Appendix for “How the Housing and Financial Wealth Effects
have changed over Time” 1
June 2011
Abstract
This appendix includes results referred to in Brady and Stimel (2011) but not included in
the text for brevity. Included are results from unit root tests on the variables in Brady and
Stimel (2011); a figure showing the residuals on which cointegration tests were
performed; impulse response functions (IRFs) generated from VAR estimation with
typical standard error bands (corresponding to Figures 2 through 5 in Brady and Stimel
(2011)); both linear projection IRFs and VAR IRFs of the variables in response to a
shock to consumption; and results of break tests and IRFs for alternative versions of our
model, for example, with labor income in place of disposable income.
Ryan R. Brady
Department of Economics
United States Naval Academy
589 McNair Road, Stop 10D
Annapolis, MD 21402-5030
410-293-6883
rbrady@usna.edu
Derek Stimel
Menlo College
461Brawner Hall
1000 El Camino Real
Atherton, CA 94027-4301
650-543-3752
dstimel@menlo.edu
1
Brady, Ryan, and Derek Stimel (2011) “How the Housing and Financial Wealth Effects have changed
over time,” United States Naval Academy Working Paper, #2011-31.
Table of Contents
Table A1: Unit Root Test Statistics 1952:1 to 2009:4 . . . . . . . . . . . . . . . . . . . . . . . . .
3
Table A2: Structural Breaks on Alternative Specifications: 1952:1 to 2009:4 . . . . . . . 4
Figure A1: The Residual Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
Figure A2: Impulse Responses from a one percent shock to Consumption . . . . . . . . .
6
Figure A3: VAR-generated Impulse Responses for Comparison to Linear Projections 7
Figure A4: Impulse Response Functions with Labor Income . . . . . . . . . . . . . . . . . . . . 12
Figure A5: Impulse Response Functions with Real Estate Assets . . . . . . . . . . . . . . . .
17
Figure A6: Impulse Response Functions with Real Estate Assets and Labor Income
22
Figure A7: Impulse Response Functions with Stock Market Assets . . . . . . . . . . . . . .
27
Figure A8: Impulse Response Functions with Stock Market Assets and Labor
Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
32
Figure A9: Impulse Response Functions with Real Estate Assets and Stock Market
Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
37
Figure A10: Impulse Response Functions with Real Estate Assets, Stock Market
Assets and Labor Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
42
Figure A11: Impulse Response Functions with Federal Funds Rate . . . . . . . . . . . . . .
47
2
Table A1: Unit Root Test Statistics, 1952:1 to 2009:4
Test: Ho: Variable is I(1)
Variable
Consumption
Liabilities
Tangible Assets
Financial Assets
Disposable Income
Augmented Dickey-Fuller Test
Phillips-Perron Test
No
No
Intercept or Intercept Intercept Intercept or Intercept Intercept
Trend
Only
and Trend
Trend
Only
and Trend
3.43
-1.28
-2.64
9.82
-1.50
-2.44
[0.99]
[0.64]
[0.26]
[1.00]
[0.53]
[0.36]
1.69
-1.52
-3.58
5.69
-1.93
-3.03
[0.98]
[0.52]
[0.03]
[1.00]
[0.32]
[0.13]
1.69
-1.24
-5.18
2.66
-1.41
-2.51
[0.98]
[0.66]
[0.00]
[1.00]
[0.58]
[0.32]
2.55
-0.71
-2.12
2.82
-0.74
-2.10
[0.99]
[0.84]
[0.53]
[1.00]
[0.83]
[0.54]
7.13
-1.88
-2.24
7.77
-2.09
-2.14
[1.00]
[0.34]
[0.47]
[1.00]
[0.25]
[0.52]
Test: Ho: Variable is I(2)
-1.89
-4.03
-4.15
-13.20
-14.98
-15.02
[0.06]
[0.00]
[0.01]
[0.00]
[0.00]
[0.00]
-1.99
-2.67
-2.80
-6.39
-9.00
-9.25
Liabilities
[0.05]
[0.08]
[0.20]
[0.00]
[0.00]
[0.00]
-3.74
-4.14
-4.19
-8.67
-9.31
-9.40
Tangible Assets
[0.00]
[0.00]
[0.01]
[0.00]
[0.00]
[0.00]
-11.77
-12.19
-12.16
-11.77
-12.30
-12.28
Financial Assets
[0.00]
[0.00]
[0.00]
[0.00]
[0.00]
[0.00]
-4.39
-16.84
-17.00
-15.40
-16.86
-17.01
Disposable Income
[0.00]
[0.00]
[0.00]
[0.00]
[0.00]
[0.00]
Notes: The null hypotheses of both unit root tests are that the series contains a unit root. Tstatistics and adjusted t-statistics with associated p-values (in brackets). Augmented Dickey-Fuller
test with Schwarz criterion selection of up to 8 Lags. Phillips-Perron test with automatic bandwith
selection using Newey-West bandwidth.
Consumption
3
Table A2: Structural Breaks on Alternative Specifications: 1952:1 to 2009:4
Break Dates
(95% Confidence Interval)
With Labor Income
1966:1
(1965:4, 1966:2)
1984:4
(1983:3, 1985:1)
1997:1
(1996:4, 1997:2)
With Real Estate Assets
1973:3
(1973:2, 1973:4)
1985:1
(1984:4, 1985:2)
1998:2
(1998:1, 1998:3)
With Real Estate Assets and
Labor Income
1972:3
(1972:2, 1972:4)
1984:1
(1983:4, 1984:2)
1997:1
(1996:4, 1997:2)
With Stock Market Assets
1973:3
(1973:2, 1973:4)
1985:1
(1984:4, 1985:2)
1998:2
(1998:1, 1998:3)
With Stock Market Assets and
Labor Income
1973:3
(1973:2, 1973:4)
1985:1
(1984:4, 1985:2)
1998:2
(1998:1, 1998:3)
With Real Estate Assets and
Stock Market Assets
1973:3
(1973:2, 1973:4)
1985:1
(1984:4, 1985:2)
1998:2
(1998:1, 1998:3)
With Real Estate Assets, Stock
Market Assets and Labor Income
1972:3
(1972:2, 1972:4)
1984:1
(1983:4, 1984:2)
1997:1
(1996:4, 1997:2)
With Federal Funds Rate
1971:1
(1969:4, 1971:2)
1984:4
(1984:3, 1985:1)
1998:4
(1998:3, 1999:1)
Notes: Break dates (in bold) and associated 95 percent confidence intervals (in parantheses) are estimated
using the Qu and Perron (2002) method. Each row designates a different specification with alternative
variables substituted in to our main specification; for example "With Real Estate Assets and Labor Income"
means the five-variable system includes consumption, labor income, liabilities, finanical wealth, and real
estate wealth. The last row displays results for a six-variable system, with our main variables plus the Federal
Funds rate. See main text for variable definitions and sources.
4
Figure A.1 The Residual Series
8
Consumption on Constant, Disposable Income, Net Worth
6
Consumption on Constant, Disposable Income, Total Assets
Consumption on Constant, Disposable Income, Financial Assets, Tangible Assets
Consumption on Constant, Disposable Income, Financial Assets, Tangible Assets, Liabilities
4
2
0
-2
-4
-6
Notes: Residuals generated from single-equation ordinary least squares regressions; the variables in each regression are listed in
the legend above. The sample for each regression spans 1952 through 2009. See text for variable definitions.
5
Figure A2: Impulse Responses from a one percent shock to Consumption
Percent (%)
consumption
2.0
1.0
0.0
-1.0
liabilities
6
3
0
5 10 15 20
-3
Percent (%)
consumption
2.5
1.5
0.5
-0.5
Percent (%)
1.5
0.5
-0.5
-1.5
5 10 15 20
liabilities
5 10 15 20
4
2
0
-2
consumption
2
0
5 10 15 20
-2
0.8
0
0.0
-0.4
-2
5 10 15 20
-1.2
1.6
0.8
0.0
-0.8
5 10 15 20
5 10 15 20
-4
5 10 15 20
5 10 15 20
financial assets
5
3
1
-1
-3
6
2
-2
-6
0
5 10 15 20
-2
3
1
5 10 15 20
-1
financial assets
0
-8
5 10 15 20
income
financial assets
3
0.5
1
-1
-0.5
-3
-5
-1.5
5 10 15 20
8
5 10 15 20
income
4
2
financial assets
5
3
1
-1
-3
1998:3 to 2004
tangible assets
liabilities
3
1
-1
-3
5 10 15 20
1985:2 to 1998:2
tangible assets
1.2
0.4
-0.8
5 10 15 20
1973:4 to 1985:1
tangible assets
4
liabilities
consumption
Percent (%)
1952 to 1973:3
tangible assets
1.2
0.4
-0.4
-1.2
5 10 15 20
5 10 15 20
income
5 10 15 20
income
5 10 15 20
Notes: The impulse response functions (IRFs) are estimated using Jordà's (2005) linear projection
technique. The solid line represents the impulse response function; the dashed lines are Jordà’s (2009)
95 percent conditional confidence bands. The horizon for each IRF is measured in quarters. See text
for variable definitions.
6
Figure A3: VAR-generated Impulse Responses: A one percent shock to Consumption
1952:1 to 1973:3
Percent (%)
Consumption
2.0
1.5
1.0
0.5
0.0
-0.5
Liabilities
Tangible Assets
2
1
0
-1
5
10
15
20
-2
5
10
15
20
2.0
1.5
1.0
0.5
0.0
-0.5
-1.0
Financial Assets
Income
2
2.0
1
1.0
0
0.0
-1
5
10
15
20
-2
5
10
15
20
-1.0
5
10
15
20
15
20
15
20
15
20
1973:4 to 1985:1
Percent (%)
Consumption
4
3
2
1
0
-1
-2
Liabilities
Tangible Assets
8
4
0
5
10
15
20
-4
5
10
15
20
8
6
4
2
0
-2
5
10
15
Financial Assets
20
3
2
1
0
-1
-2
Income
3
1
-1
5
10
15
20
-3
5
10
1985:2 to 1998:2
Percent (%)
Consumption
3
2
1
0
-1
-2
5
10
15
Liabilities
20
Tangible Assets
2
2
0
-2
-2
-6
-4
5
10
15
20
-10
5
10
15
Financial Assets
20
8
4
0
-4
-8
-12
Income
2
0
-2
5
10
15
20
-4
5
10
1998:3 to 2009:4
Percent (%)
Consumption
1.2
0.8
0.4
0.0
-0.4
-0.8
5
10
15
Liabilities
20
3
2
1
0
-1
-2
-3
5
10
15
Tangible Assets
20
6
4
2
0
-2
-4
-6
5
10
15
Financial Assets
20
4
2
0
-2
-4
-6
Income
1.0
0.5
0.0
-0.5
5
10
15
20
-1.0
5
10
Notes: Impulse responses generated from a five-variable VAR with short run restrictions imposed (variable
order is as shown across the columns). The solid line represents the IRF, the dashed lines represent the
asymptotic plus and minus two-standard error bands. The horizon is measured in quarters. See text for
variable definitions and sample divisions. Each sub-sample estimated with two lags.
