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CCMMsupplementTablesAndFigures.tex
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\documentclass[12pt]{article}
\usepackage{times}
\usepackage{graphicx}
\usepackage{amsmath}
\usepackage{subcaption}
\usepackage{amsmath, amsbsy, amsfonts, dcolumn, booktabs}
\usepackage{amssymb}
\usepackage[top=1in,bottom=1in,left=1in,right=1in]{geometry}
\usepackage{setspace}
\usepackage{beamerarticle}
\usepackage{xcolor}
\usepackage{xspace}
\usepackage{rotating}
\usepackage{ifthen}
\usepackage[normalem]{ulem}
\usepackage[round]{natbib} % \usepackage[round,longnamesfirst]{natbib}
\usepackage{doi}
\usepackage{hyperref}
\usepackage{tocloft}
\usepackage{thmtools}
\usepackage[labelformat=simple]{subcaption}
\renewcommand\thesubfigure{(\alph{subfigure})}
\newcommand*{\tbd}[1][TBD]{{\fbox{\texttt{#1}}}\xspace}
\usepackage{authblk}
\renewcommand\Authsep{ }
\renewcommand\Authand{ }
\renewcommand\Authands{ and }
\renewcommand\Affilfont{\itshape\small}
\setcounter{Maxaffil}{5}
\makeatletter
\renewcommand\AB@affilsep{ \protect\Affilfont} % set to blank here, and add commas manually below so that linebreaks can also be added as needed
\renewcommand\AB@affilsepx{ \protect\Affilfont}
\makeatother
\usepackage{xr}
\makeatletter
\newcommand*{\addFileDependency}[1]{% argument=file name and extension
\typeout{(#1)}
\@addtofilelist{#1}
\IfFileExists{#1}{}{\typeout{No file #1.}}
}
\makeatother
\usepackage{bbold} % used to typeset mathbb{1}
\newcommand{\Bbbbone}{\ensuremath{\boldsymbol{\mathbb{1}}}}
\DeclareMathOperator{\indicator}{\Bbbbone}
% -- M A T H
\DeclareMathAlphabet\mathbfcal{OMS}{cmsy}{b}{n}
\renewcommand*{\vec}[1]{\ensuremath{\boldsymbol{#1}}}
\newcommand*{\mat}[1]{\ensuremath{\boldsymbol{#1}}}
\newcommand*{\partialdiff}[2]{\ensuremath{\frac{\partial #1}{\partial #2}}}
\newcommand*{\eye}{\ensuremath{\boldsymbol{I}}}
\DeclareMathOperator{\chol}{chol}
\DeclareMathOperator{\cov}{Cov}
\DeclareMathOperator{\var}{Var}
\DeclareMathOperator{\trace}{tr}
\DeclareMathOperator{\diag}{diag}
\DeclareMathOperator{\rank}{rank}
\DeclareMathOperator{\argmax}{argmax}
\DeclareMathOperator{\argmin}{argmin}
\DeclareMathOperator{\vecc}{vec}
\DeclareMathOperator{\vech}{vech}
\DeclareMathOperator{\N}{\mathcal{N}}
\DeclareMathOperator{\TN}{\mathcal{TN}}
\newcommand*{\legend}{Notes: } % for QE compliant tables
\newcommand*{\ccol}[1]{\multicolumn{1}{c}{#1}}
\newcommand*{\rcol}[1]{\multicolumn{1}{r}{#1}}
\newcommand*{\lcol}[1]{\multicolumn{1}{l}{#1}}
\newcolumntype{.}[1]{D{.}{.}{#1}}
\newcommand*{\ZstarText}{$^{\ast\ast\ast}$, $^{\ast\ast}$ and $^{\ast}$ denote significance at the 1\%, 5\% respectively 10\% level.\xspace}
\newcommand{\onlineresults}{supplementary online appendix\xspace}
\newcommand*{\datavintage}{September 2022\xspace}
\newcommand*{\sampleStop}{August 2022\xspace}
\newcommand*{\sampleStopalt}{2022:08\xspace}
\newcommand*{\fcsampleStop}{December 2017\xspace}
\newcommand*{\evalstartyear}{2009\xspace}
