs; EXTERNAL PROC TRANS, V_PROB; DTA_MAT=ZEROS(T,4); PRMTR=PRMTR1; PPR=PRMTR[7,1]; @Pr[St=1/St-1=1]@ QPR=PRMTR[8,1]; @Pr[St=0/St-1=0]@ AAA=EYE(TVP_NO); @>>>>>>>>>>>>>>>>>>>>>>>>> INITIAL PROB. Pr[S0/Y0] @ PROB__1=(1-QPR)/(2-PPR-QPR); @Pr[St-1=0/Yt-1], STEADY STATE PROB.@ PROB__0=1-PROB__1 ; @Pr[ST-1=1/Yt-1], STEADY STATE PROB @ P_CF_0=PRIOR_CF; P_CF_1=PRIOR_CF; P_VR_0=PRIOR_VR; P_VR_1=PRIOR_VR; @ Initial values@ QQ=(PRMTR[2,1]^2~0~0~0)| (0~PRMTR[3,1]^2~0~0)| (0~0~PRMTR[4,1]^2~0)| (0~0~0~PRMTR[5,1]^2); LIKV=0.0; J_ITER = 1; DO UNTIL J_ITER>T; @H=AA[J_ITER,.]~zz[J_ITER,.];@ H=AA[J_ITER,.]; PR__0_L= QPR*PROB__0 + (1-PPR)*PROB__1; @Pr[St=0/Yt-1]@ PR__1_L= (1-QPR)*PROB__0 + PPR*PROB__1; @Pr[St=1/Yt-1]@ @===================PREDICTION=============================@ PST_CF0 = AAA * P_CF_0; @ Prediction of coef when St-1=0 @ PST_CF1=AAA*P_CF_1; @Prediction of coef when St-1=1 @ cf=prob__0*pst_cf0 +prob__1*pst_cf1; @Estimate of coefs based on past info@ cf; @ cf=pr__0_l*pst_cf0 +pr__1_l*pst_cf1;@ PST_VR0 = AAA * P_VR_0 * AAA' +QQ; PST_VR1 = AAA * P_VR_1 * AAA' +QQ; vr= prob__0*(pst_vr0+ (cf-pst_cf0)*(cf-pst_cf0)') + prob__1*(pst_vr1+ (cf-pst_cf1)*(cf-pst_cf1)'); @ vr= pr__0_l*(pst_vr0+ (cf-pst_cf0)*(cf-pst_cf0)') + pr__1_l*(pst_vr1+ (cf-pst_cf1)*(cf-pst_cf1)');@ @vr=> variance covariance matrix of coef(cf) calculated based on past information only. @ F_CAST0 = yy[J_ITER,.] - H * PST_CF0; @ Forecast error when St-1=0 @ F_CAST1 = yy[J_ITER,.] - H * PST_CF1; @ Forecast error when St-1=0 @ f_cast= pr__0_l*F_CAST0+ pr__1_l*F_CAST1; SS = H * vr * H' + (prmtr[1,1]^2 +(prmtr[6,1]^2-prmtr[1,1]^2)* pr__1_L); DTA_MAT[j_iter,.]=f_cast~ ss ~ (h*vr*h')~ (prmtr[1,1]^2+(prmtr[6,1]^2-prmtr[1,1]^2)*pr__1_l); SS00= H * PST_VR0 * H' + PRMTR[1,1]^2; @ St-1=0,St=0 @ SS01= H* PST_VR0 * H' + PRMTR[6,1]^2; @ St-1=0,St=1 @ SS10= H * PST_VR1 * H' + PRMTR[1,1]^2; @ St-1=1,St=0 @ SS11= H * PST_VR1 * H' + PRMTR[6,1]^2; @ St-1=1,St=1 @ @<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<@ PR_VL00=V_PROB(F_CAST0,SS00)* QPR*PROB__0; @Pr[St,Yt/Yt-1]@ PR_VL01=V_PROB(F_CAST0,SS01)*(1-QPR)*PROB__0; PR_VL10=V_PROB(F_CAST1,SS10)*(1-PPR)*PROB__1; PR_VL11=V_PROB(F_CAST1,SS11)* PPR*PROB__1; PR_VAL=PR_VL00+PR_VL01+PR_VL10+PR_VL11; @Pr[Yt/Yt-1]@ @>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>@ @=======================UPDATING===============================@ K_GN00 =PST_VR0 * H' / SS00; K_GN01 =PST_VR0 * H' / SS01; K_GN10 =PST_VR1 * H' / SS10; K_GN11 =PST_VR1 * H' / SS11; P_CF00 = PST_CF0 + K_GN00 * F_CAST0; P_CF01 = PST_CF0 + K_GN01 * F_CAST0; P_CF10 = PST_CF1 + K_GN10 * F_CAST1; P_CF11 = PST_CF1 + K_GN11 * F_CAST1; P_VR00 = (EYE(TVP_NO) - K_GN00 * H ) * PST_VR0; P_VR01 = (EYE(TVP_NO) - K_GN01 * H ) * PST_VR0; P_VR10 = (EYE(TVP_NO) - K_GN10 * H ) * PST_VR1; P_VR11 = (EYE(TVP_NO) - K_GN11 * H ) * PST_VR1; @>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>@ PRO_00=PR_VL00/PR_VAL; @Pr[St,St-1/Yt]@ PRO_01=PR_VL01/PR_VAL; PRO_10=PR_VL10/PR_VAL; PRO_11=PR_VL11/PR_VAL; PROB__0=PRO_00+PRO_10; @Pr[St=0/Yt]@ PROB__1=PRO_01+PRO_11; @Pr[St=1/Yt]@ @<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<@ P_CF_0=(PRO_00*P_CF00 + PRO_10*P_CF10)/PROB__0; P_CF_1=(PRO_01*P_CF01 + PRO_11*P_CF11)/PROB__1; P_VR_0=(PRO_00*(P_VR00+(P_CF_0-P_CF00)*(P_CF_0-P_CF00)')+ PRO_10*(P_VR10+(P_CF_0-P_CF10)*(P_CF_0-P_CF10)'))/PROB__0; P_VR_1=(PRO_01*(P_VR01+(P_CF_1-P_CF01)*(P_CF_1-P_CF01)')+ PRO_11*(P_VR11+(P_CF_1-P_CF11)*(P_CF_1-P_CF11)'))/PROB__1; skip: J_ITER = J_ITER+1; ENDO; RETP(DTA_MAT~qtr_idx); ENDP; @>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>@ PROC TRANS(coef0); @ constraining values of reg. coeff.@ local coef1,m,u; u=0.9999999999; m=0.00000000001; coef1= m+coef0^2; coef1[7:8,.]=m+(u-m)./ (1+exp(-1*coef0[7:8,.])); retp(coef1); endp; PROC TRAN_INV(coef0); local coef1,m,u; u=0.9999999999; m=0.00000000001; coef1=sqrt(coef0-m); coef1[7:8,.]=-1*ln((u-coef0[7:8,.]) ./ (coef0[7:8,.]-m)); retp(coef1); endp; @>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>@ @>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>@ PROC V_PROB(EV, HE); @ CALCULATES Pr[Yt/St,Yt-1]@ LOCAL VAL; VAL=(1/SQRT(2*PI*HE))*EXP(-0.5*EV*EV/HE); RETP(VAL); ENDP; @>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>@ ******************************************************************************* End of Program file ******************************************************************************* Beginning of Data file ******************************************************************************* ********************************************************************* ** This is the raw data that corresponds