Variance Decomposition of LM2:

Period

S.E.

LM2

EXR

IFR

LCPS

LCIC

1

0.057725

100.0000

0.000000

0.000000

0.000000

0.000000

2

0.076813

95.24680

0.150191

0.009477

2.549037

2.044492

3

0.093464

93.73310

0.171608

0.011206

4.588927

1.495162

4

0.108785

91.40150

0.177070

0.026711

7.256403

1.138318

5

0.123587

88.82029

0.176112

0.060434

9.801132

1.142034

6

0.137957

86.18641

0.173334

0.109258

12.13253

1.398474

7

0.151926

83.68921

0.169827

0.166690

14.17727

1.797011

8

0.165480

81.40647

0.166217

0.227174

15.94317

2.256973

9

0.178606

79.36427

0.162763

0.286880

17.45635

2.729733

10

0.191299

77.55782

0.159579

0.343568

18.75106

3.187971

Variance Decomposition of LCPS:

Period

S.E.

LM2

EXR

IFR

LCPS

LCIC

1

0.088269

1.309463

0.504234

0.685781

97.50052

0.000000

2

0.121403

3.129396

1.042118

1.159614

94.11820

0.550675

3

0.149967

3.339975

1.251581

1.365604

93.45045

0.592389

4

0.175195

3.546756

1.330117

1.495353

93.15496

0.472818

5

0.198460

3.669680

1.360759

1.596008

93.00275

0.370803

6

0.220154

3.763920

1.370092

1.680355

92.88191

0.303719

7

0.240577

3.835827

1.369374

1.752676

92.77548

0.266645

8

0.259914

3.893242

1.363873

1.815263

92.67623

0.251392

9

0.278301

3.939925

1.356235

1.869660

92.58336

0.250816

10

0.295846

3.978573

1.347823

1.917093

92.49689

0.259622

Variance Decomposition of LCIC:

Period

S.E.

LM2

EXR

IFR

LCPS

LCIC

1

0.103397

75.03825

0.244132

0.445003

0.253103

24.01951

2

0.131948

79.20227

0.157836

0.499701

1.357845

18.78235

3

0.156708

80.99061

0.117007

0.610578

1.535111

16.74670

4

0.178068

81.59022

0.094788

0.699348

1.778569

15.83707

5

0.197492

81.79768

0.080296

0.757616

1.974621

15.38979

6

0.215367

81.82338

0.070282

0.793404

2.153615

15.15932

7

0.232040

81.76580

0.062935

0.814407

2.312333

15.04452

8

0.247718

81.66879

0.057333

0.826065

2.454067

14.99374

9

0.262560

81.55517

0.052927

0.831894

2.580370

14.97964

10

0.276681

81.43680

0.049376

0.834116

2.693024

14.98668