\newcommand*{\evalstartyearmonth}{2009:01\xspace}
% ------------------------------------------------------
% MACROS FOR TABLES AND FIGURES
% ------------------------------------------------------
\newcommand{\imagesandtables}{foo}
\graphicspath{{./\imagesandtables/}}
\newcommand{\githubrepo}{\url{https://github.com/elmarmertens/CCMMshadowrateVAR-code}}
\newcommand*{\evalend}{201712}
\newcommand*{\citekrippner}{\cite{krippner2013el,Krippner2015book}\xspace}
\newlength{\picwid}
\setlength{\picwid}{.3\textwidth}
\cftsetindents{section}{0em}{2.75em}
\cftsetindents{figure}{0em}{2em}
\cftsetindents{table}{0em}{2em}
\setlength{\cftsubsecnumwidth}{\cftsecnumwidth}
\setlength{\cftsubsubsecnumwidth}{\cftsecnumwidth}
\setlength{\cftsubsecindent}{\cftsecindent}
\setlength{\cftsubsubsecindent}{\cftsecindent}
\setcounter{tocdepth}{1}
\begin{document}
\listoftables
\listoffigures
\clearpage
\renewcommand\thetable{B.\arabic{table}}
\begin{table}
\caption{Forecast performance of shadow-rate VARs with single interest rate (incl. COVID-19)}
\label{tab:oos:ExYields:2022-08}
\begin{small}
\input{\imagesandtables/tripleComparisonQE-fredsxMD20exYield-2022-09-Standard-p12-vs-shadowrateGeneralVAR-p12-vs-nonstructuralVAR-p12-evalStart201001evalEnd202208.tex}
\end{small}
\end{table}
\clearpage
\begin{table}
\caption{Forecast performance of shadow-rate VARs w/multiple interest rates (incl. COVID-19)}
\label{tab:oos:WithYields:2022-08}
\begin{small}
\input{\imagesandtables/tripleComparisonQE-fredsxMD20-2022-09-Standard-p12-vs-nonstructuralVAR-p12-vs-blocknonstructuralVAR-p12-evalStart201001evalEnd202208.tex}
\end{small}
\end{table}
\clearpage
\begin{table}
\caption{Shadow-rate VARs compared against a linear VAR w/o short-term interest rates (incl. COVID-19)}
\label{tab:oos:OnlyLongYields:2022-08}
\begin{small}
\input{\imagesandtables/tripleComparisonQE-fredsxMD14longyields-2022-09-standardVAR-p12-vs-nonstructuralVAR-p12-vs-BlocknonstructuralVAR-p12-evalStart201001evalEnd202208.tex}
\end{small}
\end{table}
\clearpage
\renewcommand\thefigure{C.\arabic{figure}}
\begin{figure}
\setlength{\picwid}{.4\textwidth}
\caption{Parameter changes over time}
\label{fig:PAIsinceGFC0}
\begin{center}
\begin{subfigure}[b]{\picwid}
\centering\textbf{Standard VAR}\vspace{0.5\baselineskip}
\caption{intercepts}
\label{subfig:pai:standard:intercepts}
\includegraphics[width=\textwidth]{PAI-intercept-standardVARAR1SV-fredsxMD20-2022-09}
\end{subfigure}
\quad
\begin{subfigure}[b]{\picwid}
\centering\textbf{Shadow-rate VAR}\vspace{0.5\baselineskip}
\caption{intercepts}
\label{subfig:pai:nonstructural:intercepts}
\includegraphics[width=\textwidth]{PAI-intercept-ELBblocknonstructuralAR1SV-fredsxMD20-2022-09}
\end{subfigure}
\\
\begin{subfigure}[b]{\picwid}
\caption{first lag}
\label{subfig:pai:standard:lag1}
\includegraphics[width=\textwidth]{PAI-lag1-standardVARAR1SV-fredsxMD20-2022-09}
\end{subfigure}
\quad
\begin{subfigure}[b]{\picwid}
\caption{first lag}
\label{subfig:pai:nonstructural:lag1}