7
Figure A3 continued: A one percent shock to Liabilities
1952:1 to 1973:3
Percent (%)
Consumption
1.2
0.8
0.4
0.0
-0.4
-0.8
5
10
15
Liabilities
20
3.0
2.5
2.0
1.5
1.0
0.5
5
10
15
Tangible Assets
20
0.8
0.4
0.0
-0.4
-0.8
-1.2
5
10
15
Financial Assets
20
2.0
1.5
1.0
0.5
0.0
-0.5
5
10
15
Income
20
1.2
0.8
0.4
0.0
-0.4
-0.8
5
10
15
20
15
20
15
20
15
20
1973:4 to 1985:1
Percent (%)
Consumption
2
1
0
-1
-2
-3
-4
Liabilities
Tangible Assets
2
-2
-6
5
10
15
20
-10
5
10
15
20
4
2
0
-2
-4
-6
-8
5
10
15
Financial Assets
20
2
1
0
-1
-2
-3
Income
2
0
-2
5
10
15
20
-4
5
10
1985:2 to 1998:2
Percent (%)
Consumption
1.2
0.8
0.4
0.0
-0.4
-0.8
5
10
15
Liabilities
20
2.0
1.5
1.0
0.5
0.0
-0.5
-1.0
5
10
15
Tangible Assets
20
4
3
2
1
0
-1
-2
Financial Assets
Income
4
2
0
5
10
15
20
-2
5
10
15
20
1.6
1.2
0.8
0.4
0.0
-0.4
-0.8
5
10
1998:3 to 2009:4
Percent (%)
Consumption
.6
.4
.2
.0
-.2
-.4
-.6
5
10
15
Liabilities
20
2
1
0
-1
-2
-3
5
10
15
Tangible Assets
20
1
0
-1
-2
-3
-4
5
10
15
Financial Assets
20
3
2
1
0
-1
-2
-3
Income
.6
.2
-.2
5
10
15
20
-.6
5
10
Notes: See notes to Figure A3.
8
Figure A3 continued: A one percent shock to Tangible Assets
1952:1 to 1972:3
Percent (%)
Consumption
0.5
0.0
-0.5
-1.0
-1.5
-2.0
Liabilities
Tangible Assets
1
0
-1
-2
5
10
15
-3
20
Financial Assets
1.0
0.5
0.0
-0.5
-1.0
5
10
15
20
5
10
15
20
1.0
0.5
0.0
-0.5
-1.0
-1.5
-2.0
5
10
15
Income
20
0.5
0.0
-0.5
-1.0
-1.5
-2.0
5
10
15
20
15
20
15
20
15
20
1973:4 to 1985:1
Percent (%)
Consumption
1.6
1.2
0.8
0.4
0.0
-0.4
5
10
15
Liabilities
20
4
3
2
1
0
-1
-2
Tangible Assets
3
2
1
0
5
10
15
20
-1
5
10
15
Financial Assets
1.2
0.8
0.4
0.0
-0.4
-0.8
20
5
10
15
Income
1.5
1.0
0.5
0.0
-0.5
-1.0
20
5
10
1985:2 to 1998:2
Consumption
Liabilities
Percent (%)
0.5
0.0
-0.5
-1.0
-1.5
5
10
15
20
2
1
0
-1
-2
-3
5
10
15
Tangible Assets
20
3
2
1
0
-1
-2
-3
5
10
15
Financial Assets
20
4
2
0
-2
-4
-6
5
10
15
Income
1.0
0.5
0.0
-0.5
-1.0
-1.5
-2.0
20
5
10
1998:3 to 2009:4
Percent (%)
Consumption
.8
.6
.4
.2
.0
-.2
Tangible Assets
Liabilities
Financial Assets
2.8
4
2.0
10
15
2
2
1.2
5
Income
3
1
0.4
0
0
-0.4
20
-2
-1
5
10
15
20
5
10
15
20
5
10
15
20
.6
.4
.2
.0
-.2
-.4
5
10
Notes: See notes to Figure A3.
9
Figure A3 continued: A one percent shock to Financial Assets
1952:1 to 1973:3
Percent (%)
Consumption
.4
.3
.2
.1
.0
-.1
-.2
5
10
15
Liabilities
20
.6
.4
.2
.0
-.2
-.4
5
10
15
Tangible Assets
20
.4
.3
.2
.1
.0
-.1
Financial Assets
Income
1.2
.4
0.8
.2
0.4
5
10
15
20
0.0
.0
-0.4
-.2
5
10
15
20
5
10
15
20
15
20
15
20
15
20
1973:4 to 1985:1
Percent (%)
Consumption
.4
.2
.0
-.2
-.4
-.6
5
10
15
Liabilities
20
0.8
0.4
0.0
-0.4
-0.8
-1.2
5
10
15
Tangible Assets
20
Financial Assets
0.4
1.5
0.0
1.0
-0.4
0.5
-0.8
0.0
-1.2
-0.5
5
10
15
20
5
10
15
Income
20
.4
.2
.0
-.2
-.4
-.6
5
10
1985:2 to 1998:2
Percent (%)
Consumption
.8
.6
.4
.2
.0
-.2
-.4
5
10
15
Liabilities
20
1.2
0.8
0.4
0.0
-0.4
-0.8
Tangible Assets
Financial Assets
2.0
1.0
0.0
5
10
15
20
-1.0
5
10
15
20
3
2
1
0
-1
-2
5
10
15
Income
20
1.2
0.8
0.4
0.0
-0.4
-0.8
5
10
1998:3 to 2009:4
Percent (%)
Consumption
Liabilities
.04
-.04
-.12
-.20
5
10
15
20
.4
.2
.0
-.2
-.4
-.6
-.8
5
10
15
Tangible Assets
20
0.8
0.4
0.0
-0.4
-0.8
-1.2
5
10
15
Financial Assets
20
1.5
1.0
0.5
0.0
-0.5
-1.0
Income
.08
.00
-.08
5
10
15
20
-.16
5
10
Notes: See notes to Figure A3.
10
Figure A3 continued: A one percent shock to Income
1952:1 to 1973:3
Consumption
Liabilities
Tangible Assets
Percent (%)
1.0
0.5
0.5
-0.5
0.0
-1.5
-0.5
-1.0
5
10
15
20
-2.5
5
10
15
20
1.5
1.0
0.5
0.0
-0.5
-1.0
5
10
15
Financial Assets
20
1.5
1.0
0.5
0.0
-0.5
-1.0
-1.5
5
10
15
Income
20
2.0
1.5
1.0
0.5
0.0
-0.5
-1.0
5
10
15
20
15
20
15
20
15
20
1973:4 to 1985:1
Percent (%)
Consumption
0.8
0.4
0.0
-0.4
-0.8
-1.2
5
10
15
Liabilities
20
2
1
0
-1
-2
-3
Tangible Assets
Financial Assets
2
1
0
-1
5
10
15
20
-2
5
10
15
20
0.8
0.4
0.0
-0.4
-0.8
-1.2
5
10
15
Income
20
1.5
1.0
0.5
0.0
-0.5
-1.0
5
10
1985:2 to 1998:2
Percent (%)
Consumption
Liabilities
1.6
0.8
0.0
-0.8
5
10
15
20
4
3
2
1
0
-1
-2
Tangible Assets
Financial Assets
6
4
2
0
5
10
15
20
-2
5
10
15
20
8
6
4
2
0
-2
-4
Income
3
2
1
0
5
10
15
20
-1
5
10
1998:3 to 2009:4
Percent (%)
Consumption
Liabilities
0.8
0.4
0.0
-0.4
5
10
15
20
4
3
2
1
0
-1
Tangible Assets
Financial Assets
4
2
0
5
10
15
20
-2
5
10
15
20
4
2
0
-2
-4
-6
Income
1.2
0.8
0.4
0.0
5
10
15
20
-0.4
5
10
Notes: See notes to Figure A3.
11
Figure A4: Impulse Responses with Labor Income: A one percent shock to Consumption
Percent (%)
consumption
liabilities
2.0
5
1.2
0.4
-0.4
3
1
-1
10
20
Percent (%)
consumption
8
1.6
0.4
-0.8
4
0
-4
20
Percent (%)
consumption
1.2
0.8
0.4
0.0
-0.4
10
10
Percent (%)
10
20
1.50
1.00
0.50
0.00
-0.50
20
10
20
20
4
0
-4
10
20
1985:1 to 1997:1
tangible assets
20
0.5
-0.5
-1.5
-2.5
10
20
8
0
10
financial assets
20
-8
10
20
labor income
3
3
1
1
-1
10
20
-1
financial assets
8
4
0
-4
-8
10
20
10
20
labor income
5
3
1
-1
-3
10
20
financial assets
labor income
5
1.2
3
0.4
1
-0.4
-1
-3
-1.2
10
20
10
20
1997:2 to 2009:4
tangible assets
liabilities
3
1
-1
-3
10
1966:2 to 1984:4
tangible assets
8
liabilities
consumption
1.5
0.5
-0.5
-1.5
10
0.5
-0.5
-1.5
20
liabilities
2.8
10
1952:1 to 1966:1
tangible assets
1.5
financial assets
12
4
-4
-12
labor income
2
0
10
20
-2
10
20
Notes: The impulse response functions (IRFs) are estimated using Jordà's (2005) linear projection
technique. The solid line represents the impulse response function; the dashed lines are Jordà’s (2009) 95
percent conditional confidence bands. The horizon for each IRF is measured in quarters. Labor Income is
used in place of disposable income in the five-variable system. Labor income is defined as compensation
of employees, available from the Bureau of Labor Statistics. See text for additional variable definitions.
12
Figure A4 continued: Impulse Responses with Labor Income:
A one percent shock to Liabilities
Percent (%)
consumption
0.8
2
0.0
0
-0.8
10
20
-2
Percent (%)
consumption
1.6
0.8
0.0
-0.8
-1.6
liabilities
2
-1
20
-4
Percent (%)
consumption
1.0
0.6
0.2
-0.2
-0.6
10
10
0.8
0.0
-0.8
20
20
10
20
10
10
20
1997:2 to 2009:4
tangible assets
6
20
2
-2
-6
10
20
1.5
0.5
-0.5
-1.5
20
financial assets
2
-2
1
-1
-6
10
20
-3
financial assets
-2
10
20
20
10
20
labor income
.8
.4
.0
-.4
-.8
financial assets
10
20
labor income
6
1.5
2
-2
-6
0.5
-0.5
-1.5
20
10
10
labor income
3
0
-1.2
labor income
6
-0.4
0
-2
10
2
liabilities
20
1
-1
-3
1.2
0.4
2
10
20
financial assets
3
1985:1 to 1997:1
tangible assets
1.0
0.4
-0.2
-0.8
10
1966:2 to 1984:4
tangible assets
5
3
1
-1
-3
20
10
20
liabilities
1.2
0.8
0.4
0.0
-0.4
consumption
Percent (%)
10
5
10
1952:1 to 1966:1
tangible assets
1.6
liabilities
10
20
Notes: See notes to Figure A4.
