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- Data were spliced keeping the original data from the European Commission and constructing earlier data using percentage point changes observed in the van Vliet and Caminada (2012) dataset; Annual data were interpolated using Denton’s method.
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- Index (2000=100) GVAR database, IMF International Financial Statistics database, OECD National Accounts database, Eurostat The primary source is the GVAR 2013 Vintage database. The IMF International Financial Statistics (IFS) database was also consulted for Portugal and Denmark, GDP Volume (2005=100). Data for Denmark were seasonally adjusted using the U.S. Census Bureau’s ARIMA X12. Statistics for Luxembourg and Ireland, were obtained from the OECD National Accounts database. The most extensive adjustments were made to data pertinent to Greece.
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- Index (2000=100) OECD, Eurostat (for Greece) The data were logarithmically transformed.
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- Inflation (CPI) Q-o-Q difference of consumer price index for all items Index OECD, own calculations 2010=100, seasonally adjusted using arima x12. The index was logarithmically transformed. Variable Definition Measure Source Adjustments Unemployment rate Number of unemployed persons as a percentage of the labor force with a seasonal adjustment.
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- Output gap Cyclical component of real gross domestic product filtered with the Hodrick Prescott filter (λ = 1600) Source and definition of GDP as in this Table Own calculations Short term interest rate 3-month money market rates Percentage Eurostat; Swedish data for 1982Q1 -1986Q4 was taken from the OECD database Variable Definition Measure Source Adjustments Real gross domestic product Value of all final goods and services produced within an economy per quarter/year, taking into account changes in the general price level.
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Owyang, M.T., Ramey, V.A., Zubairy, S., 2013. Are Government Spending Multipliers Greater during Periods of Slack? Evidence from Twentieth-Century Historical Data. American Economic Review 103, 129–134. URL: https://ideas.repec.org/a/aea/ aecrev/v103y2013i3p129-34.html.
- P̃ (w) u 0 I − P̃ (w) z (m)0 a (m) − 1 T I − P̃ (w) z (m)0 a (m) 0 P̃ (w) u = 1 T u0 u + 2 1 √ T 1 √ T z (m)0 a (m) 0 I − P̃ (w) 0 u − 2 1 T u0 P̃ (w) u + LT (w) , from the standard properties of the projection matrix (symmetry and idempotence). Following Cheng and Hansen (2015), call r1T (w) = 1 √ T z (m)0 a (m) 0 I − P̃ (w) 0 u and r2T (w) = u0 P̃ (w) u − Ã̂2 T P m=1 w (m) dim (zt (m)) (refer to the criterion in the equation (4.3)), it then follows that CT (w) = 1 T u0 u + 2 1 √ T r1T (w) − 2 1 T r2T (w) + LT (w) .
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- Percentage Eurostat Labour Market database, IMF International Financial Statistics database, OECD Labour database Q1 1983 - Q2 1998 data for Greece was interpolated from OECD annual data using Denton’s interpolation method. For Austria, Finland and Germany, where Eurostat quarterly unemployment data were not available, it was constructed from annual IMF data using Chow-Lin interpolation method (quarterly indicator series was constructed from quarterly registered unemployed series and interpolated annual labor force series). In the case of Spain, as Eurostat and OECD annual data for this country exhibit certain differences, Eurostat annual data were extrapolated using annual OECD data and then the latter annual series was interpolated using Chow-Lin method (quarterly indicator series was constructed from quarterly registered unemployed series and interpolated annual labor force series). The data were also logarithmically transformed.
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Turrini, A., Koltay, G., Pierini, F., Goffard, C., Kiss, A., 2014. A Decade of Labour Market Reforms in the EU: Insights from the LABREF database. Economic Papers 522. European Commission.
- Unemployment replacement rate Proportion of net in-work income that is maintained when unemployed. The OECD summary measure is defined as the average of the gross unemployment benefit replacement rates for two earnings levels, three family situations and three durations of unemployment. For further details, see OECD (1994), The OECD Jobs Study (chapter 8) and Martin J. (1996), ‘Measures of Replacement Rates for the Purpose of International Comparisons: A Note’, OECD Economic Studies, No. 26. Pre-2003 data have been revised.
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- Values between 0 and 1 (before log transformation) OECD, Eurostat, van Vliet and Caminada (2012) Biannual data were interpolated to quarterly frequency using Denton’s method.
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Wan, A.T., Zhang, X., Zou, G., 2010. Least squares model averaging by Mallows criterion. Journal of Econometrics 156, 277 – 283. URL: http: //www.sciencedirect.com/science/article/pii/S0304407609002838, doi:https:// doi.org/10.1016/j.jeconom.2009.10.030.
- What Cheng and Hansen (2015) prove is the convergence in distribution of r1T (w) and r2T (w) to mean-zero random variables. Using results in Bai and Ng (2006), estimated projection using unobserved factors may be approximated by the true projection and the estimated factors span column space of the true factors, u0 P̃ (w) u = u0 P (w) u + op (1) . Clearly, r1T (w) = Op T−1/2 and r2T (w) = Op (T−1 ) , whereas LT (w) is non-zero for any w as long as we rule out a degenerate case with a true model receiving a full weight.