with the program file in ** ** Michael Dueker's January/February 1995 Review article entitled, ** ** "Narrow Vs. Broad Measures of Money as Intermediate Targets: ** ** Some Forecast Results." The description of the data used in ** ** the paper is as follows: ** ** ** ** DATE = quarterly date ** ** BOGAMB= Board of Governor's monetary base adjusted ** ** for changes in reserve requirements; includes ** ** Reg. K reserves; prorated averages; seasonally ** ** adjusted (Source: Federal Reserve Bank of St. ** ** Louis) ** ** GDPCON= real GDP, seasonally adjusted (Source: Federal ** ** Reserve Bank of St. Louis) ** ** GS10YR= 10 year treasury constant maturity rate; ** ** averages of daily figures; based on closing mkt. ** ** bid yields on actively traded securities in the ** ** OTC market (Source: Federal Bank of St. Louis) ** ** GS30YR= 30 year treasury constant maturity rate; ** ** averages of daily figures; based on closing mkt. ** ** bid yields on actively traded securities in the ** ** OTC market (Source: Federal Bank of St. Louis) ** ** M1 = Money stock M1; averages of daily figures, ** ** consists of currency held by the nonbank public, ** ** demand deposits at all commerical banks, traveler's** ** checks and other checkable deposits; seasonally ** ** adjusted (Source: Federal Bank of St. Louis) ** ** M2 = Money stock M2; averages of daily figures; ** ** seasonally adjusted (Source: Federal Bank of St. ** ** Louis) ** ** GDPCUR= Nominal GDP, seasonally adjusted (Source: Federal ** ** Reserve Bank of St. Louis) ** ** TRARR = Board of Governors total reserves adjusted for ** ** reserve requirements; prorated averages; includes ** ** Reg. K reserves; seasonally adjusted (Source: ** ** Federal Bank of St. Louis) ** ** TB3MO = Three-month secondary market treasury bill rate; ** ** averages of daily closing bid prices quoted on a ** ** bank discount basis (Source: Federal Reserve Bank ** ** of St. Louis) ** ** M2PLUS= M2 plus bond funds; quarterly average; seasonally ** ** adjusted (Source: Board of Governors) ** ** FEDFUN= Federal Funds Rate; averages of daily figures ** ** (Seven-day, ending Wednesday);averages of most ** ** executed transactions rate (1966 to mid-1973); ** ** weighted average by volume of transaction-effective** ** rate (mid-1973 to date). (Source: Federal Bank of ** ** St. Louis) ** ** ** ** Note: Each variable was pulled from 1959I to 1993IV, except ** ** GS30YR which was only available from 1977II to 1993IV. ** ** The data for M2 plus bond funds (i.e., M2PLUS) was ** ** obtained on a monthly basis and quarterly averaged. ** ** TB3MO, M2PLUS and FEDFUN are stacked below the other ** ** variables. ** ********************************************************************* @ DATE BOGAMB GDPCON GS10YR GS30YR M1 M2 GDPCUR TRARR 590101 40.5 1904.9 3.99 0. 139.3 287.9 483.5 11.1 590401 40.7 1937.5 4.26 0. 140.5 292.1 496.2 11.1 590701 41 1930.8 4.5 0. 141.5 296.1 496.4 11.1 591001 40.9 1941.9 4.58 0. 140.3 297.2 500.5 11.1 600101 40.7 1976.9 4.49 0. 139.9 298.7 514 10.9 600401 40.6 1971.7 4.26 0. 139.6 301.1 512.9 10.8 600701 40.9 1973.7 3.83 0. 140.9 306.4 515.8 11.1 601001 41.1 1961.1 3.89 0. 140.8 311 510.8 11.2 610101 40.9 1977.4 3.79 0. 141.5 316.3 515.1 11.2 610401 40.8 2006 3.79 0. 142.6 322.1 525.9 11.1 610701 41.2 2035.2 3.98 0. 143.4 327.5 536.6 11.2 611001 41.8 2076.5 3.97 0. 144.7 333.4 549.5 11.5 620101 41.9 2103.8 4.02 0. 145.6 340.2 561.9 11.4 620401 42.2 2125.7 3.87 0. 146.6 347.4 569.4 11.3 620701 42.5 2142.6 3.99 0. 146.5 352.8 576.2 11.4 621001 42.9 2140.2 3.9 0. 147.3 360 578.9 11.5 630101 43.2 2170.9 3.89 0. 148.8 368 588.1 11.5 630401 43.6 2199.5 3.96 0. 150.2 375.9 596.7 11.4 630701 44.2 2237.6 4.03 0. 151.7 383.5 609.4 11.5 631001 44.7 2254.5 4.12 0. 153.2 391.1 618.3 11.6 640101 45.2 2311.1 4.18 0. 154.2 397.6 634.8 11.6 640401 45.7 2329.9 4.2 0. 155.2 404.3 643.6 11.5 640701 46.4 2357.4 4.19 0. 157.8 413.4 654.1 11.8 641001 47 2364 4.17 0. 159.8 422.1 659.7 12 650101 47.5 2410.1 4.2 0. 161 430.4 679.8 11.9 650401 47.9 2442.8 4.21 0. 162 437.5 691.9 12 650701 48.5 2485.5 4.25 0. 163.9 445.9 708.3 12.1 651001 49.3 2543.8 4.47 0. 166.9 456 730.7 12.2 660101 50.1 2596.8 4.77 0. 169.7 464.6 753.1 12.2 660401 50.6 2601.4 4.78 0. 171.6 470.1 762.2 12.3 660701 51.1 2626.1 5.14 0. 171 472.9 775.3 12.3 661001 51.4 2640.5 5 0. 171.5 477.8 788.5 12.2 670101 52.2 2657.2 4.58 0. 173.2 485.4 797.7 12.3 670401 52.7 2669 4.82 0. 175.6 497.1 803.8 12.5 670701 53.4 2699.5 5.25 0. 179.5 510.7 820.5 12.7 671001 54.3 2715.1 5.64 0. 182.5 521.3 835.3 13.1 680101 55.2 2752.1 5.64 0. 184.7 530 859.6 13.2 680401 56 2796.9 5.74 0. 