13
Figure A4 continued: Impulse Responses with Labor Income:
A one percent shock to Tangible Assets
Percent (%)
consumption
0.50
0.00
-0.50
-1.00
-1.50
10
liabilities
20
1.5
0.5
-0.5
-1.5
-2.5
Percent (%)
consumption
.8
.4
.0
-.4
-.8
10
20
Percent (%)
Percent (%)
-3
-1
0
-3
10
20
-3
10
10
20
1985:1 to 1997:1
tangible assets
20
1.2
0.4
-0.4
-1.2
20
-2
10
financial assets
-1
20
-3
10
20
10
20
labor income
1.0
0.0
-1.0
-2.0
20
1
10
0.5
-0.5
-1.5
-2.5
10
20
labor income
.4
.0
-.4
-.8
10
20
1997:2 to 2009:4
tangible assets
liabilities
3
1
-1
-3
10
10
labor income
financial assets
-1
-1.2
20
20
2
liabilities
20
10
1
1
-0.4
10
-1.2
1966:2 to 1984:4
tangible assets
1.2
0.4
10
-1
financial assets
1
consumption
.8
.4
.0
-.4
-.8
20
liabilities
consumption
.4
.0
-.4
-.8
10
1952:1 to 1966:1
tangible assets
1.2
0.4
-0.4
20
6
2
-2
-6
10
financial assets
labor income
6
1.6
0.8
2
0.0
-2
-0.8
-6
-1.6
20
10
20
10
20
Notes: See notes to Figure A4.
14
Figure A4 continued: Impulse Responses with Labor Income:
A one percent shock to Financial Assets
Percent (%)
consumption
.6
.4
.2
.0
-.2
10
liabilities
20
1.00
0.50
0.00
-0.50
Percent (%)
consumption
.3
.1
-.1
-.3
Percent (%)
1966:4 to 1984:4
tangible assets
liabilities
-0.4
10
20
-1.0
.20
.10
.00
10
10
20
20
.24
.16
.08
.00
-.08
20
-.3
-.16
-.5
20
20
10
20
-1.5
10
0.0
-0.6
20
0.2
-0.2
-0.6
-1.0
10
20
20
financial assets
1.2
0.6
-.2
10
labor income
.6
.2
-.2
.0
1997:2 2009:4
tangible assets
.1
-.1
-.08
10
.2
10
financial assets
1.5
0.5
-0.5
1985:1 to 1997:1
tangible assets
liabilities
.08
.00
10
.8
.4
.0
-.4
-.8
liabilities
consumption
Percent (%)
20
0.8
0.2
consumption
-.10
10
1952:1 to 1966:1
tangible assets
financial assets
labor income
.5
1.6
1.0
0.6
.2
0.8
0.2
-.1
0.0
-0.2
-.4
-0.8
-0.6
10
20
10
20
10
20
10
20
-.6
10
20
20
labor income
.15
.05
-.05
-.15
financial assets
1.2
0.4
-0.4
-1.2
10
10
20
labor income
.15
.05
-.05
-.15
-.25
10
20
Notes: See notes to Figure A4.
15
Figure A4 continued: Impulse Responses with Labor Income:
A one percent shock to Labor Income
Percent (%)
consumption
.4
.0
-.4
-.8
-0.5
10
-1.5
20
10
Percent (%)
consumption
10
20
-1
-3
10
10
Percent (%)
10
10
20
-1
-3
20
10
20
10
20
20
20
-1.2
-1
-3
10
-1.0
-2.5
20
financial assets
10
20
-0.4
0
0.0
-1.2
10
20
-2
-6
10
20
-2
10
20
-0.6
financial assets
4
0
-4
-8
10
20
10
20
labor income
2
1997:2 to 2009:4
tangible assets
20
10
1.2
0.6
6
2
10
-0.4
1.2
0.4
liabilities
2.0
1.0
0.0
-1.0
-2.0
labor income
1.2
0.4
0.8
0.0
-0.8
-1.6
1985:1 to 1997:1
tangible assets
liabilities
1.2
0.8
0.4
0.0
-0.4
20
financial assets
1966:2 to 1984:4
tangible assets
financial assets
labor income
3
3
2.0
1
1
0.5
liabilities
consumption
Percent (%)
20
3
1
consumption
.8
.4
.0
-.4
-.8
.6
.2
-.2
-.6
0.5
1.00
0.50
0.00
-0.50
-1.00
0.8
0.4
0.0
-0.4
1952:1 to 1966:1
tangible assets
liabilities
10
20
labor income
1.0
0.0
-1.0
-2.0
10
20
Notes: See notes to Figure A4.
16
Figure A5: Impulse Responses with Real Estate Assets:
A one percent shock to Consumption
Percent (%)
consumption
2.5
1.5
0.5
-0.5
-1.5
liabilities
6
3
10
20
0
-3
Percent (%)
consumption
2.0
1.0
10
20
4
2
0
-2
Percent (%)
consumption
10
20
4
2
0
-2
1.0
1
0.0
0.0
-1
10
20
-1.0
1.6
0.8
0.0
-0.8
10
20
3
1
-1
-3
10
20
10
20
1985:2 to 1998:2
real estate assets
0.8
-0.8
10
financial assets
5
3
1
-1
-3
1973:4 to 1985:1
real estate assets
liabilities
consumption
Percent (%)
10
1.5
0.5
-0.5
-1.5
20
liabilities
3.0
0.0
1952:1 to 1973:3
real estate assets
20
-3
10
20
10
20
financial assets
6
4
2
0
-2
disposable income
3
1
-1
-3
10
20
disposable income
3
1
10
20
financial assets
2
0
-2
-4
-1
10
20
disposable income
0.5
-0.5
10
20
-1.5
10
20
1998:3 to 2009:4
liabilities
real estate assets
financial assets disposable income
10
1.2
8
6
0.4
2
0
-0.4
-2
-6
-8
-1.2
10
20
10
20
10
20
10
20
Notes: The impulse response functions (IRFs) are estimated using Jordà's (2005) linear projection
technique. The solid line represents the impulse response function; the dashed lines are Jordà’s (2009) 95
percent conditional confidence bands. The horizon for each IRF is measured in quarters. The variable
“Real Estate Assets” is used in place of tangible assets in the five-variable system. Real Estate Assets is
defined from tangible assets excluding durables and software and equipment of non-profit organizations
(Table B.100 in the Flow of Funds). See text for additional variable definitions.
17
Figure A5 continued: Impulse Responses with Real Estate Assets:
A one percent shock to Liabilities
Percent (%)
consumption
2.4
1.6
0.8
0.0
-0.8
10
20
4
2
0
-2
Percent (%)
consumption
3
1
-0.8
-1.6
-1
-3
20
Percent (%)
consumption
1.2
0.4
0.0
10
20
-0.4
-1.2
Percent (%)
consumption
0.6
0.2
-0.2
-0.6
-1.0
10
liabilities
0.8
-0.8
10
liabilities
1
-1
10
1973:4 to 1985:1
real estate assets
liabilities
0.8
0.0
10
1952:1 to 1973:3
liabilities
real estate assets
financial assets
2.0
4
1.0
2
0.0
0
-1.0
-2
10
20
10
20
10
20
20
-3
10
20
3
1
-1
-3
10
20
1985:2 to 1998:2
real estate assets
2.0
1.0
0.0
-1.0
-2.0
20
10
20
1998:3 to 2009:4
real estate assets
4
0
-4
-8
20
10
20
financial assets
0.5
-0.5
-1.5
-2.5
10
20
financial assets
4
2
0
-2
10
20
disposable income
2
0
-2
10
20
disposable income
0.5
-0.5
-1.5
-2.5
10
20
disposable income
1.2
0.4
-0.4
-1.2
10
20
financial assets
6
2
-2
-6
10
disposable income
1.2
0.4
-0.4
-1.2
20
10
20
Notes: See notes to Figure A5.
18
Figure A5 continued: Impulse Responses with Real Estate Assets:
A one percent shock to Real Estate Assets
Percent (%)
consumption
liabilities
0.8
0.0
-0.8
-1.6
10
20
1.5
0.5
-0.5
-1.5
-2.5
Percent (%)
consumption
.4
.0
-.4
-.8
Percent (%)
Percent (%)
0.0
10
20
10
20
-1.5
10
20
0.0
20
-0.8
10
20
0
20
-2
10
-0.8
10
20
1.0
0.0
-1.0
-2.0
10
20
-2.0
20
6
2
-2
-6
10
-4
10
1
-2
20
.4
.0
-.4
-.8
10
20
20
-1.2
10
20
financial assets
4
10
20
disposable income
financial assets
disposable income
2
0.4
0
-0.4
-2
1998:3 to 2009:4
real estate assets
liabilities
2
10
10
1985:2 to 1998:2
real estate assets
liabilities
0.8
10
-0.8
financial assets
disposable income
1.2
0.4
0.0
-0.4
-1.2
-1.2
-2.4
-2.0
20
10
20
10
20
1973:4 to 1985:1
real estate assets
financial assets
1.6
1.0
0.8
0.0
0.0
-1.0
1.5
0.5
-0.5
consumption
.6
.2
-.2
-.6
0.8
liabilities
consumption
.6
.2
-.2
-.6
1952:1 to 1973:3
real estate assets
-5
10
disposable income
0.6
0.2
-0.2
-0.6
-1.0
20
10
20
Notes: See notes to Figure A5.
