22-Feb-2018 13:16:50 Model dynamic properties report for round test201803 1 Response to the (shock_l_y_gap) – page 1 0 10 20 0 0.2 0.4 0.6 Real GDP Gap, % 0 10 20 0 0.02 0.04 0.06 0.08 0.1 Headline CPI Inflation, % QoQ @ar 0 10 20 0 0.02 0.04 0.06 Headline CPI Inflation, % YoY 0 10 20 0 0.01 0.02 0.03 0.04 CB Policy Interest Rate, % p.a. 0 10 20 -0.2 -0.1 0 0.1 Nominal ER Depreciation (AZN/USD), % QoQ @ar 0 10 20 -0.25 -0.2 -0.15 -0.1 -0.05 0 RER Gap, % 0 10 20 -0.04 -0.02 0 0.02 Real Interest Rates Gap 0 10 20 0 0.02 0.04 0.06 Headline CPI, 100*log 0 10 20 -0.15 -0.1 -0.05 0 0.05 Nominal Exchange Rate (AZN/USD), 100*log 22-Feb-2018 13:16:50 Model dynamic properties report for round test201803 2 Response to the (shock_dl_cpi) – page 1 0 10 20 -0.4 -0.3 -0.2 -0.1 0 Real GDP Gap, % 0 10 20 0 1 2 3 Headline CPI Inflation, % QoQ @ar 0 10 20 0 0.5 1 Headline CPI Inflation, % YoY 0 10 20 0 0.1 0.2 0.3 0.4 CB Policy Interest Rate, % p.a. 0 10 20 -1.5 -1 -0.5 0 0.5 1 Nominal ER Depreciation (AZN/USD), % QoQ @ar 0 10 20 -1.5 -1 -0.5 0 RER Gap, % 0 10 20 -0.8 -0.6 -0.4 -0.2 0 0.2 Real Interest Rates Gap 0 10 20 0 0.5 1 Headline CPI, 100*log 0 10 20 -0.5 0 0.5 1 Nominal Exchange Rate (AZN/USD), 100*log 22-Feb-2018 13:16:50 Model dynamic properties report for round test201803 3 Response to the (shock_l_azn_usd) – page 1 0 10 20 0 0.1 0.2 0.3 Real GDP Gap, % 0 10 20 0 0.5 1 Headline CPI Inflation, % QoQ @ar 0 10 20 0 0.2 0.4 0.6 Headline CPI Inflation, % YoY 0 10 20 0 0.05 0.1 0.15 0.2 0.25 CB Policy Interest Rate, % p.a. 0 10 20 0 5 10 Nominal ER Depreciation (AZN/USD), % QoQ @ar 0 10 20 0 0.5 1 1.5 2 2.5 RER Gap, % 0 10 20 -0.4 -0.3 -0.2 -0.1 0 0.1 Real Interest Rates Gap 0 10 20 0 0.2 0.4 0.6 Headline CPI, 100*log 0 10 20 0 1 2 3 Nominal Exchange Rate (AZN/USD), 100*log 22-Feb-2018 13:16:50 Model dynamic properties report for round test201803 4 Response to the (shock_ip) – page 1 0 10 20 -0.25 -0.2 -0.15 -0.1 -0.05 0 Real GDP Gap, % 0 10 20 -0.8 -0.6 -0.4 -0.2 0 Headline CPI Inflation, % QoQ @ar 0 10 20 -0.8 -0.6 -0.4 -0.2 0 Headline CPI Inflation, % YoY 0 10 20 0 0.5 1 CB Policy Interest Rate, % p.a. 0 10 20 -4 -3 -2 -1 0 Nominal ER Depreciation (AZN/USD), % QoQ @ar 0 10 20 -1 -0.8 -0.6 -0.4 -0.2 0 RER Gap, % 0 10 20 0 0.5 1 1.5 2 Real Interest Rates Gap 0 10 20 -1 -0.8 -0.6 -0.4 -0.2 0 Headline CPI, 100*log 0 10 20 -1.5 -1 -0.5 0 Nominal Exchange Rate (AZN/USD), 100*log 22-Feb-2018 13:16:50 Model dynamic properties report for round test201803 5 Response to the (shock_dl_cpi_tar) – page 1 0 10 20 0 0.05 0.1 Real GDP