A. Data appendix
A.2 Nation-specific variable construction
A.2.6 Belgium
GDP: This is constructed by splicing two series. The first is gross domestic product in billions of
Belgian francs using 1990 prices, seasonally adjusted, which begins in 1984:1. For 1980:1–1983:4, I use a discontinued gross domestic product series in billions of Belgian francs using 1985 prices, seasonally adjusted. The latter series is reindexed so that the 1984:1 values of the two series are equal.
Import price index: This is the quarterly average of the monthly imported goods producer price index
(1990=100), not seasonally adjusted. It is available beginning in 1980, which matches the period for which GDP is available. The series is seasonally adjusted by regressing the log difference of the series on quarterly dummy variables.
PPI: This is constructed by splicing two series. The first is the quarterly average of the monthly index
of producer prices for domestic sales of finished manufactures (1990=100), not seasonally adjusted, which begins in 1980:1. Prior to that, I use a discontinued quarterly average of the monthly index of producer prices for finished manufactures (1980=100), not seasonally adjusted. The latter series is
reindexed so that the 1980:1 values of the two series are equal. The spliced series is seasonally adjusted in the same manner as the import price index series.
CPI: This is constructed by splicing three series. The first is the quarterly average of the monthly
general consumer price index (1996=100), seasonally adjusted, which begins in 1991:1. The second is the quarterly average of a discontinued monthly general consumer price index (1980=100), seasonally adjusted, which begins in 1980:1. The second series is reindexed to the 1991:1 value of the first series. The third series is the quarterly average of another discontinued monthly general consumer price index (1980=100), seasonally adjusted, which begins in 1970:1. The third series is reindexed to the 1980:1 value of the reindexed second series.
A.2.7 Netherlands
GDP: This is gross domestic product in millions of Dutch guilders using 1990 prices at purchasers’
values, seasonally adjusted.
Import price index: This is constructed by splicing two series. The first is the quarterly average of the
monthly general import price index (1990=100), not seasonally adjusted, which begins in 1981:1. Prior to that, I use the unit value of total imports (1990=100), not seasonally adjusted. The latter series is reindexed so that the 1981:1 values of the two series are equal. The spliced series is seasonally adjusted by regressing the log difference of the series on quarterly dummy variables.
PPI: This is the quarterly average of the monthly producer price index excluding exports and imports
(1990=100), not seasonally adjusted. The series is seasonally adjusted in the same manner as the import price series.
CPI: This is the quarterly average of the monthly all-items consumer price index for all households
(1995=100), seasonally adjusted.
A.2.8 Sweden
GDP: This is constructed by splicing two series. The first is gross domestic product in millions of
Swedish kronor using 1991 prices, not seasonally adjusted, which begins in 1980:1. Prior to that, I use a discontinued gross domestic product series in millions of Swedish kronor using 1980 prices, not seasonally adjusted. The latter series is reindexed so that the 1980:1 values of the two series are equal to the 1980:1 value of the 1991-price series. The resulting series is seasonally adjusted using the US
Census X-11 program.23
23
Seasonally adjusting by regressing the log difference of the not seasonally adjusted series on quarterly dummy variables had no substantive effect on the results.
Import price index: This is constructed by splicing two series. The first is the quarterly average of the
monthly general import price index (1990=100), not seasonally adjusted, which begins in 1990:1. Prior to that, I use the quarterly average of a discontinued monthly index of import prices (ISIC 1–3, 1968=100), not seasonally adjusted. The latter series is reindexed so that the 1990:1 values of the two series are equal. The spliced series is seasonally adjusted by regressing the log difference of the series on quarterly dummy variables.
PPI: This is constructed by splicing two series. The first is the quarterly average of the monthly
producer price index for home sales (1990=100), not seasonally adjusted, which begins in 1990:1. Prior to that, I use the quarterly average of the monthly general domestic supply price index (1968=100), not seasonally adjusted. The latter series is reindexed so that the 1990:1 values of the two series are equal. The spliced series is seasonally adjusted in the same manner as the import price series.
CPI: This is the quarterly average of the monthly all-items consumer price index (1980=100), not
seasonally adjusted. The series is seasonally adjusted in the same manner as the import price series.