19
Figure A5 continued: Impulse Responses with Real Estate Assets:
A one percent shock to Financial Assets
Percent (%)
consumption
.6
.2
-.2
-.6
1.2
0.4
-0.4
10
20
-1.2
Percent (%)
consumption
10
20
-0.8
Percent (%)
10
20
liabilities
.2
.0
10
20
-.2
liabilities
.10
.00
.2
.0
-.10
-.20
-.2
-.4
10
20
10
10
-.4
10
20
-1.2
10
20
1973:4 to 1985:1
real estate assets
financial assets
1.2
1.0
0.4
0.0
-0.4
0.0
consumption
Percent (%)
20
0.8
consumption
.12
.04
-.04
-.12
10
liabilities
.6
.2
-.2
-.6
1952:1 to 1973:3
real estate assets
financial assets
.8
1.2
.4
0.4
.0
-0.4
liabilities
20
-1.2
10
20
-1.0
10
20
1985:2 to 1998:2
real estate assets
financial assets
.6
1.2
0.8
.3
0.4
.0
0.0
-.3
-0.4
10
20
10
20
1998:3 to 2009:4
real estate assets
0.6
0.2
-0.2
-0.6
-1.0
20
10
20
financial assets
1.2
0.4
-0.4
-1.2
10
20
disposable income
.8
.4
.0
-.4
-.8
10
20
disposable income
.4
.0
-.4
-.8
10
20
disposable income
.2
.0
-.2
10
20
disposable income
.10
.00
-.10
-.20
10
20
Notes: See notes to Figure A5.
20
Figure A5 continued: Impulse Responses with Real Estate Assets:
A one percent shock to Disposable Income
Percent (%)
consumption
liabilities
1.5
0.5
-0.5
-1.5
10
20
1.2
1
-1
0.4
-1
-3
Percent (%)
liabilities
20
-1.5
Percent (%)
consumption
.6
.4
.2
.0
-.2
10
20
Percent (%)
.6
.2
10
20
10
-0.4
20
0.8
0.4
0.0
-0.4
0.8
0.0
10
10
20
-3
10
1985:2 to 1998:2
financial assets
20
-0.8
10
financial assets
disposable income
2.5
1.2
1.5
0.8
0.5
0.4
-0.5
0.0
-1.5
-0.4
20
10
20
10
20
1998:3 to 2009:4
financial assets
liabilities
3.5
2.5
1.5
0.5
-0.5
10
disposable income
2.0
1.0
0.0
-1.0
-2.0
20
10
20
1973:4 to 1985:1
financial assets
financial assets
disposable income
1.2
1.6
1.2
0.8
0.4
0.4
0.0
-0.4
-0.4
-0.8
-1.2
-1.6
-1.2
20
10
20
10
20
10
20
liabilities
consumption
-.2
10
1.5
0.5
-0.5
10
financial assets
1
consumption
.8
.4
.0
-.4
-.8
1952:1 to 1973:3
financial assets
20
6
4
2
0
10
20
financial assets
5
2
-1
-4
10
disposable income
1.2
0.8
0.4
0.0
-0.4
20
10
20
Notes: See notes to Figure A5.
21
Figure A6: Impulse Responses with Real Estate Assets and Labor Income:
A one percent shock to Consumption
Percent (%)
consumption
liabilities
1
-1
-3
10
20
6
2
-2
-6
10
Percent (%)
consumption
4
1.5
0.5
2
0
10
20
-2
Percent (%)
consumption
1.2
0.8
0.4
0.0
-0.4
10
10
Percent (%)
10
20
20
20
3
1
-1
-3
1.2
0.4
0
-0.4
-2
-1.2
10
liabilities
3
1
-1
-3
10
10
20
1984:2 to 1997:1
real estate assets
liabilities
consumption
1.5
0.5
-0.5
-1.5
1972:4 to 1984:1
real estate assets
liabilities
2.5
-0.5
1952:1 to 1972:3
real estate assets financial assets
1.6
4
2
0.8
0
0.0
-2
-0.8
-4
20
10
20
10
20
20
-4
10
20
labor income
2
0
-2
-4
financial assets
5
3
1
-1
-3
10
20
labor income
2
0
10
20
-2
financial assets
3
1
-1
-3
10
20
labor income
0.5
-0.5
10
20
-1.5
10
20
1997:2 to 2009:4
real estate assets
financial assets
labor income
10
12
2
4
4
0
-2
-4
-8
-12
-2
20
10
20
10
20
10
20
Notes: The impulse response functions (IRFs) are estimated using Jordà's (2005) linear projection
technique. The solid line represents the impulse response function; the dashed lines are Jordà’s (2009) 95
percent conditional confidence bands. The horizon for each IRF is measured in quarters. The variable
“Real Estate Assets” is used in place of tangible assets in the five-variable system. Real Estate Assets is
defined from tangible assets excluding durables and software and equipment of non-profit organizations
(Table B.100 in the Flow of Funds). Labor Income is used in place of disposable income in the fivevariable system. Labor income is defined as compensation of employees, available from the Bureau of
Labor Statistics. See text for additional variable definitions.
22
Figure A6 continued: Impulse Responses with Real Estate Assets and Labor Income:
A one percent shock to Liabilities
Percent (%)
consumption
3.5
2.5
1.5
0.5
-0.5
8
10
20
4
0
-4
Percent (%)
consumption
2.0
1.0
0.0
-1.0
-2.0
10
3
1
-1
-3
Percent (%)
consumption
20
1.2
0.8
0.4
0.0
-0.4
Percent (%)
consumption
.6
.2
-.2
-.6
2
0
10
10
1.2
0.4
-0.4
-1.2
20
20
-2
10
financial assets
6
10
20
1972:4 to 1984:1
real estate assets
6
4
2
0
-2
20
10
20
liabilities
-.2
10
10
liabilities
20
.6
.2
-.6
1952:1 to 1972:3
real estate assets
liabilities
20
3
0
-3
10
20
labor income
4
2
0
-2
financial assets
labor income
2
2
0
-1
-4
10
20
-2
1.2
0.6
0.0
0.0
0.0
10
20
20
5
1984:2 to 1997:1
real estate assets
financial assets
2.0
2.4
1.0
1.2
-1.0
10
-1.2
10
20
10
20
labor income
-0.6
10
20
1997:2 to 2009:4
liabilities
real estate assets financial assets
labor income
6
6
1.0
2
2
0.0
-2
-2
-6
-6
-1.0
10
20
10
20
10
20
10
20
Notes: See notes to Figure A6.
23
Figure A6 continued: Impulse Responses with Real Estate Assets and Labor Income:
A one percent shock to Real Estate Assets
Percent (%)
consumption
0.8
0.0
-0.8
-1.6
10
20
3
1
-1
-3
Percent (%)
consumption
.6
.3
.0
-.3
10
20
Percent (%)
consumption
-.4
0.0
10
20
-0.8
Percent (%)
consumption
.6
.2
-.2
-.6
0.8
0.0
10
20
10
liabilities
-2
10
20
1
-1
-3
10
labor income
1.5
0.5
-0.5
-1.5
-2.5
20
1972:4 to 1984:1
real estate assets
0.4
0
20
10
1.2
2
10
-0.8
20
10
-0.4
10
financial assets
1.00
0.50
0.00
-0.50
-1.00
20
10
20
20
1.6
0.8
0.0
-0.8
10
financial assets
2.0
1.0
0.0
-1.0
-2.0
20
10
20
10
20
labor income
.5
.3
.1
-.1
-.3
1984:2 to 1997:1
real estate assets
liabilities
0.8
financial assets
3
liabilities
.8
.4
.0
-.4
.4
.0
-.8
1952:1 to 1972:3
real estate assets
liabilities
10
20
labor income
.8
.4
.0
-.4
-.8
10
20
1997:2 to 2009:4
real estate assets financial assets
labor income
8
5
1.5
4
2
0.5
0
-1
-0.5
-4
-4
-1.5
20
10
20
10
20
10
20
Notes: See notes to Figure A6.
24
Figure A6 continued: Impulse Responses with Real Estate Assets and Labor Income:
A one percent shock to Financial Assets
Percent (%)
consumption
.6
.2
-.2
-.6
1.5
0.5
-0.5
10
20
-1.5
Percent (%)
consumption
.0
10
20
.6
.2
-.2
-.6
Percent (%)
consumption
.00
10
20
.20
.10
.00
-.10
Percent (%)
consumption
10
10
liabilities
.08
.00
.1
-.1
-.08
-.3
-.16
-.5
10
10
20
20
10
-.3
10
20
20
.6
.2
-.2
-.6
10
20
1984:2 to 1997:1
real estate assets
20
.3
.1
-.1
-.3
-1.5
10
20
20
1997:2 to 2009:4
real estate assets
0.4
0.0
-0.4
-0.8
-1.2
20
10
20
0.8
-0.8
financial assets
.4
0.0
.0
-0.8
10
20
financial assets
1.2
0.6
-0.6
10
20
financial assets
1.5
0.5
-0.5
-1.5
10
20
10
20
labor income
0.8
0.0
10
labor income
0.0
-0.5
1972:4 to 1984:1
real estate assets
liabilities
.20
.10
-.10
.0
liabilities
.4
.2
-.2
1952:1 to 1972:3
real estate assets
financial assets
.6
1.5
.3
0.5
liabilities
-.4
10
20
labor income
.20
.12
.04
-.04
-.12
10
20
labor income
.15
.05
-.05
-.15
-.25
10
20
Notes: See notes to Figure A6.
25
Figure A6 continued: Impulse Responses with Real Estate Assets and Labor Income:
A one percent shock to Labor Income
Percent (%)
consumption
0.8
0.0
-0.8
-1.6
10
liabilities
20
2
0
-2
-4
Percent (%)
consumption
.8
.4
.0
-.4
-.8
10
liabilities
20
1.5
0.5
-0.5
-1.5
Percent (%)
consumption
1.2
0.8
0.4
0.0
-0.4
10
Percent (%)
10
liabilities
20
1.2
0.8
0.4
0.0
-0.4
consumption
.6
.2
-.2
-.6
10
10
1952:1 to 1972:3
real estate assets
financial assets
labor income
.8
2.0
1
.4
0.5
.0
-1
-1.0
-.4
-.8
-3
-2.5
20
10
20
10
20
10
20
1972:4 to 1984:1
real estate assets
3.0
2.0
1.0
0.0
-1.0
20
10
20
1997:2 to 2009:4
real estate assets
5
2
liabilities
-0.4
20
-1.6
-1
10
0.8
0.0
-0.8
-1.6
labor income
1.5
0.5
-0.5
10
20
-1.5
10
20
1984:2 to 1997:1
real estate assets
financial assets
labor income
1.5
2.0
0.8
1.0
0.5
0.0
0.0
-0.5
-1.0
-1.5
-2.0
-0.8
20
10
20
10
20
10
20
2.0
0.8
10
financial assets
20
-4
financial assets
6
2
-2
10
20
-6
labor income
1.5
0.5
-0.5
10
20
-1.5
10
20
Notes: See notes to Figure A6.