188 539.1 883.7 13.2 680701 56.9 2816.8 5.46 0. 191.7 549.8 900.3 13.4 681001 57.9 2821.7 5.77 0. 195.8 562.2 913.7 13.6 690101 58.8 2864.6 6.18 0. 199.3 571.6 937.3 13.7 690401 59.5 2867.8 6.35 0. 200.9 577 951.1 13.7 690701 60.1 2884.5 6.86 0. 201.8 580.9 970.7 13.7 691001 61.1 2875.1 7.3 0. 203.5 586.7 978.8 14.1 700101 62 2867.8 7.37 0. 205.7 589.7 989.7 14.1 700401 63 2859.5 7.71 0. 207.1 593.7 1003.8 14.1 700701 63.7 2895 7.46 0. 209.9 606.3 1022.8 14.3 701001 64.6 2873.3 6.85 0. 213.7 622.7 1026.4 14.5 710101 66 2939.9 6.02 0. 217.2 642.7 1069.8 14.7 710401 67.2 2944.2 6.25 0. 221.8 668 1088.2 15 710701 68.5 2962.3 6.48 0. 225.7 687.7 1108.4 15.2 711001 68.9 2977.3 5.89 0. 227.8 706.7 1122.3 15.2 720101 70.4 3037.3 6.03 0. 232.2 727.8 1160.9 15.4 720401 71.4 3089.7 6.14 0. 236 746.7 1192.5 15.8 720701 72.6 3125.8 6.29 0. 240.9 771.7 1217.7 15.9 721001 74.4 3175.5 6.37 0. 246.9 797.2 1256.8 16.4 730101 76.3 3253.3 6.61 0. 251.7 816.7 1304.4 16.8 730401 77.4 3267.6 6.81 0. 254.8 830.3 1334.5 16.7 730701 78.9 3264.3 7.21 0. 257.7 843.1 1358.4 16.8 731001 80.6 3289.1 6.75 0. 260.9 854.7 1401.2 17 740101 82.3 3259.4 7.05 0. 265.3 870.8 1410.9 17.1 740401 84.3 3267.6 7.54 0. 267.7 881.7 1444.1 17.4 740701 85.9 3239.1 7.96 0. 270.2 891.5 1474.7 17.4 741001 87 3226.4 7.67 0. 273.5 904.7 1504.8 17.5 750101 88.3 3154 7.54 0. 275 921.3 1513.6 17.3 750401 89.8 3190.4 8.05 0. 279.2 955 1552.1 17.5 750701 91.7 3249.9 8.3 0. 284.5 989.7 1614.4 17.7 751001 93.2 3292.5 8.06 0. 286.7 1014.2 1663.3 17.7 760101 95 3356.7 7.75 0. 290.6 1046.2 1717.8 17.8 760401 97.2 3369.2 7.77 0. 295.3 1078.8 1746.4 17.8 760701 98.8 3381 7.73 0. 298.5 1108.4 1779.9 18 761001 100.8 3416.3 7.19 0. 304.2 1149.4 1829.6 18.3 770101 102.7 3466.4 7.35 0. 311.4 1188.3 1881.7 18.4 770401 104.6 3525 7.37 7.72 316.9 1220.9 1952.9 18.5 770701 107.2 3574.4 7.36 7.65 322.2 1250.5 2015.1 18.8 771001 109.6 3567.2 7.6 7.85 329.1 1278.2 2046.8 19 780101 112.2 3591.8 8.01 8.22 335.7 1302 2090.2 19.4 780401 114.4 3707 8.32 8.42 343.1 1325.5 2213.9 19.7 780701 117.1 3735.6 8.49 8.53 350 1351.7 2274.7 20 781001 119.7 3779.6 8.82 8.77 356.1 1380.2 2352 19.9 790101 121.6 3780.8 9.11 8.99 360.4 1403.1 2399.2 19.5 790401 123.6 3784.3 9.11 9.06 369.4 1436.3 2453.3 19.6 790701 127.1 3807.5 9.1 9.03 378.6 1471.6 2523.3 20 791001 130.3 3814.6 10.45 10.09 381.9 1492 2578.8 20.5 800101 132.8 3830.8 11.99 11.69 388.3 1518.6 2650.1 20.7 800401 135.1 3732.6 10.48 10.52 385 1536.4 2643.9 20.5 800701 137.9 3733.5 10.95 10.86 399.4 1589.5 2705.3 21 801001 141.2 3808.5 12.42 12.12 410.3 1625 2832.9 21.8 810101 142.3 3860.5 12.96 12.54 415 1654.3 2953.5 21.9 810401 144.5 3844.4 13.75 13.25 425 1698.1 2993 22.3 810701 146.4 3864.5 14.85 14.14 427.1 1733.1 3079.6 22.4 811001 147.9 3803.1 14.09 13.83 432.5 1776.9 3096.3 22.3 820101 150.4 3756.1 14.29 13.99 442.4 1819 3092.9 22.6 820401 152.8 3771.1 13.93 13.51 446.7 1854.1 3146.2 22.4 820701 155.5 3754.4 13.12 12.8 452.1 1894.5 3164.2 22.4 821001 158.8 3759.6 10.67 10.75 470.6 1939.5 3195.1 23.3 830101 163.1 3783.5 10.56 10.71 483.8 2040.6 3254.9 23.8 830401 167.9 3886.5 10.54 10.65 498.7 2097.7 3367.1 25 830701 171.2 3944.4 11.63 11.62 510.5 2133.3 3450.9 25.4 831001 174.6 4012.1 11.69 11.74 519.4 2176.6 3547.3 25.4 840101 177.9 4089.5 11.94 12.03 527.8 2220.1 3666.9 25.7 840401 181.1 4144 13.2 13.17 536.8 2266.8 3754.6 26 840701 183.8 4166.4 12.87 12.68 542 2302.2 3818.2 26.1 841001 186.2 4194.2 11.74 11.69 547.8 2353.2 3869.1 26.5 850101 189.4 4221.8 11.58 11.58 562 2423.1 3940 27.4 850401 193 4254.8 10.81 10.99 576 2461.4 3997.5 28.4 850701 197.8 4309 10.34 10.56 596.6 2517.2 4076.9 29.6 851001 202.1 4333.5 9.76 10.03 613.4 2558.7 4140.5 30.9 860101 205.5 4390.5 8.56 8.76 626.6 2593.7 4215.7 31.8 860401 210 4387.7 7.6 7.49 651.4 2661.9 4232 33.3 860701 215.3 4412.6 7.31 7.41 679.2 2733.1 4290.2 35.3 861001 220.9 4427.1 7.26 7.53 708.7 2796.1 4336.6 37.4 870101 226.4 4460 7.19 7.49 731.6 2838.4 4408.3 39.1 870401 230.4 4515.3 8.34 8.53 744.5 2859.7 4494.9 39.7 870701 233.4 4559.3 8.88 9.07 745.7 2883.2 4573.5 39.3 871001 238.5 4625.5 9.12 9.23 753.5 2916.6 4683 39.4 880101 242.9 4655.3 8.42 8.63 759.2 2963 4752.4 39.5 880401 247.7 4704.8 8.91 9.06 773.4 3019.7 4857.2 40.1 880701 252.4 4734.5 9.1 9.17 783.5 3044.5 4947.3 40.6 881001 255.8 4779.7 8.96 8.97 785.9 3070.6 5044.6 40.4 890101 258.5 4817.6 9.21 9.04 784.8 3088 5150 40.2 890401 260.4 4839 8.77 8.71 776.6 3104.1 5229.5 39.4 890701 263.1 4839 8.11 8.12 780.4 3161.2 5278.9 39.5 891001 266.1 4856.7 7.91 7.93 790.3 3219.2 5344.8 40.3 900101 271.3 4898.3 8.42 8.44 