A.2.9 Switzerland
GDP: The construction of this series is similar to that of the Swedish GDP series. The primary series
is gross domestic product in millions of Swiss francs using 1990 prices, not seasonally adjusted, which begins in 1980:1. Prior to that, I use a discontinued gross domestic product series in millions of Swiss francs using 1980 prices, not seasonally adjusted. The series are spliced in the same manner as the Swedish GDP series were spliced, and the resulting series is seasonally adjusted using the US Census
X-11 program.24
Import price index: This is the quarterly average of the monthly general import price index (May
1993=100), not seasonally adjusted. The series is seasonally adjusted by regressing the log difference of the series on quarterly dummy variables.
PPI: This is the quarterly average of the monthly producer price index excluding imports (May
1993=100), not seasonally adjusted. The series is seasonally adjusted in the same manner as the import price series.
CPI: This is the quarterly average of the monthly all-items consumer price index (May 1993=100),
not seasonally adjusted. The series is seasonally adjusted in the same manner as the import price series.
24
Again, seasonally adjusting by regressing the log difference of the series on quarterly dummy variables had little impact on the results.
Table A1
Variance decomposition of import prices
Percentage of forecast variance attributed to:
Country Forecast
horizon
Oil prices Output gap Exchange
rate
Import prices PPI CPI
United States 0 40.7 7.1 16.3 35.9 0.0 0.0 1 55.5 9.5 12.9 21.3 0.3 0.6 4 54.2 19.6 9.2 13.7 0.2 3.1 8 41.5 29.4 14.5 9.7 0.7 4.2 Japan 0 46.3 2.1 24.3 27.3 0.0 0.0 1 70.4 1.0 17.4 10.8 0.1 0.3 4 81.2 0.4 9.8 4.2 1.9 2.6 8 78.1 3.7 4.6 5.6 4.9 3.1 Germany 0 42.2 0.0 26.4 31.3 0.0 0.0 1 49.2 0.8 21.0 28.7 0.1 0.1 4 50.2 2.8 18.5 26.7 0.7 1.2 8 49.8 5.3 12.7 29.1 2.1 1.0 France 0 29.0 1.2 16.6 53.2 0.0 0.0 1 37.7 0.5 18.7 41.8 1.1 0.3 4 38.1 0.8 16.2 32.8 10.3 1.8 8 33.9 3.3 9.8 30.9 16.2 6.0 United Kingdom 0 19.9 0.2 44.5 35.3 0.0 0.0 1 24.6 0.1 45.4 25.4 3.8 0.7 4 22.8 0.3 38.6 27.2 10.5 0.7 8 22.3 0.6 32.4 24.8 17.5 2.4 Belgium 0 40.4 0.4 13.4 45.9 0.0 0.0 1 46.4 0.1 16.1 32.6 2.7 2.0 4 38.8 0.1 15.0 40.8 4.9 0.3 8 36.3 0.1 12.6 46.4 4.5 0.1 Netherlands 0 65.0 0.5 6.7 27.8 0.0 0.0 1 71.7 1.2 8.9 18.0 0.1 0.0 4 66.6 3.5 11.7 17.3 0.8 0.2 8 66.2 5.9 10.5 15.6 0.9 1.0 Sweden 0 43.3 0.1 27.1 29.5 0.0 0.0 1 54.2 0.2 15.8 28.3 1.1 0.4 4 48.7 2.3 4.3 38.5 3.1 3.2 8 44.5 2.8 1.8 41.5 4.4 5.1 Switzerland 0 25.0 0.4 10.8 63.9 0.0 0.0 1 28.3 1.8 7.7 58.1 0.9 3.2 4 28.5 1.8 5.1 52.6 4.6 7.3 8 26.6 1.5 2.7 50.2 12.1 6.8