26
Figure A7: Impulse Responses with Stock Market Assets:
A one percent shock to Consumption
Percent (%)
consumption
2.0
1.0
0.0
-1.0
10
liabilities
20
6
4
2
0
-2
Percent (%)
consumption
2.5
1.5
0.5
-0.5
10
20
4
2
0
-2
Percent (%)
consumption
0.8
0.0
0.0
10
20
-0.8
Percent (%)
consumption
0.0
10
10
1985:2 to 1998:2
tangible assets
1.0
0.0
-1.0
-2.0
-3.0
20
10
20
liabilities
1.0
-1.0
1973:4 to 1985:1
liabilities
tangible assets
4
2
0
-2
10
20
10
20
liabilities
0.8
-0.8
10
1952:1 to 1973:3
tangible assets
2.0
1.2
0.4
-0.4
-1.2
20
10
20
20
3
1
-1
-3
10
20
stock market assets disposable income
5
4
2
2
-1
-4
10
20
0
-2
10
20
stock market assets disposable income
4
3
0
1
-4
10
20
-1
10
20
stock market assets disposable income
2
0.5
-2
-0.5
-6
10
20
-1.5
10
20
1998:3 to 2009:4
tangible assets
stock market assets disposable income
8
20
1.5
4
10
0.5
0
0
-0.5
-4
-8
-10
-1.5
10
20
10
20
10
20
Notes: The impulse response functions (IRFs) are estimated using Jordà's (2005) linear projection
technique. The solid line represents the impulse response function; the dashed lines are Jordà’s (2009) 95
percent conditional confidence bands. The horizon for each IRF is measured in quarters. The variable
“Stock Market Assets” is used in place of financial assets in the five-variable system. Stock Market Assets
is defined from financial assets excluding household deposits and credit market instruments (Table B.100 in
the Flow of Funds). See text for additional variable definitions.
27
Figure A7 continued: Impulse Responses with Stock Market Assets:
A one percent shock to Liabilities
Percent (%)
consumption
2.0
1.0
0.0
-1.0
10
20
4
2
0
-2
Percent (%)
consumption
liabilities
1.0
0.0
-1.0
-2.0
10
20
2
0
-2
-4
Percent (%)
consumption
0.8
1.0
0.0
0.0
-0.8
10
20
-1.0
consumption
Percent (%)
1952:1 to 1973:3
liabilities
tangible assets stock market assets disposable income
1.6
6
2.4
4
0.8
1.2
2
0.0
0.0
0
-0.8
-2
-1.2
10
20
10
20
10
20
10
20
10
1973:4 to 1985:1
tangible assets stock market assets disposable income
3
0.8
2
1
-0.4
0
-1
-1.6
-2
-3
-4
-2.8
20
10
20
10
20
10
20
1985:2 to 1998:2
liabilities
tangible assets
2.0
1.0
0.0
-1.0
-2.0
10
20
10
20
liabilities
1
-1
-0.4
-1.2
10
20
-3
10
-4
10
20
-1.2
10
20
1998:3 to 2009:4
tangible assets stock market assets disposable income
10
2
1.2
4
-2
0.4
-2
-6
-0.4
3
0.4
stock market assets disposable income
1.2
4
0.4
0
-0.4
20
-10
10
20
-8
10
-1.2
20
10
20
Notes: See notes to Figure A7.
28
Figure A7 continued: Impulse Responses with Stock Market Assets:
A one percent shock to Tangible Assets
Percent (%)
consumption
0.4
-0.4
-1.2
-2.0
liabilities
1
-1
10
20
-3
Percent (%)
consumption
1.00
0.50
0.00
-0.50
-1.00
10
20
1.5
0.5
-0.5
-1.5
-2.5
Percent (%)
Percent (%)
10
-0.5
-1.5
20
-0.8
10
liabilities
3
1
-1
10
20
-3
10
10
10
20
1985:2 to 1998:2
tangible assets
1.5
0.5
-0.5
stock market assets disposable income
4
0.8
1
0.0
-2
-1.5
-5
0.0
20
20
-1.5
-2.5
20
stock market assets disposable income
1.2
1
0.4
-1
-0.4
-3
-1.2
10
20
10
20
0.8
10
10
-2
-4
1973:4 to 1985:1
tangible assets
2.0
1.0
0.0
-1.0
20
10
20
liabilities
consumption
.8
.4
.0
-.4
-.8
10
liabilities
consumption
.6
.2
-.2
-.6
1952:1 to 1973:3
tangible assets stock market assets disposable income
1.5
2
0.5
0.5
0
-0.5
20
10
20
10
20
-0.8
10
20
1998:3 to 2009:4
tangible assets stock market assets disposable income
8
6
0.4
4
2
0
-0.4
-2
-4
-6
-8
-1.2
20
10
20
10
20
10
20
Notes: See notes to Figure A7.
29
Figure A7 continued: Impulse Responses with Stock Market Assets:
A one percent shock to Stock Market Assets
Percent (%)
consumption
.3
.1
-.1
-.3
liabilities
0.8
0.2
-0.4
10
20
-1.0
Percent (%)
consumption
.2
.0
-.2
-.4
10
20
-.6
Percent (%)
.00
10
20
.08
.00
10
20
10
20
.15
.05
-.05
-.15
10
20
10
.0
-.2
10
0.4
-0.4
10
20
-1.2
10
20
stock market assets
0.8
0.0
-0.8
10
20
-.6
10
20
disposable income
.3
.0
-.3
-.6
10
20
stock market assets disposable income
1.2
.15
0.6
.05
0.0
-.05
-0.6
-.15
20
10
20
10
20
1998:3 to 2009:4
tangible assets
liabilities
.2
.0
-.2
-.4
-.6
stock market assets disposable income
1.2
.6
0.4
.2
-0.4
-.2
1985:2 to 1998:2
tangible assets
.4
.2
liabilities
consumption
Percent (%)
1973:4 to 1985:1
tangible assets
.6
.2
-.2
.6
.2
-.2
.08
-.08
-.16
20
liabilities
consumption
-.08
10
1952:1 to 1973:3
tangible assets
.5
.3
.1
-.1
-.3
10
20
20
-1.2
10
stock market assets disposable income
1.5
.08
0.5
.00
-0.5
-.08
-1.5
-.16
20
10
20
10
20
Notes: See notes to Figure A7.
30
Figure A7 continued: Impulse Responses with Stock Market Assets:
A one percent shock to Disposable Income
Percent (%)
consumption
1.2
0.4
-0.4
-1.2
1
-1
10
20
-3
Percent (%)
consumption
1.0
0.6
0.2
-0.2
-0.6
liabilities
1.5
0.5
10
20
-0.5
-1.5
Percent (%)
consumption
.6
.3
.0
-.3
10
20
Percent (%)
.6
.2
10
20
10
1973:4 to 1985:1
tangible assets
1.00
0.50
0.00
-0.50
-1.00
20
10
20
1985:2 to 1998:2
tangible assets
liabilities
0.8
0.4
0.0
-0.4
consumption
-.2
1952:1 to 1973:3
liabilities
tangible assets
1.2
0.8
0.4
0.0
-0.4
10
20
10
20
10
20
liabilities
2.5
1.5
0.5
-0.5
10
20
stock market assets disposable income
3
1.5
1
0.5
-1
-3
-1
-3
0.0
0
20
1998:3 to 2009:4
tangible assets
7
5
3
1
-1
10
20
20
10
20
-0.4
-1.2
10
20
stock market assets
2
10
10
stock market assets disposable income
3
1.2
1
0.4
0.8
-0.8
10
-0.5
-1.5
20
-2
10
disposable income
1.2
0.8
0.4
0.0
-0.4
20
10
20
stock market assets disposable income
6
1.2
2
0.6
-2
0.0
-6
10
20
-0.6
10
20
Notes: See notes to Figure A7.
31
Figure A8: Impulse Responses with Stock Market Assets and Labor Income:
A one percent shock to Consumption
Percent (%)
consumption
2.4
1.2
0.0
-1.2
4
0
10
20
-4
Percent (%)
consumption
Percent (%)
10
1.0
0.0
-1.0
20
2.4
2
1.2
0
0.0
-1.2
10
20
-2
0.0
10
20
1.0
0.6
0.2
-0.2
-0.6
consumption
1.2
0.4
-0.4
-1.2
10
20
-2
20
10
20
10
10
20
2
0
-2
10
20
0.8
0.0
-0.8
-1.6
-2.4
10
20
-6
10
20
-2
stock market assets
10
20
2
-2
-0.8
-6
10
20
20
-1.6
10
2
-4
0
0
10
20
-10
10
20
20
10
20
labor income
4
-12
10
labor income
0.8
0.0
1998:3 to 2009:4
tangible assets stock market assets
liabilities
4
2
0
-2
-4
20
1985:2 to 1998:2
tangible assets
liabilities
1.2
0.6
-0.6
10
10
2
-1
-4
1973:4 to 1985:1
tangible assets stock market assets
labor income
6
2
2
2
0
0
-2
liabilities
consumption
Percent (%)
1952:1 to 1973:3
tangible assets stock market assets
labor income
2.0
5
4
liabilities
-2
10
20
Notes: The impulse response functions (IRFs) are estimated using Jordà's (2005) linear projection
technique. The solid line represents the impulse response function; the dashed lines are Jordà’s (2009) 95
percent conditional confidence bands. The horizon for each IRF is measured in quarters. The variable
“Stock Market Assets” is used in place of financial assets in the five-variable system. Stock Market Assets
is defined from financial assets excluding household deposits and credit market instruments (Table B.100 in
the Flow of Funds). Labor Income is used in place of disposable income in the five-variable system. Labor
income is defined as compensation of employees, available from the Bureau of Labor Statistics. See text
for additional variable definitions.
32
Figure A8 continued: Impulse Responses with Stock Market Assets and Labor Income:
A one percent shock to Liabilities
Percent (%)
consumption
2.5
1.5
0.5
-0.5
liabilities
7
10
20
4
1
-2
Percent (%)
consumption
liabilities
1
-1
-3
10
20
3
1
-1
-3
-5
10
Percent (%)
consumption
1973:4 to 1985:1
tangible assets
4
2
0
-2
-4
20
10
20
1985:2 to 1998:2
tangible assets
liabilities
0.8
0.8
1.5
0.5
0.0
0.0
-0.5
-0.8
10
20
-0.8
consumption
Percent (%)
10
1952:1 to 1973:3
tangible assets stock market assets
labor income
8
5
1.5
4
3
0.5
0
1
-0.5
-4
-1
20
10
20
10
20
10
20
1.0
0.6
0.2
-0.2
-0.6
10
liabilities
2
0
10
20
-2
10
20
-1.5
10
20
stock market assets labor income
6
2
2
0
-2
-2
-6
-4
10
20
10
20
stock market assets
4
0
-4
10
20
labor income
1.5
0.5
-0.5
-1.5
10
20
1998:3 to 2009:4
tangible assets stock market assets
labor income
6
10
1.5
6
2
0.5
2
-2
-0.5
-2
-6
-6
-1.5
20
10
20
10
20
10
20
Notes: See notes to Figure A8.