799 3266.6 5461.9 40.8 900401 277 4917.1 8.68 8.65 807.5 3296.9 5540.9 40.8 900701 284.1 4906.5 8.7 8.8 816.6 3330.4 5583.8 40.9 901001 291.1 4867.2 8.4 8.55 823.1 3348.5 5597.9 41.1 910101 300.5 4837.8 8.02 8.2 834 3380.5 5631.7 42.1 910401 304.3 4855.6 8.13 8.32 850.5 3418.2 5697.7 42.4 910701 309 4872.6 7.94 8.18 867.2 3427.1 5758.6 43.3 911001 314.8 4879.6 7.35 7.85 888.3 3444.3 5803.7 44.7 920101 322.4 4922 7.3 7.8 925.4 3478 5908.7 47.5 920401 328.9 4956.5 7.38 7.9 950.4 3480.6 5991.4 49.3 920701 337 4998.2 6.62 7.44 976.5 3488.9 6059.5 50.4 921001 347.5 5068.3 6.74 7.53 1015.2 3509 6194.4 53.7 930101 355.8 5078.2 6.28 7.08 1036.2 3497.3 6261.6 54.9 930401 364.9 5102.1 5.99 6.86 1063.8 3516.2 6327.6 56.4 930701 374.6 5138.3 5.62 6.32 1095.7 3538.8 6395.9 58.1 931001 383.8 5232.1 5.61 6.13 1121.4 3557.3 6532.4 60.3 @ DATE TB3MO M2PLUS FEDFUN@ 590101 2.77 300638.3 2.56 590401 3 305762 3.08 590701 3.54 310440 3.57 591001 4.23 311562 3.99 600101 3.87 312702.3 3.93 600401 2.99 315445 3.7 600701 2.36 321512 2.94 601001 2.31 326163.3 2.3 610101 2.35 333162 2 610401 2.3 340576 1.74 610701 2.3 347009.7 1.68 611001 2.46 354094.3 2.4 620101 2.72 360960.7 2.4 620401 2.71 366509 2.55 620701 2.84 371065.3 2.85 621001 2.81 378853.7 2.92 630101 2.91 388290.3 2.96 630401 2.94 397515 2.96 630701 3.29 406387 3.33 631001 3.5 414490 3.45 640101 3.53 421624.7 3.46 640401 3.48 429202.3 3.49 640701 3.5 439766.3 3.46 641001 3.68 448854.7 3.58 650101 3.89 457717.7 3.97 650401 3.87 465249.3 4.08 650701 3.87 474565.7 4.07 651001 4.17 486921.7 4.17 660101 4.61 496663.3 4.56 660401 4.59 501897.7 4.91 660701 5.04 503489.3 5.41 661001 5.21 507901 5.57 670101 4.51 518344.3 4.82 670401 3.66 532279.7 3.99 670701 4.3 549220 3.89 671001 4.75 559759 4.17 680101 5.05 567458.7 4.79 680401 5.52 579710 5.98 680701 5.2 593663.7 5.94 681001 5.59 608900.7 5.92 690101 6.09 617234 6.58 690401 6.2 622208.3 8.33 690701 7.02 624113.7 8.98 691001 7.35 630189 8.94 700101 7.21 630313.7 8.57 700401 6.68 629685.3 7.88 700701 6.33 643051.3 6.7 701001 5.35 661692 5.57 710101 3.84 685760 3.86 710401 4.25 714155 4.56 710701 5.01 733937 5.48 711001 4.23 751479.3 4.75 720101 3.44 775744 3.54 720401 3.77 795710 4.3 720701 4.22 820589.3 4.74 721001 4.86 846767.7 5.14 730101 5.7 862385.3 6.54 730401 6.6 870842 7.82 730701 8.32 884737.3 10.57 731001 7.5 895372.7 10 740101 7.62 907099.3 9.33 740401 8.15 914558 11.25 740701 8.19 919882.7 12.1 741001 7.36 932314 9.34 750101 5.75 950629.3 6.3 750401 5.39 988140 5.41 750701 6.33 1022898 6.16 751001 5.63 1047430 5.41 760101 4.92 1081351 4.83 760401 5.16 1113580 5.19 760701 5.15 1142684 5.28 761001 4.67 1184884 4.89 770101 4.63 1222809 4.66 770401 4.84 1254479 5.16 770701 5.5 1284349 5.82 771001 6.11 1311559 6.51 780101 6.39 1333858 6.76 780401 6.48 1359671 7.28 780701 7.31 1386937 8.08 781001 8.57 1413864 9.58 790101 9.38 1437013 10.07 790401 9.38 1470173 10.18 790701 9.67 1506208 10.94 791001 11.84 1525635 13.58 800101 13.35 1552647 15.07 800401 9.62 1569004 12.67 800701 9.15 1625847 9.83 801001 13.61 1663634 15.85 810101 14.39 1692410 16.6 810401 14.91 1737541 17.79 810701 15.05 1770555 17.59 811001 11.75 1814637 13.59 820101 12.81 1856306 14.21 820401 12.42 1891660 14.51 820701 9.32 1934629 11.01 821001 7.91 1988772 9.28 830101 8.11 2097573 8.66 830401 8.4 2164960 8.8 830701 9.14 2204583 9.46 831001 8.8 2250962 9.43 840101 9.17 2295462 9.69 840401 9.8 2340881 10.55 840701 10.32 2380965 11.38 841001 8.8 2438625 9.26 850101 8.18 2518758 8.48 850401 7.46 2568205 7.92 850701 7.11 2641537 7.9 851001 7.17 2704233 8.11 860101 6.9 2768755 7.83 860401 6.14 2865911 6.92 860701 5.52 2957714 6.21 861001 5.35 3045386 6.27 870101 5.54 3121098 6.22 870401 5.65 3156050 6.65 870701 6.04 3193700 6.84 871001 5.87 3197153 6.92 880101 5.72 3243506 6.67 880401 6.22 3298238 7.15 880701 7.02 3321654 7.98 881001 7.73 3353494 8.47 890101 8.55 3368745 9.45 890401 8.4 3392982 9.73 890701 7.85 3465476 9.08 891001 7.65 3534642 8.61 900101 7.76 3571746 8.25 900401 7.75 3604983 8.24 900701 7.48 3638437 8.16 901001 6.99 3650767 7.74 910101 6.03 3703858 6.43 910401 5.56 3765769 5.86 910701 5.38 3795598 5.65 911001 4.55 3849705 4.82 920101 3.9 3915437 4.02 920401 3.68 3935892 3.77 920701 3.08 3973562 3.26 921001 3.07 4021906 3.03 930101 2.96 4043147 3.04 930401 2.97 4104056 3 930701 3 4173337 3.06 931001 3.06 4242542 2.99 ********************************************************************* ********************************************************************* ** This is the data for Figures 1-4 of Michael Dueker's January/ ** ** February 1995 Review article entitled, "Narrow