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Real rates method: VAR-in -6 -8 -10 -10 47 52 57 62 67 72 77 82 87 92 97 Date 8 8 6 6 4 4 2 2 0 0 CORE-CPI PCE-Def CPI GDP-Def -2 Percent Percent Figure 1b. Real rates method: VAR-recursive -2 -4 -4 47 52 57 62 67 72 Date 77 82 87 92 97 Figure 1c. Real rates method: VAR-roll 8 8 6 6 4 4 2 2 0 0 Percent 10 -2 -2 CORE-CPI PCE-Def CPI -4 -4 GDP-Def -6 -6 47 52 57 62 67 72 Date 77 82 87 92 97 Percent 10 10 10 8 8 6 6 4 4 2 2 0 0 -2 Percent Percent Figure 1d. Real rates method: TVP -2 CORE-CPI CPI -4 -4 GDP-Def PCE-Def -6 -6 47 52 57 62 67 72 77 82 87 92 97 Date 10 10 8 8 6 6 4 4 2 2 0 0 -2 -2 CPI -4 -4 GDP-Def -6 -6 47 52 57 62 67 72 Date 77 82 87 92 97 Percent Percent Figure 1e. Real rates method: DRI-publ Figure 1f. Real rates method: CPI 8 8 6 6 4 4 2 2 0 0 -2 -2 Percent 10 -4 -6 VAR-in VAR-roll DRI-publ VAR-rec Percent 10 -4 -6 TVP -8 -8 47 52 57 62 67 72 Date 77 82 87 92 97 Figure 1g. Real rates method: GDP Deflator 6 6 4 4 2 2 0 0 -2 -2 -4 -4 Percent 8 -6 -8 VAR-in VAR-roll DRI-publ VAR-rec Percent 8 -6 -8 TVP -10 -10 47 52 57 62 67 72 Date 77 82 87 92 97 Figure 1h. Real rates method: PCE-Deflator 8 8 6 6 4 4 2 2 0 0 -2 -2 Percent 10 VAR-in -4 Percent 10 -4 VAR-roll VAR-rec -6 -6 TVP -8 -8 47 52 57 62 67 72 77 82 87 92 97 Date 8 8 6 6 4 4 2 2 0 0 Percent Percent Figure 1i. Real rates method: Core CPI -2 -2 VAR-in VAR-roll -4 -4 VAR-rec TVP -6 -6 47 52 57 62 67 72 Date 77 82 87 92 97 10 10 8 8 6 6 4 4 2 2 0 0 -2 -2 -4 -4 VAR-in VAR-roll VAR-rec TVP -6 -8 Percent Percent Figure 1j. Real rates method: INV-Deflator -6 -8 -10 -10 47 52 57 62 67 72 77 82 87 92 97 Date 8 8 6 6 4 4 2 2 0 0 -2 -2 -4 -4 Percent Percent Figure 1k. Real rates method: GDP-Private -6 -6 VAR-in VAR-roll VAR-rec TVP -8 -10 -8 -10 -12 -12 47 52 57 62 67 72 Date 77 82 87 92 97 Figure 2a. Real rates method VAR-in 6 4 Percent 2 0 -2 CPI PCE-def Output -4 GDP-Def Core-CPI -6 47 52 57 62 67 Date 72 77 82 87 92 97 Figure 2b. Real rates method VAR-Recursive 4 3 Percent 2 1 0 -1 -2 CPI PCE-def Output -3 -4 GDP-Def Core-CPI -5 47 52 57 62 67 Date 72 77 82 87 92 97 Figure 2c. Real rates method VAR-roll 4 Percent 2 0 -2 CPI PCE-def Output -4 -6 47 52 57 62 67 Date 72 77 82 87 GDP-Def Core-CPI 92 97 Figure 2d. Real rates method TVP 4 3 2 Percent 1 0 -1 -2 -3 CPI PCE-def Output -4 GDP-Def Core-CPI -5 47 52 57 62 67 72 77 82 87 92 97 Date Figure 2e. Real rates method DRI-publ 6 5 4 Percent 3 2 1 0 -1 -2 CPI GDP-Def Output -3 -4 -5 47 52 57 62 67 72 Date 77 82 87 92 97 Figure 2f. Real rates method CPI 5 4 3 2 Percent 1 0 -1 -2 -3 -4 VAR-in VAR-roll DRI-publ -5 VAR-rec TVP Output -6 47 52 57 62 67 72 77 82 87 92 97 Date Figure 2g. Real rates method GDP-def 4 3 2 Percent 1 0 -1 -2 -3 VAR-in VAR-roll DRI-publ -4 -5 VAR-rec TVP Output -6 47 52 57 62 67 Date 72 77 82 87 92 97 Figure 2h. Real rates method PCE-def 5 4 3 2 Percent 1 0 -1 -2 -3 -4 VAR-in VAR-roll Output -5 VAR-rec TVP -6 47 52 57 62 67 72 77 82 87 92 97 Date Figure 2i. Real rates method CORE-CPI 4 3 2 Percent 1 0 -1 -2 -3 -4 VAR-in VAR-roll Output -5 VAR-rec TVP -6 47 52 57 62 67 72 Date 77 82 87 92 97