33
Figure A8 continued: Impulse Responses with Stock Market Assets and Labor Income:
A one percent shock to Tangible Assets
Percent (%)
consumption
1.0
0.0
-1.0
-2.0
liabilities
4
10
20
1
-2
-5
Percent (%)
consumption
2.0
1.2
0.4
-0.4
-1.2
0.0
10
20
Percent (%)
consumption
.6
.2
-.2
-.6
10
20
1.0
0.6
0.2
-0.2
-0.6
Percent (%)
0.8
0.0
10
10
20
0.8
0.0
-1
0.0
-0.8
20
20
-0.4
liabilities
3
1
-1
-3
10
1985:2 to 1998:2
tangible assets
10
20
labor income
1
1.2
0.4
10
stock market assets
1.6
0.8
liabilities
consumption
-0.8
1973:4 to 1985:1
tangible assets
liabilities
0.8
-0.8
10
1952:1 to 1973:3
tangible assets stock market assets
labor income
4
2
1.5
2
0
0.5
0
-2
-0.5
-2
-1.5
-4
-4
20
10
20
10
20
10
20
-1.2
10
20
-3
10
20
-0.8
10
20
stock market assets
labor income
4
1.00
0.50
1
0.00
-2
-0.50
-5
-1.00
10
20
10
20
1998:3 to 2009:4
tangible assets stock market assets
labor income
8
1.6
6
0.8
2
2
0.0
-4
-2
-0.8
-6
-10
-1.6
20
10
20
10
20
10
20
Notes: See notes to Figure A8.
34
Figure A8 continued: Impulse Responses with Stock Market Assets and Labor Income:
A one percent shock to Stock Market Assets
Percent (%)
consumption
.3
.1
-.1
-.3
10
20
0.4
.4
.2
-0.4
.0
-1.2
Percent (%)
consumption
-.1
10
20
.5
.3
.1
-.1
-.3
Percent (%)
consumption
.08
.00
.00
10
20
-.08
Percent (%)
consumption
.04
-.04
-.2
10
-.2
10
10
10
20
-.4
10
stock market assets
labor income
1.2
.6
0.4
.2
-0.4
-.2
-1.2
-.6
20
10
20
10
20
1973:4 to 1985:1
tangible assets
20
0.8
.0
0.0
-.3
10
20
1985:2 to 1998:2
tangible assets
20
.15
.05
-.05
-.15
.4
.0
-.4
-.8
-0.8
10
20
0.0
10
20
10
20
labor income
.5
.3
.1
-.1
-.3
stock market assets
0.8
1998:3 to 2009:4
tangible assets
20
stock market assets
.6
.3
liabilities
.2
.0
-.12
20
liabilities
.16
.08
-.08
10
liabilities
.3
.1
-.3
1952:1 to 1973:3
tangible assets
liabilities
-0.8
10
20
10
20
20
labor income
.20
.10
.00
-.10
-.20
stock market assets
1.2
0.4
-0.4
-1.2
10
10
20
labor income
.15
.05
-.05
-.15
-.25
10
20
Notes: See notes to Figure A8.
35
Figure A8 continued: Impulse Responses with Stock Market Assets and Labor Income:
A one percent shock to Labor Income
Percent (%)
consumption
1.5
0.5
-0.5
-1.5
10
20
2
0
-2
-4
Percent (%)
consumption
.8
.4
.0
-.4
-.8
10
10
20
2.5
1.5
0.5
-0.5
-1.5
20
Percent (%)
1.0
0.6
0.2
-0.2
Percent (%)
2
0
10
-0.8
20
10
20
-2
10
10
20
-3
10
-2.0
20
10
20
1973:4 to 1985:1
tangible assets
20
2.5
1.5
0.5
-0.5
-1.5
10
stock market assets
labor income
2.0
1.2
0.8
0.4
-0.4
-0.4
-1.6
-1.2
20
10
20
10
20
1985:2 to 1998:2
tangible assets
liabilities
consumption
.6
.2
-.2
-.6
10
liabilities
consumption
1.2
0.8
0.4
0.0
-0.4
1952:1 to 1973:3
tangible assets stock market assets
labor income
3
1.0
0.8
1
0.0
0.0
-1
-1.0
liabilities
20
1.2
0.4
-0.4
-1.2
10
20
stock market assets
3
1
-1
-3
labor income
0.8
0.0
10
20
-0.8
10
20
1998:3 to 2009:4
liabilities
tangible assets stock market assets labor income
6
4
1.0
2
0
0.0
-2
-4
-1.0
-6
-8
-2.0
10
20
10
20
10
20
10
20
Notes: See notes to Figure A8.
36
Figure A9: Impulse Responses with Real Estate Assets and Stock Market Assets:
A one percent shock to Consumption
Percent (%)
consumption
2.5
1.5
0.5
-0.5
-1.5
6
3
10
20
0
-3
Percent (%)
consumption
3.0
2.0
1.0
0.0
10
20
4
2
0
-2
Percent (%)
0.0
20
1.2
0.4
-0.4
-1.2
Percent (%)
consumption
0.0
10
20
10
20
3
1
-1
-3
4
2
0
-2
10
20
1985:2 to 1998:2
real estate assets
20
0.8
-0.4
-1.6
-2.8
10
20
1998:3 to 2009:4
real estate assets
10
4
liabilities
1.6
0.8
-0.8
10
liabilities
0.8
10
1973:4 to 1985:1
real estate assets stock market assets disposable income
liabilities
consumption
-0.8
1952:1 to 1973:3
liabilities
real estate assets stock market assets disposable income
5
1.5
3
2
0.5
1
-1
-0.5
-1
-1.5
-4
-3
10
20
10
20
10
20
10
20
20
-8
3
0
1
-4
10
20
10
20
-1
10
20
stock market assets disposable income
4
0.8
2
0.0
0
-0.8
-2
-4
-1.6
10
20
10
20
stock market assets disposable income
10
0
-2
10
4
-10
10
20
1.2
0.4
-0.4
-1.2
10
20
Notes: The impulse response functions (IRFs) are estimated using Jordà's (2005) linear projection
technique. The solid line represents the impulse response function; the dashed lines are Jordà’s (2009) 95
percent conditional confidence bands. The horizon for each IRF is measured in quarters. The variable
“Real Estate Assets” is used in place of tangible assets in the five-variable system. Real Estate Assets is
defined from tangible assets excluding durables and software and equipment of non-profit organizations
(Table B.100 in the Flow of Funds). The variable “Stock Market Assets” is used in place of financial assets
in the five-variable system. Stock Market Assets is defined from financial assets excluding household
deposits and credit market instruments (Table B.100 in the Flow of Funds). See text for additional variable
definitions.
37
Figure A9 continued: Impulse Responses with Real Estate Assets and Stock Market Assets:
A one percent shock to Liabilities
Percent (%)
consumption
2.0
1.0
0.0
-1.0
10
20
4
2
0
-2
Percent (%)
consumption
liabilities
0.8
0.0
3
1
-0.8
-1.6
-1
-3
10
20
Percent (%)
consumption
1.2
0.4
0.8
0.0
-0.8
10
20
-0.4
-1.2
Percent (%)
consumption
0.6
0.2
-0.2
-0.6
-1.0
1
-1
10
1952:1 to 1973:3
liabilities
real estate assets stock market assets disposable income
2.0
5
3
3
1.0
1
1
0.0
-1
-1.0
-3
-1
10
20
10
20
10
20
10
20
20
-3
10
1973:4 to 1985:1
real estate assets stock market assets disposable income
3
0.8
3
0.0
1
1
-0.8
-1
-1
-1.6
-3
-3
-2.4
20
10
20
10
20
10
20
1985:2 to 1998:2
liabilities
real estate assets
2.0
1.0
0.0
-1.0
-2.0
10
20
10
20
stock market assets disposable income
6
1.2
3
0.4
0
-3
10
20
-0.4
-1.2
10
20
1998:3 to 2009:4
liabilities
real estate assets stock market assets disposable income
8
1.2
2
4
0.4
-2
0
-0.4
-6
-4
-10
-8
-1.2
10
20
10
20
10
20
10
20
Notes: See notes to Figure A9.
38
Figure A9 continued: Impulse Responses with Real Estate Assets and Stock Market Assets:
A one percent shock to Real Estate Assets
Percent (%)
consumption
0.8
0.0
-0.8
-1.6
10
20
1.5
0.5
-0.5
-1.5
-2.5
Percent (%)
consumption
.4
.0
-.4
-.8
0.5
-0.5
10
20
-1.5
Percent (%)
20
10
20
-0.8
10
liabilities
2
0
10
20
-2
10
1.6
0.8
0.0
-0.8
10
stock market assets
1.5
0.5
-0.5
-1.5
-2.5
20
10
20
1985:2 to 1998:2
real estate assets
1.0
0.4
-0.2
consumption
Percent (%)
10
liabilities
.8
.4
.0
.6
.2
-.2
-.6
1973:4 to 1985:1
real estate assets
liabilities
consumption
-.4
1952:1 to 1973:3
liabilities
real estate assets stock market assets disposable income
1.6
1.5
1.0
0.5
0.8
0.0
-0.5
0.0
-1.0
-1.5
-0.8
-2.5
-2.0
10
20
10
20
10
20
10
20
20
0.8
0.0
-0.8
-1.6
10
20
disposable income
.8
.4
.0
-.4
-.8
10
20
stock market assets disposable income
3
1.00
1
0.50
-1
0.00
-3
-0.50
-5
-1.00
10
20
10
20
1998:3 to 2009:4
real estate assets stock market assets disposable income
8
0.6
4
0.2
4
0
-0.2
0
-4
-0.6
-4
-8
-1.0
20
10
20
10
20
10
20
Notes: See notes to Figure A9.
39
Figure A9 continued: Impulse Responses with Real Estate Assets and Stock Market Assets:
A one percent shock to Stock Market Assets
Percent (%)
consumption
.4
.2
.0
-.2
-.4
liabilities
0.8
0.2
-0.4
10
20
-1.0
Percent (%)
consumption
10
20
-.6
Percent (%)
20
liabilities
.00
10
20
.00
-.10
consumption
Percent (%)
10
.20
.10
.08
.04
-.04
-.12
1973:4 to 1985:1
real estate assets
.6
.2
-.2
consumption
-.08
20
liabilities
.3
.1
-.1
-.3
10
10
20
10
20
10
.6
.2
-.2
-.6
20
stock market assets disposable income
1.2
.6
0.4
.2
-0.4
-.2
-1.2
10
20
stock market assets
0.8
0.0
10
20
-0.8
10
20
-.6
10
20
disposable income
.3
.1
-.1
-.3
-.5
10
20
1985:2 to 1998:2
real estate assets stock market assets disposable income
.4
1.2
.20
.12
.2
0.6
.04
.0
0.0
-.04
-.2
-0.6
-.12
10
20
10
20
10
20
1998:3 to 2009:4
real estate assets
liabilities
.2
.0
-.2
-.4
1952:1 to 1973:3
real estate assets
.5
.3
.1
-.1
-.3
10
20
.4
.0
-.4
-.8
10
20
stock market assets disposable income
1.2
.15
0.4
.05
-0.4
-1.2
10
20
-.05
-.15
10
20
Notes: See notes to Figure A9.