Vs. Broad ** ** Measures of Money as Intermediate Targets: Some Forecast ** ** Results." The description of the data is as follows: ** ** Constant= drift term estimated in M1 velocity growth ** ** equation ** ** ltb3mo = effect of lagged change in the three-month ** ** T-bill yield on growth of M1 velocity ** ** ltb10yr = effect of lagged change in ten-year T-bond ** ** yield on growth of M1 velocity ** ** lm1 = effect of lagged M1 growth on growth of M1 ** ** velocity ** ** Note: Constant is plotted in Figure 1; ltb3mo is plotted in ** ** Figure 2; ltb10yr is plotted in Figure 3; and lm1 is ** ** plotted in Figure 4. ** ** This data was obtained by modifying the program (see the ** ** program file for Michael Dueker's January/February 1995 Review ** ** article) to estimate M1 velocity growth. (The velfor.t* output ** ** file yielded these coefficient estimates). ** ********************************************************************* DATE constant ltb3mo ltb10yr lm1 640101 9.193479 215.8924 -149.0033 -44.8808 640401 9.556685 229.288 -140.7275 -39.23946 640701 9.580583 229.3826 -140.2985 -38.98899 641001 9.340692 233.906 -141.3532 -41.00108 650101 9.247513 235.8235 -139.7925 -48.38869 650401 9.511605 252.1681 -144.8737 -39.14391 650701 9.521292 252.9921 -144.9998 -38.91824 651001 9.716933 250.1149 -144.5213 -37.44216 660101 9.877279 246.0782 -140.9285 -31.62554 660401 9.867179 256.0404 -130.0015 -26.6362 660701 9.864569 226.4979 -156.4835 -33.27237 661001 10.1497 213.6556 -160.3639 -25.13412 670101 10.13572 210.9145 -162.7549 -24.49899 670401 9.646302 191.9042 -132.8885 -24.21657 670701 9.453746 214.1124 -119.0891 -27.11473 671001 9.612226 160.8963 -75.80862 -21.13968 680101 9.712206 138.2792 -95.52925 -31.57878 680401 9.753165 150.4667 -77.18925 -25.88667 680701 9.736468 148.7293 -75.00201 -26.42001 681001 9.729685 127.2943 -65.05866 -35.29509 690101 9.725283 137.1801 -45.53945 -42.42122 690401 9.703791 140.6507 -39.17917 -39.9493 690701 9.700112 139.1207 -41.49054 -40.52224 691001 9.975245 138.3409 -30.79127 -39.44618 700101 9.568337 92.65018 -67.54017 -34.51993 700401 9.443523 90.66431 -87.11904 -34.96754 700701 9.522626 84.8273 -85.53519 -33.1275 701001 9.633332 65.92297 -66.49757 -32.57742 710101 9.329281 90.24123 -26.61974 -45.63455 710401 9.550651 31.71447 -96.04267 -27.22453 710701 9.475126 61.14759 -76.04697 -30.98926 711001 9.489299 57.24189 -76.47887 -34.0188 720101 9.470946 49.9143 -74.09078 -36.18073 720401 9.673141 40.13835 -97.2391 -33.74686 720701 9.569946 4.860873 -59.71023 -25.82907 721001 9.527504 -2.551046 -57.77322 -29.19226 730101 9.514609 4.521524 -58.62996 -25.32215 730401 9.390366 33.99457 -74.55386 -13.51617 730701 9.402644 40.51829 -74.36829 -12.05989 731001 9.31878 31.48633 -73.75712 -12.148 740101 9.424088 57.19227 -72.53059 -13.35194 740401 9.074345 75.86821 -29.2251 -22.603 740701 9.121342 68.9903 -3.124577 -16.53667 741001 9.133466 69.35255 0.531841 -16.41402 750101 9.135149 69.24415 1.576152 -16.3633 750401 9.105436 72.6305 3.308005 -17.18877 750701 9.336059 30.5648 22.04628 -16.95297 751001 9.24004 14.26503 75.13608 -9.649828 760101 9.292615 37.30715 73.86043 -0.411005 760401 9.615389 18.86128 52.3846 3.784626 760701 9.584574 27.8534 66.32534 -0.875186 761001 9.571527 25.88736 67.88406 -2.536592 770101 9.563383 25.7849 68.2989 -2.74757 770401 9.562076 25.59753 67.38071 -2.545077 770701 9.370171 23.4956 84.90544 8.164453 771001 9.38954 27.52705 84.55701 10.69846 780101 9.177503 -20.22367 102.7722 1.86063 780401 9.210252 -37.28149 91.47082 -4.6567 780701 9.17271 -27.96171 143.6893 8.404169 781001 9.232473 -24.49754 127.6677 2.778902 790101 9.267714 -5.733143 125.6621 5.590523 790401 9.208637 -23.60768 123.0794 5.026158 790701 8.910812 -47.46276 109.0339 4.452093 791001 8.990301 -41.66396 112.2196 -2.790974 800101 8.930591 -39.37489 105.379 2.579753 800401 8.907206 -46.33337 93.62183 3.222523 800701 8.994666 -40.72911 52.18432 0.560786 801001 8.090648 32.82583 25.18485 0.075819 810101 7.727203 14.49922 50.55266 12.17229 810401 7.788264 27.67718 46.38083 13.66353 810701 7.302541 25.30823 20.90955 11.37374 811001 7.32833 20.66011 46.97198 16.40316 820101 6.896588 39.30114 -28.79127 21.7251 820401 6.769654 89.82308 -26.70072 15.06348 820701 6.664225 75.08244 -14.02638 5.931803 821001 6.25664 76.69724 8.406466 2.075357 830101 6.193682 107.896 14.28114 -1.376617 830401 6.166864 109.4103 6.477036 -0.194851 830701 6.163141 107.2257 3.102972 -4.672007 831001 6.196246 103.9583 -1.820288 -10.66609 840101 6.196199 103.8335 -2.61671 -10.95069 840401 6.467658 85.62041 7.229561 -4.043898 840701 