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44 Deleveraging, What Deleveraging<br />
Table 4.2 Data description<br />
Variable Description Source Transformation<br />
IR 10y 10-Year Treasury Constant Maturity Rate Federal Reserve Board -<br />
IR 3m<br />
Consumption<br />
Employment<br />
S&L Gov<br />
Saving<br />
Real GDP<br />
Fed Gov<br />
Saving<br />
NR Priv Inv<br />
R Priv Inv<br />
HH Debt/PI<br />
House Prices<br />
HH Savings<br />
HH Credit<br />
Liab<br />
NFC Credit<br />
Liab<br />
Fin Bus<br />
Credit Liab<br />
CPI<br />
SP 500<br />
HH Assets/PI<br />
3-Month Treasury Bill: Secondary<br />
Market Rate<br />
Personal Consumption Expenditures<br />
All Employees: Total nonfarm<br />
Gross government saving: State and<br />
local<br />
Gross Domestic Product<br />
Gross Government Saving<br />
Private Nonresidential Fixed Investment<br />
Private Residential Fixed Investment<br />
Household Debt Service Payments as a<br />
Percent of Disposable Personal Income<br />
All-Transactions House Price Index for<br />
the United States<br />
Gross private saving: Households and<br />
institutions<br />
Households and Nonprofit<br />
Organizations; Credit Market<br />
Instruments; Liability, Level<br />
Nonfinancial Corporate Business; Credit<br />
Market Instruments; Liability<br />
Financial Business; Credit Market<br />
Instruments; Liability, Level<br />
Consumer Price Index for All Urban<br />
Consumers: All Items<br />
S&P 500 Stock Price Index<br />
Households and nonprofit<br />
organizations; total assets / Disposable<br />
Personal Income<br />
Federal Reserve Board -<br />
Bureau of Economic<br />
Analysis<br />
Bureau of Labor<br />
Statistics<br />
Bureau of Economic<br />
Analysis<br />
Bureau of Economic<br />
Analysis<br />
Bureau of Economic<br />
Analysis<br />
Bureau of Economic<br />
Analysis<br />
Bureau of Economic<br />
Analysis<br />
Log<br />
Log<br />
-<br />
Log<br />
-<br />
Log<br />
Log<br />
Federal Reserve Board -<br />
Federal Housing<br />
Finance Agency<br />
Bureau of Economic<br />
Analysis<br />
Federal Reserve Board<br />
Federal Reserve Board<br />
Federal Reserve Board<br />
Bureau of Labor<br />
Statistics<br />
S&P Dow Jones Indices<br />
LLC<br />
Federal Reserve Board;<br />
U.S. Department of<br />
Commerce: Bureau of<br />
Economic Analysis<br />
Log<br />
Log<br />
Log<br />
Log<br />
Log<br />
Log<br />
Log<br />
-<br />
Given the parameter estimates, this counterfactual is computed as conditional<br />
forecasts of the variables of interest included in the model, where the conditioning<br />
information is given by: (i) the 1983:Q1-2007:Q4 history of all variables in the<br />
model; and (ii) the observed outcomes of the level of real GDP and CPI until the<br />
end of the sample in 2013:Q3. Box 4.1 reports technical details.<br />
Figure 4.6 reports the 2.5% and 97.5% percentiles of the counterfactual forecast<br />
distributions, as a measure of the width of the distributions. Any developments<br />
outside those percentiles are identified as being ‘unlikely’ or ‘exceptional’, given