40
Figure A9 continued: Impulse Responses with Real Estate Assets and Stock Market Assets:
A one percent shock to Disposable Income
Percent (%)
consumption
1.5
0.5
-0.5
-1.5
1
-1
10
20
-3
Percent (%)
consumption
.8
.4
.0
-.4
-.8
liabilities
1.5
0.5
-0.5
10
20
-1.5
Percent (%)
consumption
.6
.4
.2
.0
-.2
10
20
Percent (%)
1.0
0.6
10
10
20
0.8
0.4
0.0
-0.4
20
10
20
liabilities
3.5
2.5
1.5
0.5
-0.5
10
1973:4 to 1985:1
real estate assets
1.2
0.4
-0.4
stock market assets disposable income
3
1.2
1
0.4
-1
-0.4
-1.2
-3
10
20
1985:2 to 1998:2
real estate assets
liabilities
consumption
0.2
-0.2
1952:1 to 1973:3
liabilities
real estate assets stock market assets disposable income
3
2.0
1.00
1.0
1
0.50
0.0
-1
0.00
-1.0
-0.50
-3
-2.0
10
20
10
20
10
20
10
20
20
2
0.0
0
10
20
1998:3 to 2009:4
real estate assets
8
6
4
2
0
10
20
20
-1.2
10
20
stock market assets
0.8
-0.8
10
-2
10
disposable income
1.2
0.8
0.4
0.0
-0.4
20
10
20
stock market assets disposable income
6
1.2
2
0.6
-2
-6
10
20
0.0
-0.6
10
20
Notes: See notes to Figure A9.
41
Figure A10: Impulse Responses with Real Estate Assets, Stock Market Assets and Labor
Income: A one percent shock to Consumption
Percent (%)
consumption
liabilities
1
-1
-3
10
20
6
2
-2
-6
10
Percent (%)
consumption
liabilities
2.5
4
1.5
0.5
2
0
-0.5
10
20
-2
Percent (%)
consumption
1.2
0.8
0.4
0.0
-0.4
10
10
Percent (%)
1972:4 to 1984:1
real estate assets
5
3
1
-1
-3
20
10
20
1984:2 to 1997:1
real estate assets
liabilities
20
20
stock market assets
labor income
4
2
0
0
-4
10
20
-2
stock market assets
0
4
0.5
-0.4
-2
0
-0.5
-1.2
10
20
10
20
8
0
10
-4
10
20
-1.5
1997:2 to 2009:4
real estate assets stock market assets
liabilities
5
3
1
-1
-3
-4
20
-8
10
20
12
4
-4
-12
10
20
labor income
1.2
0.4
consumption
1.5
0.5
-0.5
-1.5
10
1952:1 to 1972:3
real estate assets stock market assets labor income
1.6
4
2
0.8
1
0
0.0
-2
-2
-0.8
-5
-4
20
10
20
10
20
10
20
10
20
labor income
2
0
10
20
-2
10
20
Notes: The impulse response functions (IRFs) are estimated using Jordà's (2005) linear projection
technique. The solid line represents the impulse response function; the dashed lines are Jordà’s (2009) 95
percent conditional confidence bands. The horizon for each IRF is measured in quarters. The variable
“Real Estate Assets” is used in place of tangible assets in the five-variable system. Real Estate Assets is
defined from tangible assets excluding durables and software and equipment of non-profit organizations
(Table B.100 in the Flow of Funds). The variable “Stock Market Assets” is used in place of financial assets
in the five-variable system. Stock Market Assets is defined from financial assets excluding household
deposits and credit market instruments (Table B.100 in the Flow of Funds). Labor income is defined as
compensation of employees, available from the Bureau of Labor Statistics. See text for additional variable
definitions.
42
Figure A10 continued: Impulse Responses with Real Estate Assets, Stock Market Assets and
Labor Income: A one percent shock to Liabilities
Percent (%)
consumption
3.5
2.5
1.5
0.5
-0.5
8
10
20
4
0
-4
10
Percent (%)
consumption
liabilities
1.6
0.4
-0.8
-2.0
10
20
3
1
-1
-3
Percent (%)
consumption
-.2
10
20
1.2
0.8
0.4
0.0
-0.4
Percent (%)
consumption
.6
.2
-.2
-.6
2
0
10
10
0.8
0.0
-0.8
20
20
-2
10
20
1972:4 to 1984:1
real estate assets
6
4
2
0
-2
20
10
20
1984:2 to 1997:1
real estate assets
2.0
1.0
liabilities
.6
.2
-.6
1952:1 to 1972:3
real estate assets stock market assets
1.6
8
liabilities
0.0
10
20
-1.0
10
20
4
0
-4
10
20
labor income
4
2
0
-2
stock market assets
6
2
-2
-6
10
20
labor income
2
0
10
20
-2
10
20
stock market assets
labor income
4
1.0
0.6
2
0.2
0
-0.2
-2
-0.6
10
20
10
20
1997:2 to 2009:4
liabilities
real estate assets stock market assets labor income
6
6
1.2
2
2
0.4
-2
-2
-0.4
-6
-6
-1.2
10
20
10
20
10
20
10
20
Notes: See notes to Figure A10.
43
Figure A10 continued: Impulse Responses with Real Estate Assets, Stock Market Assets and
Labor Income: A one percent shock to Real Estate Assets
Percent (%)
consumption
liabilities
0.5
-0.5
-1.5
10
20
3
1
-1
-3
Percent (%)
consumption
.6
.3
.8
.4
1.2
.0
.0
0.4
-.3
10
-.4
20
10
20
-0.4
.4
.0
0.8
-.4
0.0
0.0
-.8
-0.8
-0.8
10
20
.6
.2
-.2
-.6
10
20
0
20
-2
10
20
0
10
stock market assets
labor income
3
.4
1
.0
-1
-.4
-3
-.8
10
20
10
20
1997:2 to 2009:4
real estate assets stock market assets
labor income
8
6
1.5
4
2
0.5
liabilities
2
10
10
stock market assets
labor income
1.5
.5
.3
0.5
.1
-0.5
-.1
-1.5
-.3
20
10
20
10
20
1984:2 to 1997:1
real estate assets
1.6
0.8
liabilities
consumption
Percent (%)
1972:4 to 1984:1
real estate assets
liabilities
consumption
Percent (%)
10
1952:1 to 1972:3
real estate assets stock market assets
labor income
3
1.5
0.8
0.5
1
-0.5
0.0
-1
-1.5
-0.8
-3
-2.5
20
10
20
10
20
10
20
20
-4
-2
10
20
-6
-0.5
10
-1.5
20
10
20
Notes: See notes to Figure A10.
44
Figure A10 continued: Impulse Responses with Real Estate Assets, Stock Market Assets and
Labor Income: A one percent shock to Stock Market Assets
Percent (%)
consumption
.5
.2
1.2
0.4
-.1
-0.4
-.4
10
20
-1.2
Percent (%)
consumption
.25
.15
.05
-.05
-.15
10
20
.5
.3
.1
-.1
-.3
Percent (%)
.08
.00
.00
20
-.08
Percent (%)
consumption
-.04
10
10
20
.05
-.05
-.15
-.25
-.35
10
.3
.1
-.1
-.3
10
stock market assets
labor income
1.2
.6
0.4
.2
-0.4
-.2
-1.2
-.6
20
10
20
10
20
1972:4 to 1984:1
real estate assets stock market assets
labor income
.5
1.2
.3
.2
0.6
.1
-.1
0.0
-.1
-.4
-0.6
-.3
20
10
20
10
20
10
20
1984:2 to 1997:1
real estate assets
20
.24
.12
.00
-.12
10
stock market assets
labor income
1.2
.16
0.8
.08
0.4
.00
0.0
-0.4
-.08
20
10
20
10
20
1997:2 to 2009:4
real estate assets
liabilities
.04
-.12
10
20
liabilities
.16
.08
10
10
liabilities
consumption
-.08
1952:1 to 1972:3
real estate assets
liabilities
20
0.2
-0.2
-0.6
-1.0
stock market assets
labor income
1.2
.10
0.4
.00
-0.4
10
20
-1.2
-.10
10
20
-.20
10
20
Notes: See notes to Figure A10.
45
Figure A10 continued: Impulse Responses with Real Estate Assets, Stock Market Assets and
Labor Income: A one percent shock to Labor Income
Percent (%)
consumption
1.0
0.0
-1.0
-2.0
10
20
2
0
-2
-4
10
Percent (%)
consumption
liabilities
0.8
2.0
0.8
0.0
-0.4
-0.8
10
20
-1.6
10
Percent (%)
consumption
1.2
0.8
0.4
0.0
-0.4
10
Percent (%)
0.4
-0.2
-0.8
20
20
1.2
0.8
0.4
0.0
-0.4
-0.5
10
20
-0.5
-2.0
-1.5
10
20
1997:2 to 2009:4
real estate assets
6
2
liabilities
20
20
1984:2 to 1997:1
real estate assets
1.5
0.5
2.5
1.0
10
10
1972:4 to 1984:1
real estate assets
3.0
2.0
1.0
0.0
-1.0
20
10
20
liabilities
consumption
.8
.4
.0
-.4
-.8
1952:1 to 1972:3
real estate assets stock market assets
1.0
3
liabilities
-2
10
20
-6
10
20
1
-1
-3
labor income
1
-1
10
20
-3
10
20
stock market assets
labor income
1.6
1.5
0.4
0.5
-0.8
-2.0
-0.5
10
20
-1.5
10
20
stock market assets
labor income
3
0.8
1
0.0
-1
-3
10
20
-0.8
10
20
stock market assets
labor income
8
1.5
4
0.5
0
-0.5
-4
-8
-1.5
10
20
10
20
Notes: See notes to Figure A10.