6.417846 83.01231 6.459501 -4.721317 841001 6.406577 81.0451 -5.087972 -6.005396 850101 6.057138 64.62044 8.742674 -6.735509 850401 5.979885 72.13824 12.78244 -7.606506 850701 6.091794 85.67541 8.754815 -16.27294 851001 6.131739 93.44652 26.52537 -23.39345 860101 6.257619 93.10656 31.22571 -29.15357 860401 6.259388 92.85163 31.85507 -29.46549 860701 5.933844 81.83562 105.9669 -32.16972 861001 6.021992 88.5574 115.4413 -35.81283 870101 6.281125 105.8136 100.4244 -47.36715 870401 6.273767 106.6818 101.6549 -46.91712 870701 6.347409 122.9394 102.0646 -40.89429 871001 6.42122 121.4494 119.462 -39.46365 880101 6.259485 116.3099 115.6627 -39.15416 880401 6.441777 110.4446 120.2092 -38.46082 880701 6.967706 110.5567 95.08244 -37.94245 881001 6.918311 99.94241 90.45332 -40.23112 890101 7.035544 121.1651 87.58701 -38.74563 890401 7.389286 149.9653 73.71959 -39.98342 890701 7.555831 163.518 75.66206 -41.46721 891001 7.395164 165.0062 79.86253 -40.08063 900101 7.742958 151.9505 61.00496 -38.51855 900401 8.094064 142.5647 53.59731 -31.8806 900701 7.915016 144.3488 40.45452 -33.6126 901001 7.619688 149.4092 28.34155 -37.13935 910101 7.450924 158.1414 26.41714 -39.67415 910401 7.331841 166.4252 30.5506 -40.70341 910701 7.410133 146.0789 25.96833 -38.38381 911001 7.399917 149.4664 22.59885 -40.4603 920101 7.399416 143.1506 40.36399 -52.2126 920401 7.445498 149.3862 50.11634 -55.21588 920701 7.147755 143.7193 59.4666 -42.04987 921001 7.117571 139.7434 52.05694 -48.92697 930101 7.108319 139.3892 48.02327 -48.43586 930401 7.086661 142.1105 49.34098 -46.7281 930701 6.977387 130.311 76.17561 -50.85753 931001 6.948042 114.062 91.94416 -57.50267 ********************************************************************* ********************************************************************* ** This is the data for Figures 5-8 of Michael Dueker's January/ ** ** February 1995 Review article entitled, "Narrow Vs. Broad ** ** Measures of Money as Intermediate Targets: Some Forecast ** ** Results." The description of the data is as follows: ** ** Constant= drift term estimated in the relationship between ** ** the federal funds rate and M1 growth ** ** ltb3mo = effect of lagged change in the three-month ** ** T-bill yield in predicting the relationship ** ** between the federal funds rate and M1 growth ** ** ltb10yr = effect of lagged change in ten-year T-bond ** ** yield in predicting the relationship between ** ** the federal funds rate and M1 growth ** ** lm1 = effect of lagged M1 growth in predicting the ** ** relationship between the federal funds rate and ** ** M1 growth ** ** Note: Constant is plotted in Figure 5; ltb3mo is plotted in ** ** Figure 6; ltb10yr is plotted in Figure 7; and lm1 is ** ** plotted in Figure 8. ** ** This data was obtained by modifying the program (see the ** ** program file for Michael Dueker's January/February 1995 Review ** ** article) to estimate the M1-federal funds rate relationship. ** ** (The velfor.t* output file yielded these coefficient estimates. ** ** For graphing purposes, the coefficent estimates were divided by ** ** 10). ** ********************************************************************* DATE Constant Ltb3mo Ltb10yr Lm1 640101 0.774 -106.267 4.543 -12.61 640401 0.804 -105.302 4.983 -12.197 640701 0.792 -105.075 4.898 -12.225 641001 0.935 -109.506 4.765 -11.701 650101 0.988 -110.239 4.293 -9.536 650401 0.949 -111.907 4.726 -10.334 650701 0.929 -112.77 4.656 -10.338 651001 0.976 -114.115 4.632 -10.438 660101 1.095 -116.827 5.615 -8.108 660401 1.16 -110.05 10.539 -4.503 660701 1.174 -108.214 11.689 -3.997 661001 0.929 -97.268 15.501 -6.192 670101 0.836 -101.041 12.33 -3.928 670401 1.012 -99.35 1.945 -5.862 670701 1.093 -114.386 -5.272 -4.985 671001 1.13 -123.794 -1.149 -4.033 680101 1.223 -103.499 9.238 3.48 680401 1.196 -106.073 7.151 2.828 680701 1.153 -108.277 9.37 2.57 681001 1.282 -95.126 4.9 7.446 690101 1.332 -99.828 -0.694 9.804 690401 1.332 -99.937 -1.04 9.797 690701 1.158 -114.746 -17.622 6.263 691001 0.959 -113.131 -21.09 9.017 700101 1.074 -98.715 -13.084 5.56 700401 1.168 -98.171 -6.131 4.803 700701 1.162 -97.621 -6.085 4.631 701001 1.289 -115.337 4.685 3.586 710101 1.46 -124.602 -13.394 7.109 710401 1.503 -132.526 -20.7 8.841 710701 1.366 -93.256 1.903 6.249 711001 1.335 -93.585 2.66 4.317 720101 1.44 -77.571 0.604 6.99 720401 1.604 -86.075 -12.965 5.253 720701 1.503 -61.85 -36.282 -1.08 721001 1.564 -54.979 -39.07 -0.649 730101 1.648 -44.809 -40.416 3.183 730401 1.598 -55.663 -36.223 -1.828 730701 1.487 -70.572 -36.772 -3.406 731001 1.26 -92.793 -31.954 1.452 740101 1.49 -61.544 -33.084 -1.459 