\includegraphics[width=\textwidth]{PAI-lag1-ELBblocknonstructuralAR1SV-fredsxMD20-2022-09}
\end{subfigure}
\\
\begin{subfigure}[b]{\picwid}
\caption{other lags}
\label{subfig:pai:standard:lagother}
\includegraphics[width=\textwidth]{PAI-lagOTHER-standardVARAR1SV-fredsxMD20-2022-09}
\end{subfigure}
\quad
\begin{subfigure}[b]{\picwid}
\caption{other lags}
\label{subfig:pai:nonstructural:lagother}
\includegraphics[width=\textwidth]{PAI-lagOTHER-ELBblocknonstructuralAR1SV-fredsxMD20-2022-09}
\end{subfigure}
\end{center}
Note: Absolute values of standardized differences in mean estimates of VAR coefficients; the estimates are standardized based on the posterior standard deviation of each coefficient generated by the linear VAR using data through 2008:11 (last month prior to first time at ELB). Shadow-rate VAR estimates are obtained from the restricted non-structural shadow-rate VAR. All estimation windows use available data since 1959:03.
\end{figure}
\begin{figure}
\setlength{\picwid}{.4\textwidth}
\caption{Parameter changes over time (ex yields)}
\label{fig:PAIsinceGFC0:exyield}
\begin{center}
\begin{subfigure}[b]{\picwid}
\centering\textbf{Standard VAR}\vspace{0.5\baselineskip}
\caption{intercepts}
\label{subfig:exyield:pai:standard:intercepts}
\includegraphics[width=\textwidth]{PAI-intercept-standardVARAR1SV-fredsxMD20exYield-2022-09}
\end{subfigure}
\quad
\begin{subfigure}[b]{\picwid}
\centering\textbf{Shadow-rate VAR}\vspace{0.5\baselineskip}
\caption{intercepts}
\label{subfig:exyield:pai:nonstructural:intercepts}
\includegraphics[width=\textwidth]{PAI-intercept-ELBblocknonstructuralAR1SV-fredsxMD20exYield-2022-09}
\end{subfigure}
\\
\begin{subfigure}[b]{\picwid}
\caption{first lag}
\label{subfig:exyield:pai:standard:lag1}
\includegraphics[width=\textwidth]{PAI-lag1-standardVARAR1SV-fredsxMD20exYield-2022-09}
\end{subfigure}
\quad
\begin{subfigure}[b]{\picwid}
\caption{first lag}
\label{subfig:exyield:pai:nonstructural:lag1}
\includegraphics[width=\textwidth]{PAI-lag1-ELBblocknonstructuralAR1SV-fredsxMD20exYield-2022-09}
\end{subfigure}
\\
\begin{subfigure}[b]{\picwid}
\caption{other lags}
\label{subfig:exyield:pai:standard:lagother}
\includegraphics[width=\textwidth]{PAI-lagOTHER-standardVARAR1SV-fredsxMD20exYield-2022-09}
\end{subfigure}
\quad
\begin{subfigure}[b]{\picwid}
\caption{other lags}
\label{subfig:exyield:pai:nonstructural:lagother}
\includegraphics[width=\textwidth]{PAI-lagOTHER-ELBblocknonstructuralAR1SV-fredsxMD20exYield-2022-09}
\end{subfigure}
\end{center}
Note: Absolute values of standardized differences in mean estimates of VAR coefficients; the estimates are standardized based on the posterior standard deviation of each coefficient generated by the linear VAR using data through 2008:11 (last month prior to first time at ELB). Shadow-rate VAR estimates are obtained from the restricted non-structural shadow-rate VAR. All estimation windows use available data since 1959:03.
\end{figure}
\end{document}