46
Percent (%)
Percent (%)
Percent (%)
Figure A11: Impulse Responses with Federal Funds Rate:
A one percent shock to Consumption
federal funds rate
consumption
1.2
1.2
0.4
0.4
-0.4
-0.4
-1.2
-1.2
10
20
10
20
federal funds rate
4
2
0
-2
-4
10
20
2.0
1.2
0.4
-0.4
-1.2
consumption
2.5
1.5
0.5
-0.5
10
20
4
2
0
-2
10
20
1.2
0.4
-0.4
-1.2
10
20
1971:2 to 1984:4
liabilities
tangible assets
4
2
0
-2
10
20
10
20
1985:1 to 1998:4
federal funds rate
consumption
lia bilities
tangible assets
1.0
1.2
1.0
0.8
0.0
0.0
0.6
-1.0
0.0
-1.0
0.0
-2.0
-2.0
-0.6
-0.8
-3.0
10
20
10
20
10
20
10
20
federal funds rate
Percent (%)
1954:1 to 1971:1
lia bilities
tangible assets
1.2
0.4
-0.4
-1.2
10
20
consumption
1.6
0.8
0.0
-0.8
10
20
financial assets
2
0
-2
-4
10
20
financial assets
5
2
-1
-4
10
20
income
1.2
0.4
-0.4
-1.2
-2.0
10
20
1999:1 to 2009:4
lia bilities
tangible assets
financial assets
10
12
2
6
4
2
0
-4
-2
-2
-6
-12
10
20
10
20
10
20
20
income
2
0
-2
financial assets
2
0
-2
-4
10
10
20
income
1.2
0.4
-0.4
-1.2
10
20
income
2.0
1.0
0.0
-1.0
-2.0
10
20
Notes: The impulse response functions (IRFs) are estimated using Jordà's (2005) linear projection
technique. The solid line represents the impulse response function; the dashed lines are Jordà’s (2009) 95
percent conditional confidence bands. The horizon for each IRF is measured in quarters. The Federal
funds rate is added to our main specification reported in the paper. The sample for this model begins in
1954—based on availability of the Federal Funds rate—later than the main model in the paper. See text for
variable definitions.
47
Figure A11: Impulse Responses with Federal Funds Rate:
A one percent shock to Liabilities
Percent (%)
federal fun ds rate
0.8
consumption
1.2
0.0
0.4
-0.8
-0.4
10
20
Percent (%)
Percent (%)
Percent (%)
federal funds rate
2
0
-2
10
20
10
20
3.0
2.0
1.0
0.0
1971:2 to 1984:4
liabilities
tangible assets
consumption
2.0
1.0
0.0
-1.0
10
20
federal funds rate
consumption
1.2
1.2
0.4
0.6
-0.4
0.0
-1.2
-0.6
10
20
10
20
federal funds rate
consumption
0.6
0.8
0.2
-0.2
0.0
-0.6
-1.0
-0.8
10
20
10
20
1954:1 to 1971:1
liabilities
tangible assets
1.0
0.6
0.2
-0.2
-0.6
10
20
10
20
3
1
-1
-3
2
0
10
20
-2
10
20
1985:1 to 1998:4
lia bilities
tangible assets
1.6
0.8
0.0
-0.8
1.0
0.0
-1.0
-2.0
2
0
10
20
-2
10
20
1999:1 to 2009:4
lia bilities
tangible assets
3
0
-3
-6
10
20
10
20
financial assets
4
2
0
-2
10
20
financial assets
6
4
2
0
-2
10
20
income
2.4
1.6
0.8
0.0
-0.8
1.5
0.5
-0.5
-1.5
financial assets
10
20
20
income
financial assets
4
0.8
2
0.0
0
-2
-0.8
10
20
4
0
-4
-8
10
10
20
income
10
20
income
1.2
0.4
-0.4
-1.2
10
20
Notes: See notes to Figure A11.
48
Percent (%)
Percent (%)
Figure A11 continued: Impulse Responses with Federal Funds Rate:
A one percent shock to Tangible Assets
federa l funds rate
consump tion
.4
0.6
0.2
.0
-0.2
-.4
-0.6
-1.0
-.8
10
20
10
20
federal funds rate
consumption
2.0
0.8
1.0
0.4
0.0
0.0
-1.0
-0.4
10
20
10
20
Percent (%)
Percent (%)
federal funds rate
1.2
0.4
-0.4
-1.2
10
20
2.0
1.0
0.0
-1.0
1.5
0.5
-0.5
-1.5
financia l assets
1.5
0.5
-0.5
-1.5
-2.5
10
20
1971:2 to 1984:4
lia bilities
tangible assets
financial assets
10
20
0.8
0.0
10
20
1.2
0.4
-0.4
-1.2
2
0
10
20
-2
1985:1 to 1998:4
liabilities
tangible ass ets
consumption
.6
.2
-.2
-.6
1954:1 to 1971:1
liabilities
ta ngible assets
1.2
0.4
-0.4
-1.2
10
20
10
20
-0.8
federal funds rate
co nsumption
1.00
.6
2.0
0.50
.2
1.0
0.00
-.2
0.0
-0.50
-1.00
-.6
-1.0
10
20
10
20
10
20
0.8
0.0
-0.8
-1.6
10
20
20
-1
10
20
10
20
-3
10
20
10
20
20
10
20
income
1.00
0.50
0.00
-0.50
-1.00
financial assets
4
0
-4
-8
10
income
1.0
0.4
-0.2
-0.8
financial assets
1
1999:1 to 2009:4
liab ilities
tangible assets
6
2
-2
-6
10
income
0.8
0.0
-0.8
-1.6
10
20
income
.6
.2
-.2
-.6
10
20
Notes: See notes to Figure A11.
49
Percent (%)
Percent (%)
Figure A11 continued: Impulse Responses with Federal Funds Rate:
A one percent shock to Financial Assets
federal funds rate
.3
.1
-.1
-.3
10
20
.2
.0
-.2
-.4
Percent (%)
10
20
.3
.1
-.1
-.3
-.5
financial assets
in come
.4
10
20
.1
0.8
-.1
0.0
-.3
10
20
.1
-.2
-0.8
10
20
1971:2 to 1984:4
liabilities
tangible assets
financial assets
.6
1.6
federal funds rate
consump tion
.4
.5
.4
-.5
.2
0.8
-.2
.1
.0
-.2
0.0
.0
-.5
-.1
-.4
-.6
-0.8
-.3
20
.3
.1
-.1
-.3
10
20
.1
-.3
10
20
20
consump tion
.25
.15
.05
-.05
-.15
federa l funds rate
-.1
10
10
20
.25
.15
.05
-.05
-.15
10
20
20
10
20
1985:1 to 1998:4
liabilities
ta ngible assets
.5
.3
.1
-.1
-.3
10
20
10
20
1999:1 to 2009:4
liabilities
ta ngible assets
consump tion
.10
.00
-.10
-.20
10
.2
.0
-.2
-.4
0.4
-0.4
10
20
-1.2
10
20
20
in come
.3
10
10
.6
.1
federa l funds rate
Percent (%)
1954:1 to 1971:1
liabilities
tangible assets
consump tion
.3
10
20
financia l assets
1.2
.3
0.6
.1
0.0
-.1
-0.6
-.3
10
20
financia l assets
0.8
0.0
-0.8
-1.6
10
20
10
20
income
10
20
income
.20
.10
.00
-.10
-.20
10
20
Notes: See notes to Figure A11.
50
Percent (%)
Percent (%)
Figure A11 continued: Impulse Responses with Federal Funds Rate:
A one percent shock to Income
federa l funds rate
financia l assets
.5
0.8
.2
0.0
-.1
-0.8
-.4
10
20
10
20
Percent (%)
1.2
0.4
-0.4
-1.2
10
20
.6
.2
-.2
-.6
10
20
1971:2 to 1984:4
federal funds rate
financial assets
lia bilities
tangible assets
0.6
.6
1.00
1.2
0.2
0.50
.2
0.4
-0.2
0.00
-.2
-0.4
-0.6
-0.50
-1.0
-.6
-1.00
-1.2
10
20
10
20
10
20
10
20
fed eral funds rate
Percent (%)
1954:1 to 1971:1
liabilities
ta ngible assets
.6
.2
-.2
-.6
10
20
fina ncial assets
.6
.3
.0
-.3
10
20
federa l funds rate
financia l assets
.8
.6
.4
.0
.2
-.4
-.2
-.8
10
20
10
20
.7
.4
.1
-.2
1985:1 to 1998:4
liabilities
tangible assets
.8
.4
.0
-.4
-.8
10
20
10
20
1999:1 to 2009:4
liabilities
ta ngible assets
2.0
1.2
0.4
-0.4
3
1
10
20
-1
10
20
financia l assets
1.0
0.0
-1.0
-2.0
10
20
income
1.2
0.4
-0.4
-1.2
financial assets
0.5
-0.5
-1.5
-2.5
10
20
10
20
financia l assets
4
2
0
-2
-4
10
20
20
income
1.2
0.4
-0.4
-1.2
financial assets
1.5
0.5
-0.5
-1.5
10
10
20
income
1.2
0.8
0.4
0.0
-0.4
10
20
income
1.2
0.8
0.4
0.0
-0.4
10
20
Notes: See notes to Figure A11.
51
Percent (%)
Figure A11 continued: Impulse Responses with Federal Funds Rate:
A 0.5 percent shock to the Federal Funds Rate
federa l funds rate
consump tion
.8
0.6
.4
0.2
.0
-0.2
-.4
-0.6
-1.0
-.8
10
20
10
20
.2
-.1
Percent (%)
-.2
-.3
-.6
Percent (%)
0.0
-0.8
10
20
federal funds rate
1.2
0.8
0.4
0.0
-0.4
10
20
20
.2
-.1
0.8
10
.1
.0
20
20
.6
-.4
10
10
.4
.0
-.4
-.8
.3
consump tion
federal funds rate
Percent (%)
1.2
0.4
-0.4
-1.2
1971:2 to 1984:4
liabilities
tangible assets
.5
federal funds rate
.4
1954:1 to 1971:1
liabilities
ta ngible assets
10
20
consumption
.4
.2
.0
-.2
10
20
.8
.4
.0
-.4
consumption
.6
.2
1.0
0.4
-.2
-.6
-0.2
-0.8
10
20
10
20
-.4
10
20
1985:1 to 1998:4
lia bilities
tangible assets
1.4
1.0
0.6
0.2
-0.2
10
20
10
20
1999:1 to 2009:4
liabilities
tangible ass ets
3
1
10
20
-1
-3
10
20
financia l assets
3
1
-1
-3
10
20
income
0.8
0.0
-0.8
-1.6
financial assets
0.2
-0.2
-0.6
-1.0
10
20
financial assets
0
-4
10
20
20
in come
.4
.2
.0
-.2
-.4
financial assets
2.0
.8
1.2
.4
0.4
.0
-0.4
-.4
10
20
8
4
10
10
20
income
10
20
income
1.00
0.50
0.00
-0.50
-1.00
10
20
Notes: See notes to Figure A11.
52