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- With MP interaction No MP interaction 0 200 400 600 800 1000 0.00 0.02 0.04 0.06 0.08 0.10 Unemployment response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 0.00 0.02 0.04 0.06 0.08 0.10 Unemployment response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 0.00 0.02 0.04 0.06 0.08 0.10 Unemployment response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 0.00 0.02 0.04 0.06 0.08 Unemployment response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 0.00 0.04 0.08 Unemployment response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 0.00 0.05 0.10 Unemployment response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 0.00 0.05 0.10 Unemployment response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 0.00 0.05 0.10 Unemployment response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 0.000 0.005 0.010 GDP response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.015 −0.005 0.005 CPI response to rep. rate %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.02 0.00 0.02 0.04 CPI response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.02 0.00 0.02 0.04 CPI response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.03 −0.01 0.00 0.01 0.02 CPI response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.03 −0.01 0.00 0.01 0.02 CPI response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.03 −0.01 0.00 0.01 0.02 CPI response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.03 −0.01 0.01 0.02 CPI response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.03 −0.01 0.01 0.02 CPI response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.03 −0.01 0.01 0.02 CPI response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.06 −0.02 0.02 0.04 GDP response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.06 −0.02 0.02 0.04 GDP response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.06 −0.02 0.02 0.04 GDP response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.06 −0.02 0.02 0.04 GDP response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.06 −0.02 0.02 0.04 GDP response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.06 −0.02 0.02 0.04 GDP response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.15 −0.05 0.05 0.10 REER response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.15 −0.05 0.05 REER response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.15 −0.10 −0.05 0.00 GDP response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.2 0.0 0.2 0.4 0.6 0.8 CPI response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.2 0.0 0.2 0.4 0.6 0.8 CPI response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.2 0.0 0.2 0.4 0.6 0.8 CPI response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.2 0.0 0.2 0.4 0.6 0.8 CPI response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.2 0.0 0.2 0.4 0.6 0.8 CPI response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.2 0.0 0.2 0.4 0.6 0.8 CPI response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.2 0.0 0.2 0.4 CPI response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.2 −0.1 0.0 0.1 REER response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.2 −0.1 0.0 0.1 REER response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.2 −0.1 0.0 0.1 REER response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.3 −0.2 −0.1 0.0 0.1 0.2 REER response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.3 −0.2 −0.1 0.0 0.1 0.2 REER response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.3 −0.2 −0.1 0.0 0.1 0.2 REER response to ALMP %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.5 0.0 0.5 GDP response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.5 0.0 0.5 GDP response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −0.5 0.0 0.5 GDP response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −1.0 −0.5 0.0 0.5 1.0 GDP response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −1.0 −0.5 0.0 0.5 1.0 GDP response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −1.0 −0.5 0.0 0.5 1.0 GDP response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −1.5 −1.0 −0.5 0.0 0.5 1.0 Unemployment response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −1.5 −1.0 −0.5 0.0 0.5 1.0 Unemployment response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −1.5 −1.0 −0.5 0.0 0.5 1.0 Unemployment response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −1.5 −1.0 −0.5 0.0 0.5 Unemployment response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −1.5 −1.0 −0.5 0.0 0.5 Unemployment response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −1.5 −1.0 −0.5 0.0 0.5 Unemployment response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −1.5 −1.0 −0.5 0.0 REER response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −2.0 −1.0 0.0 0.5 1.0 GDP response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −2.0 −1.5 −1.0 −0.5 0.0 REER response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −3 −2 −1 0 1 GDP response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −4 −3 −2 −1 0 REER response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −4 −3 −2 −1 0 REER response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −4 −3 −2 −1 0 REER response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −4 −3 −2 −1 0 REER response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −4 −3 −2 −1 0 REER response to EPL %
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- With MP interaction No MP interaction 0 200 400 600 800 1000 −4 −3 −2 −1 0 REER response to EPL %
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- With MP interaction No MP interaction Figure B.21: Variation of average responses in macroeconomic variables to the 1% increase in labor market policies (replacement rate, ALMP and EPL), 1st quarter B.4.2 Horizon: 4th Quarter Replacement rate Spending on ALMP EPL Inflation 0 200 400 600 800 1000 −0.08 −0.06 −0.04 −0.02 0.00 CPI response to rep. rate %
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- With MP interaction No MP interaction Figure B.22: Variation of average responses in macroeconomic variables due to the 1% increase in labor market policies (replacement rate, ALMP and EPL), 4th quarter B.4.3 Horizon: 8th Quarter Replacement rate Spending on ALMP EPL Inflation 0 200 400 600 800 1000 −0.08 −0.06 −0.04 −0.02 0.00 CPI response to rep. rate %