Table A2
Variance decomposition of PPI
Percentage of forecast variance attributed to:
Country Forecast
horizon
Oil prices Output gap Exchange
rate
Import prices PPI CPI
United States 0 38.9 0.8 0.2 12.1 48.0 0.0 1 54.4 4.2 0.1 8.1 31.4 1.8 4 50.5 12.4 0.1 13.2 21.9 1.9 8 44.0 22.5 1.8 12.8 16.4 2.5 Japan 0 3.3 11.6 0.0 21.1 63.9 0.0 1 20.3 5.4 1.2 28.7 44.3 0.1 4 53.2 1.3 0.7 16.6 27.4 0.7 8 53.8 2.6 1.1 12.8 29.3 0.4 Germany 0 22.6 2.0 5.5 43.3 26.6 0.0 1 30.8 7.7 3.7 40.6 17.1 0.0 4 34.1 13.6 7.2 38.5 6.5 0.0 8 35.1 16.3 5.9 39.4 3.2 0.0 France 0 12.3 1.3 0.7 32.7 52.9 0.0 1 19.9 2.7 1.0 28.6 47.6 0.3 4 20.9 3.3 1.5 19.7 49.4 5.2 8 15.6 5.3 0.5 17.9 48.6 12.2 United Kingdom 0 15.9 1.1 0.1 8.7 74.2 0.0 1 22.4 0.4 1.1 7.6 68.5 0.1 4 28.2 2.3 3.3 13.0 51.8 1.4 8 27.4 6.9 4.0 11.7 47.8 2.2 Belgium 0 50.8 0.0 8.0 12.9 28.3 0.0 1 43.8 0.1 12.0 17.8 25.5 0.8 4 32.9 0.3 14.1 32.8 19.7 0.2 8 32.2 0.5 12.0 39.8 15.2 0.3 Netherlands 0 23.7 0.7 1.3 4.0 70.3 0.0 1 42.5 0.5 1.4 8.7 46.4 0.5 4 67.8 4.8 5.4 5.9 14.8 1.2 8 68.3 5.9 6.0 5.4 12.0 2.4 Sweden 0 24.9 9.0 7.0 34.7 24.5 0.0 1 31.8 6.5 3.8 35.8 22.1 0.0 4 31.6 4.7 0.9 43.7 17.6 1.5 8 28.7 2.8 0.3 45.8 18.6 3.8 Switzerland 0 1.2 2.6 0.6 33.3 62.3 0.0 1 5.9 5.0 0.5 37.4 51.1 0.1 4 10.2 5.9 0.3 32.7 49.1 1.8 8 9.8 5.2 0.5 26.5 56.4 1.7
Table A3
Variance decomposition of CPI
Percentage of forecast variance attributed to:
Country Forecast
horizon
Oil prices Output gap Exchange
rate
Import prices PPI CPI
United States 0 32.1 8.5 0.2 10.1 7.1 42.0 1 44.4 13.3 0.8 8.1 9.6 23.9 4 43.1 24.3 0.2 8.7 9.0 14.9 8 35.9 32.5 1.6 8.9 10.2 10.9 Japan 0 1.9 7.7 0.2 8.0 15.5 66.7 1 4.1 4.1 0.6 13.9 17.2 60.0 4 22.0 1.0 0.6 15.0 29.0 32.3 8 31.3 1.8 0.2 10.9 33.7 22.1 Germany 0 7.6 2.4 0.5 6.4 2.1 80.9 1 18.4 1.3 2.8 14.9 3.6 59.0 4 25.3 9.5 8.0 19.2 2.2 35.9 8 26.0 24.4 6.6 18.6 1.1 23.3 France 0 1.3 0.3 5.3 7.8 34.5 50.7 1 3.5 0.5 5.0 12.8 38.0 40.1 4 4.3 2.4 1.4 16.3 42.6 32.9 8 4.6 6.0 0.8 16.0 40.8 32.0 United Kingdom 0 3.2 2.5 0.9 2.3 45.3 45.7 1 6.3 2.6 1.1 4.3 52.0 33.8 4 14.5 5.7 0.2 10.6 42.7 26.2 8 18.2 15.4 0.4 10.0 39.5 16.7 Belgium 0 40.7 3.1 1.5 1.8 4.8 48.1 1 42.6 3.4 3.8 3.4 19.8 27.1 4 24.4 3.7 9.2 9.6 29.2 23.9 8 19.6 1.3 10.2 16.3 30.4 22.2 Netherlands 0 5.4 6.3 6.2 6.7 4.4 71.1 1 14.7 10.1 12.8 4.0 2.0 56.5 4 32.4 14.3 13.7 3.5 0.3 35.8 8 40.7 19.7 12.1 3.0 0.5 23.9 Sweden 0 1.3 7.7 1.1 9.6 3.8 76.6 1 3.7 7.0 4.0 12.7 4.4 68.2 4 15.6 4.0 1.6 21.2 6.9 50.6 8 21.5 8.3 0.4 27.0 9.8 32.9 Switzerland 0 19.8 0.1 0.0 6.2 3.6 70.3 1 36.8 1.0 0.0 7.2 6.7 48.2 4 35.0 8.1 2.1 11.5 31.2 12.2 8 24.3 13.0 3.2 13.7 41.8 4.1
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