740401 1.524 -61.171 -35.005 -1.653 740701 1.401 -63.763 -41.001 -2.941 741001 1.316 -64.801 -47.818 -2.987 750101 1.509 -68.613 -31.937 -2.58 750401 1.599 -76.895 -33.674 -1.995 750701 1.563 -69.622 -36.19 -1.561 751001 1.522 -66.74 -44.366 -2.635 760101 1.63 -53.784 -48.227 -0.707 760401 1.602 -49.796 -47.84 -0.237 760701 1.502 -41.496 -38.098 -2.959 761001 1.441 -44.267 -36.609 -4.097 770101 1.61 -40.465 -39.956 -5.277 770401 1.652 -43.928 -54.827 -0.957 770701 1.641 -43.253 -59.003 -3.603 771001 1.575 -47.467 -58.848 -4.61 780101 1.616 -41.993 -60.832 -4.561 780401 1.667 -35.137 -55.553 -1.801 780701 1.703 -35.665 -48.219 -0.41 781001 1.683 -33.899 -51.704 -1.94 790101 1.581 -52.6 -47.328 -3.232 790401 1.579 -53.015 -47.263 -3.246 790701 1.83 -39.458 -41.834 -9.11 791001 1.849 -40.768 -42.395 -7.897 800101 1.724 -43.088 -39.522 -11.145 800401 1.724 -42.532 -38.313 -11.84 800701 1.743 -41.042 -22.94 -11.387 801001 2.079 -73.888 -31.014 -17.946 810101 1.962 -48.614 -55.952 -28.368 810401 2.007 -28.804 -56.116 -27.697 810701 2.024 -26.538 -55.734 -27.808 811001 2.015 -23.532 -59.122 -28.99 820101 2.216 -37.624 -29.062 -33.1 820401 2.142 -23.638 -29.124 -34.524 820701 2.098 -24.997 -26.188 -36.099 821001 2.3 -27.619 -38.285 -35.53 830101 2.412 -50.639 -40.437 -33.331 830401 2.433 -51.519 -50.523 -30.977 830701 2.537 -48.244 -48.228 -26.079 831001 2.588 -49.613 -47.916 -25.301 840101 2.678 -50.257 -37.596 -23.133 840401 2.42 -39.457 -40.663 -21.615 840701 2.193 -46.037 -39.176 -19.36 841001 2.083 -46.392 -59.081 -20.161 850101 2.413 -28.242 -81.528 -27.361 850401 2.404 -25.89 -82.548 -27.349 850701 2.428 -36.704 -78.184 -18.499 851001 2.466 -39.66 -86.555 -13.776 860101 2.463 -39.59 -87.353 -12.589 860401 2.449 -41.735 -85.279 -13.21 860701 2.635 -31.328 -118.073 -14.592 861001 2.54 -45.456 -123.159 -2.178 870101 2.508 -55.961 -113.619 7.389 870401 2.507 -56.194 -112.409 9.827 870701 2.326 -71.566 -114.146 5.471 871001 2.081 -66.948 -141.043 7.652 880101 2.018 -68.755 -143.017 8.904 880401 1.803 -60.954 -145.691 11.81 880701 1.468 -62.24 -120.096 17.431 881001 1.393 -68.551 -121.683 16.716 890101 1.253 -92.081 -117.381 16.588 890401 0.986 -117.293 -102.763 22.705 890701 0.795 -132.824 -102.066 27.538 891001 0.771 -136.491 -101.26 27.875 900101 0.671 -129.016 -95.943 28.182 900401 0.662 -129.362 -95.654 28.263 900701 0.768 -131.647 -84.295 29.505 901001 0.814 -133.022 -81.621 30.04 910101 0.773 -129.976 -82.184 29.514 910401 0.876 -140.113 -85.904 29.62 910701 0.846 -132.286 -85.079 28.899 911001 0.868 -134.059 -83.411 30.181 920101 1.007 -126.621 -92.688 37.741 920401 1.06 -142.618 -108.015 44.936 920701 1.072 -138.758 -112.108 35.877 921001 1.175 -134.283 -108.757 39.975 930101 1.202 -134.691 -114.788 41.075 930401 1.174 -142.897 -117.914 36.053 930701 1.189 -142.2 -119.403 36.073 931001 1.242 -137.288 -122.74 37.541 ********************************************************************* ********************************************************************* ** This is the data for Figure 9 of Michael Dueker's January/ ** ** February 1995 Review article entitled, "Narrow Vs. Broad ** ** Measures of Money as Intermediate Targets: Some Forecast ** ** Results." The description of the data is as follows: ** ** M2 growth= two-year centered moving average of M2 growth, ** ** calculated as (100)*(1/8)*(ln(M2(t+4)/M2(t-4)), ** ** where M2 is actual M2 in quarter t. ** ** Inflation= two-year centered moving average of inflation, ** ** calculated as (100)*(1/8)*(ln(Prices(t+4)/ ** ** Prices(t-4)), where Prices is measured by the ** ** the implicit price deflator of GDP in quarter t.** ** Predicted ** ** M2 growth= two-year centered moving average of predicted ** ** M2 growth, calculated as: ** ** (1/9)*sum(((Actual M2/(1+Federal funds rate)) ** ** -(Error M2/(1+Federal funds rate))) ** ** +ln(Federal funds rate)) over the range t+4 to ** ** t-4. Actual M2 and Error M2 were obtained from ** ** the output yielded by estimating the relation- ** ** ship between M2 growth and the Federal funds ** ** rate. (See the program file for Dueker's ** ** January/February 1995 Review article). ** ********************************************************************* M2 Predicted Date Growth Inflation M2 Growth 620101 1.8924 0.4897 1.612 620401 1.9308 0.4277 1.684 620701 1.9731 0.4052 1.715 621001 1.9953 0.4465 1.695 630101 1.9489 0.3501 1.729 630401 1.896 0.3846 1.755 630701 1.9814 0.3908 1.789 631001 1.9892 0.39 1.789 640101 1.9579 0.5047 1.861 640401 1.8969 0.5389 1.831 640701 1.8844 0.5665 1.816 641001 1.9191 0.5787 1.814 650101 1.9466 0.6791 1.821 