The effects of macroeconomic policies under fixed exchange rates: A Bayesian VAR analysis

Figures & data

Appendix 1: Unit root test results Table 1A. Unit root test results.

LEVELS
Exogenous - Eurozone variables:			Augmented Dickey-Fuller (ADF) test with constant and trend			Augmented Dickey-Fuller (ADF) test with constant			Phillips-Perron (PP) test with constant and trend	Phillips-Perron (PP) test with constant	Kwiatkowski-Phillips -Schmidt-Shin (KPSS) test with constant and trend	Kwiatkowski-Phillips- Schmidt-Shin (KPSS) test with constant
	Variables:		Lag length selection criteria			Lag length selection criteria
			Akaike	Schwartz	Hannan-Quin	Akaike	Schwartz	Hannan-Quin
	outputgap_emu	Stationary	−3.45*	−3.45*	−3.45*	−3.43**	−3.43**	−3.43**	−2.35	−2.34	0.061	0.064
	infl_emu	Stationary	−4.16**	−5.04***	−5.04***	−4.19***	−5.1***	−5.1***	−5.12***	−5.17***	0.043	0.046
	eur_3m	Non-stationary	−2.96	−2.96	−2.96	−2.22	−2.22	−2.22	−2.13	−1.72	0.294***	0.77***
Endogenous variables: Croatia and Macedonia
	outputgap_cr	Stationary	−1.68	−1.68	−1.68	−1.74	−1.74	−1.74	−3.62**	−3.25**	0.121*	0.154
	outputgap_mk	Stationary	−3.00	−5.31***	−3.00	−2.97**	−2.97**	−2.97**	−5.31***	−5.3***	0.104	0.104
	cabcg_cr	Stationary	−2.41	−4.8***	−4.8***	−2.49	−4.8***	−2.49	−5.13***	−5.13***	0.186**	0.189
	cabcg_mk	Stationary	−5.22***	−5.22***	−5.22***	−3.8***	−5.24***	−5.24***	−5.22***	−5.24***	0.085	0.145
	moneymarket_cr	Non-stationary	−3.06	−3.06	−2.94	−2.38	−2.38	−2.45	−3.06	−2.54	0.139*	0.78***
	moneymarket_mk	Non-stationary	−2.63	−2.63	−2.63	−1.13	−1.13	−1.13	−2.67	−1.46	0.238***	0.749***
	infl_cr	Stationary	−6.44***	−6.44***	−6.44***	−6.12***	−6.12***	−6.12***	−6.47***	−6.17***	0.081	0.270
	infl_mk	Stationary	−3.48*	−4.49***	−3.48*	−3.43**	−4.56***	−3.43**	−4.59***	−4.66***	0.087	0.085
FIRST DIFFERENCES
Exogenous - Eurozone variables:	outputgap_emu		−3.33*	−3.33*	−3.33*	−3.36**	−3.36**	−3.36**	−3.33*	−3.36**	0.051	0.052
	eur_3m		−3.85**	−3.85**	−3.85**	−3.83***	−3.83***	−3.83***	−3.92**	−3.91***	0.060	0.072
	infl_emu		−3.71**	−9.87***	−9.87***	−3.68***	−9.98***	−9.98***	−9.87***	−9.98***	0.043	0.049
Endogenous variables: Croatia and Macedonia	outputgap_cr		−6.26***	−6.26***	−6.26***	−6.3***	−6.3***	−6.3***	−6.26***	−6.3***	0.069	0.093
	outputgap_mk		−10.38***	−10.38***	−10.38***	−10.55***	−10.55***	−10.55***	−22.13***	−21.67***	0.501*	0.50*
	cabcg_cr		−7.99***	−7.99***	−7.99***	−8.04***	−8.04***	−8.04***	−12.3***	−12.42***	0.049	0.074
	cabcg_mk		−5.14***	−5.14***	−5.14***	−5.18***	−5.18***	−5.18***	−15.21***	−15.31***	0.500	0.500
	moneymarket_cr		−8.93***	−8.93***	−8.93***	−9.04***	−9.04***	−9.04***	−9.77***	−9.9***	0.134*	0.146
	moneymarket_mk		−4.13**	−3.4*	−3.4*	−4.13***	−3.46**	−3.46**	−5.76***	−5.97***	0.158*	0.135
	infl_cr		−4.63***	−8.57***	−8.57***	−4.71***	−8.67***	−8.67***	−12.73***	−12.88***	0.025	0.026
	infl_mk		−5.42***	−5.42***	−5.42***	−5.32***	−5.32***	−5.32***	−8.96***	−9.14***	0.146*	0.236

Notes: for the ADF and PP tests, ***/**/* denotes rejection of the null hypothesis of unit root at 1%, 5% and 10% level of significance respectively. For the KPSS test, ***/**/* denotes rejection of the null hypothesis of no unit root at 1%, 5% and 10% level of significance respectively.

Source: Authors’ calculations based on the data from central bank and ministry of finance websites for Croatia and Macedonia, and EUROSTAT.

Figure 1A. Impulses generated from a shock to the output gap.

Figure 2A. Impulses generated from an inflation shock.

Figure 3A. Impulses generated from a fiscal policy shock.

Figure 4A. Impulses generated from a monetary policy shock.

Figure 5A. Impulses generated from a shock to the output gap.

Figure 6A. Impulses generated from an inflation shock.

Figure 7A. Impulses generated from a fiscal policy shock.

Figure 8A. Impulses generated from a monetary policy shock.