Equilibrium Growth, Inflation, and Bond Yields - Duke University's ...

Table 2: Macroeconomic Moments
Data ENDO 1 ENDO 2 EXO 1 EXO 2
1st Moments
E[∆y] 2.20% 2.20% 2.20% 2.20% 2.20%
E[∆π]
2nd Moments
3.74% 3.74% 3.74% 3.74% 3.74%
σ∆c/σ∆y 0.64 0.60 0.68 0.54 0.56
σ∆l/σ∆y 0.92 0.77 0.19 0.76 0.72
σ∆i/σ∆c 4.38 4.38 2.94 4.96 4.84
σ∆s/σ∆c 3.44 3.44 2.82 - -
σ∆c 1.42% 1.42% 1.43% 1.24% 1.32%
σπ 1.64% 1.51% 1.52% 1.98% 1.99%
σw 2.04% 2.52% 2.59% 5.05% 5.35%
AC1(∆c) 0.21 0.26 0.29 0.04 0.16
This table presents first and second macroeconomic moments from the benchmark endogenous growth model (ENDO
1), endogenous growth model without monetary policy uncertainty (ENDO 2), exogenous growth model with a
deterministic trend (EXO 1), exogenous growth model with a stochastic trend (EXO 2), and the data. The models
are calibrated at a quarterly frequency and the the reported means and volatilities are annualized. Macro data are
obtained from the BEA, BLS, and NSF. The data sample is 1953-2008.
Table 3: Expected Productivity Growth Dynamics
ENDO 1 ENDO 2 EXO 2
AC1(E[∆Z]) 0.90 0.90 0.90
σ(E[∆Z]) 0.61% 0.60% 0.61%
This table reports the annualized persistence and standard deviation of the expected growth rate component of
productivity growth from the benchmark endogenous growth model (ENDO 1), the benchmark endogenous growth
model without policy uncertainty (ENDO 2), and the exogenous growth model with a stochastic trend (EXO 2).
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