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- With MP interaction No MP interaction Figure B.23: Variation of average responses in macroeconomic variables due to the 1% increase in labor market policies (replacement rate, ALMP and EPL), 8th quarter B.4.4 Cross-sectional Dependence (Horizon: 4th Quarter) Replacement rate Spending on ALMP EPL Inflation 0 200 400 600 800 1000 −0.015 −0.005 0.005 CPI response to rep. rate %
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- With MP interaction No MP interaction Figure C.21: Variation of average responses in macroeconomic variables to the 1% increase in labor market policies (replacement rate, ALMP and EPL), 1st quarter C.4.2 Horizon: 4th Quarter Replacement rate Spending on ALMP EPL Inflation 0 200 400 600 800 1000 −0.06 −0.04 −0.02 0.00 CPI response to rep. rate %
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- With MP interaction No MP interaction Figure C.22: Variation of average responses in macroeconomic variables due to the 1% increase in labor market policies (replacement rate, ALMP and EPL), 4th quarter C.4.3 Horizon: 8th Quarter Replacement rate Spending on ALMP EPL Inflation 0 200 400 600 800 1000 −0.06 −0.04 −0.02 0.00 CPI response to rep. rate %
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- With MP interaction No MP interaction Figure C.23: Variation of average responses in macroeconomic variables due to the 1% increase in labor market policies (replacement rate, ALMP and EPL), 8th quarter C.4.4 Cross-sectional Dependence (Horizon: 4th Quarter) Replacement rate Spending on ALMP EPL Inflation 0 200 400 600 800 1000 −0.015 −0.005 0.005 CPI response to rep. rate %
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- With MP interaction No MP interaction Real GDP 0 200 400 600 800 1000 −0.005 0.000 0.005 0.010 GDP response to rep. rate %
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- With MP interaction No MP interaction Real GDP 0 200 400 600 800 1000 −0.030 −0.020 −0.010 0.000 GDP response to rep. rate %
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- With MP interaction No MP interaction Real GDP 0 200 400 600 800 1000 −0.030 −0.020 −0.010 0.000 GDP response to rep. rate %
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- With MP interaction No MP interaction Real GDP 0 200 400 600 800 1000 −0.030 −0.020 −0.010 0.000 GDP response to rep. rate %
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- With MP interaction No MP interaction Real GDP 0 200 400 600 800 1000 −0.04 0.00 0.02 0.04 GDP response to rep. rate %
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- With MP interaction No MP interaction Real GDP 0 200 400 600 800 1000 −0.04 −0.02 0.00 0.02 GDP response to rep. rate %
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- With MP interaction No MP interaction Real GDP 0 200 400 600 800 1000 −0.04 −0.02 0.00 0.02 GDP response to rep. rate %
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- With MP interaction No MP interaction Real GDP 0 200 400 600 800 1000 −0.04 −0.02 0.00 0.02 GDP response to rep. rate %
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- With MP interaction No MP interaction REER 0 200 400 600 800 1000 0.0 0.2 0.4 0.6 REER response to rep. rate %
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- With MP interaction No MP interaction REER 0 200 400 600 800 1000 0.0 0.2 0.4 0.6 REER response to rep. rate %
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- With MP interaction No MP interaction REER 0 200 400 600 800 1000 0.0 0.2 0.4 0.6 REER response to rep. rate %
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- With MP interaction No MP interaction REER 0 200 400 600 800 1000 0.0 0.2 0.4 0.6 REER response to rep. rate %
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- With MP interaction No MP interaction REER 0 200 400 600 800 1000 0.0 0.2 0.4 0.6 REER response to rep. rate %
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- With MP interaction No MP interaction REER 0 200 400 600 800 1000 0.0 0.2 0.4 0.6 REER response to rep. rate %
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- With MP interaction No MP interaction REER 0 200 400 600 800 1000 −0.2 −0.1 0.0 0.1 0.2 0.3 REER response to rep. rate %
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- With MP interaction No MP interaction REER 0 200 400 600 800 1000 −0.2 −0.1 0.0 0.1 0.2 0.3 REER response to rep. rate %
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- With MP interaction No MP interaction Unemployment 0 200 400 600 800 1000 0.00 0.01 0.02 0.03 0.04 Unemployment response to rep. rate %
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- With MP interaction No MP interaction Unemployment 0 200 400 600 800 1000 0.00 0.01 0.02 0.03 0.04 Unemployment response to rep. rate %
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- With MP interaction No MP interaction Unemployment 0 200 400 600 800 1000 0.00 0.01 0.02 0.03 0.04 Unemployment response to rep. rate %
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- With MP interaction No MP interaction Unemployment 0 200 400 600 800 1000 −0.005 0.005 0.015 0.025 Unemployment response to rep. rate %
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- With MP interaction No MP interaction Unemployment 0 200 400 600 800 1000 −0.005 0.005 0.015 0.025 Unemployment response to rep. rate %
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- With MP interaction No MP interaction Unemployment 0 200 400 600 800 1000 −0.005 0.005 0.015 0.025 Unemployment response to rep. rate %
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- With MP interaction No MP interaction Unemployment 0 200 400 600 800 1000 −0.10 −0.05 0.00 0.05 0.10 Unemployment response to rep. rate %
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- With MP interaction No MP interaction Unemployment 0 200 400 600 800 1000 −0.2 −0.1 0.0 0.1 0.2 Unemployment response to rep. rate %
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