650401 1.8849 0.7363 1.771 650701 1.6809 0.7756 1.759 651001 1.5494 0.8467 1.59 660101 1.5032 0.7791 1.511 660401 1.5964 0.7669 1.612 660701 1.6961 0.8057 1.704 661001 1.6729 0.8577 1.649 670101 1.6463 0.9273 1.595 670401 1.7119 0.9431 1.614 670701 1.8834 0.9922 1.622 671001 2.0333 1.0125 1.736 680101 2.0433 1.0764 1.86 680401 1.8631 1.2053 1.804 680701 1.61 1.2727 1.597 681001 1.4773 1.266 1.279 690101 1.3342 1.2469 1.207 690401 1.2059 1.3162 1.196 690701 1.2228 1.2523 1.147 691001 1.2776 1.2274 1.294 700101 1.4655 1.3285 1.437 700401 1.8306 1.3546 1.851 700701 2.1097 1.3255 1.983 701001 2.3262 1.2735 2.034 710101 2.6302 1.2766 2.481 710401 2.8661 1.1854 2.746 710701 3.0153 1.2214 2.811 711001 3.088 1.2813 2.906 720101 2.9949 1.2122 2.867 720401 2.7187 1.2477 2.581 720701 2.5467 1.3289 2.111 721001 2.3768 1.5294 1.86 730101 2.2423 1.5557 2.032 730401 2.0774 1.6932 1.793 730701 1.8039 1.9486 1.527 731001 1.5812 2.0524 1.43 740101 1.5064 2.2468 1.506 740401 1.7491 2.187 1.652 740701 2.004 2.2135 1.798 741001 2.1388 2.1305 1.909 750101 2.2938 2.0925 2.32 750401 2.5219 1.9931 2.435 750701 2.7221 1.8153 2.549 751001 2.9924 1.7281 2.781 760101 3.1812 1.5405 3.143 760401 3.0704 1.6247 3.145 760701 2.9237 1.5817 3.023 761001 2.8919 1.5918 2.94 770101 2.7342 1.6065 2.894 770401 2.5743 1.7706 2.665 770701 2.4806 1.8194 2.405 771001 2.2874 1.8764 2.26 780101 2.077 1.9518 2.04 780401 2.031 1.9642 1.689 780701 2.0351 2.0215 1.638 781001 1.9333 2.0499 1.604 790101 1.9236 2.1615 1.282 790401 1.8457 2.1327 1.074 790701 2.0257 2.1741 1.491 791001 2.041 2.2302 1.601 800101 2.0587 2.3374 1.257 800401 2.093 2.2886 1.317 800701 2.0445 2.3047 1.358 801001 2.1844 2.3238 1.23 810101 2.2562 2.1776 1.511 810401 2.3495 2.046 1.816 810701 2.1942 1.8888 2.141 811001 2.2115 1.6655 2.037 820101 2.6233 1.4665 2.277 820401 2.6416 1.3361 2.849 820701 2.597 1.1671 2.979 821001 2.5362 1.031 2.914 830101 2.4908 1.0649 3.046 830401 2.5121 1.0311 2.74 830701 2.4364 1.0469 2.653 831001 2.4168 1.0252 2.595 840101 2.1475 1.0176 2.554 840401 1.9986 1.0135 2.343 840701 2.0685 0.9787 2.309 841001 2.0217 0.9696 2.334 850101 1.9442 0.8556 2.492 850401 2.0084 0.7819 2.507 850701 2.1446 0.7393 2.634 851001 2.1556 0.7503 2.801 860101 1.9774 0.7178 2.793 860401 1.8748 0.7231 2.538 860701 1.6969 0.731 2.206 861001 1.6365 0.7239 1.949 870101 1.664 0.7659 1.806 870401 1.5765 0.8501 1.813 870701 1.3488 0.9012 1.632 871001 1.1706 0.9324 1.371 880101 1.0535 0.9798 1.203 880401 1.0251 1.0267 1.019 880701 1.1506 1.0487 0.987 881001 1.2339 1.0426 1.235 890101 1.2193 1.1033 1.336 890401 1.0978 1.0945 1.282 890701 1.1219 1.0668 1.149 891001 1.083 1.0742 1.207 900101 1.1312 1.0654 1.316 900401 1.2049 1.029 1.458 900701 1.0095 1.0007 1.582 901001 0.8448 0.9708 1.569 910101 0.7838 0.9225 1.547 910401 0.6778 0.8773 1.523 910701 0.5812 0.7905 1.512 911001 0.5852 0.7596 1.577 920101 0.4246 0.7191 1.468 920401 0.3533 0.6917 1.363 920701 0.4009 0.6484 1.18 921001 0.4035 0.6066 1.094 ********************************************************************* ********************************************************************* ** This is the data for Figure 10 of Michael Dueker's January/ ** ** February 1995 Review article entitled, "Narrow Vs. Broad ** ** Measures of Money as Intermediate Targets: Some Forecast ** ** Results." The description of the data is as follows: ** ** M2 growth= actual M2 growth (at an annual rate), calculated** ** as (100)*(ln(M2(t)-ln(M2(t-4)) ** ** where M2 is actual M2. (See the raw data file ** ** for Dueker's January/February 1995 Review ** ** article for actual M2). ** ** Predicted ** ** M2 growth= Predicted M2 growth (at an annual rate), ** ** calculated as: ** ** ** ** Sum(((Actual M2/(1+Federal funds rate)) ** ** -(Error M2/(1+Federal funds rate))) ** ** +ln(Federal funds rate)) over the range t to ** ** t-3. Actual M2 and Error M2 were obtained from ** ** the output yielded by estimating the relation- ** ** ship between M2 growth and the Federal funds ** ** rate. (See the program file for Dueker's ** ** January/February 1995 Review article). ** ** High ** ** M2 target= High M2 growth target range (Source: various ** ** Federal Reserve Bulletins) ** ** Low ** ** M2 target= Low M2 growth target range (Source: various ** ** Federal Reserve Bulletins) ** ********************************************************************* Predicted Low M2 High M2 Actual M2 Date M2 Growth Target Target Growth 1987 4.356202 5.5 8.5 4.22 1988 5.476227 4 8 5.15 1989 4.891669 3 7 4.73 1990 5.216092 3 7 3.94 1991 6.705695 2.5 6.5 2.82 1992 5.972486 2.5 6.5 1.86 1993 2.625505 1 5 1.37