Gap, % 0 10 20 0 0.2 0.4 0.6 0.8 1 Headline CPI Inflation, % QoQ @ar 0 10 20 0 0.2 0.4 0.6 0.8 1 Headline CPI Inflation, % YoY 0 10 20 0 0.2 0.4 0.6 0.8 CB Policy Interest Rate, % p.a. 0 10 20 0 0.5 1 1.5 2 2.5 Nominal ER Depreciation (AZN/USD), % QoQ @ar 0 10 20 0 0.2 0.4 0.6 RER Gap, % 0 10 20 -0.6 -0.4 -0.2 0 Real Interest Rates Gap 0 10 20 0 1 2 3 4 Headline CPI, 100*log 0 10 20 0 1 2 3 4 Nominal Exchange Rate (AZN/USD), 100*log 22-Feb-2018 13:16:50 Model dynamic properties report for round test201803 6 Response to the (shock_dl_z_tnd) – page 1 0 10 20 0 0.02 0.04 0.06 0.08 0.1 Real GDP Gap, % 0 10 20 -0.1 0 0.1 0.2 0.3 Headline CPI Inflation, % QoQ @ar 0 10 20 -0.1 0 0.1 0.2 Headline CPI Inflation, % YoY 0 10 20 0 0.2 0.4 0.6 CB Policy Interest Rate, % p.a. 0 10 20 0 0.5 1 1.5 2 2.5 Nominal ER Depreciation (AZN/USD), % QoQ @ar 0 10 20 0 0.1 0.2 0.3 0.4 RER Gap, % 0 10 20 -0.8 -0.6 -0.4 -0.2 0 Real Interest Rates Gap 0 10 20 -0.05 0 0.05 0.1 0.15 0.2 Headline CPI, 100*log 0 10 20 0 0.5 1 1.5 2 Nominal Exchange Rate (AZN/USD), 100*log 22-Feb-2018 13:16:50 Model dynamic properties report for round test201803 7 Headline CPI Inflation, % YoY 0 2 4 6 8 10 12 14 16 18 20 time periods 0 20 40 60 80 100 rel.contributiontovariance(%) shock_dl_cpi_tar shock_dl_cpi shock_ip shock_i_us shock_l_azn_usd REST 0 2 4 6 8 10 12 14 16 18 20 time periods 0 1 2 3 4 5 6 absolutestandarderror 22-Feb-2018 13:16:50 Model dynamic properties report for round test201803 8 Nominal Exchange Rate (AZN/USD), 100*log 0 2 4 6 8 10 12 14 16 18 20 time periods 0 20 40 60 80 100 rel.contributiontovariance(%) shock_dl_cpi_tar shock_l_azn_usd shock_dl_z_tnd shock_dl_qoil_tnd shock_ip REST 0 2 4 6 8 10 12 14 16 18 20 time periods 0 5 10 15 20 25 absolutestandarderror 22-Feb-2018 13:16:50 Model dynamic properties report for round test201803 9 CB Policy Interest Rate, % p.a. 0 2 4 6 8 10 12 14 16 18 20 time periods 0 20 40 60 80 100 rel.contributiontovariance(%) shock_dl_cpi_tar shock_dl_qoil_tnd shock_dl_z_tnd shock_r_us_tnd shock_ip REST 0 2 4 6 8 10 12 14 16 18 20 time periods 0 1 2 3 4 5 6 absolutestandarderror 22-Feb-2018 13:16:50 Model dynamic properties report for round test201803 10 Real GDP Gap, % 0 2 4 6 8 10 12 14 16 18 20 time periods 0 20 40 60 80 100 rel.contributiontovariance(%) shock_l_y_gap shock_dl_cpi shock_l_azn_usd shock_ip shock_l_y_us_gap REST 0 2 4 6 8 10 12 14 16 18 20 time periods 0 0.5 1 1.5 2 2.5 absolutestandarderror 22-Feb-2018 13:16:50 Model dynamic properties report for round test201803 11 Growth of Real GDP, % YoY 0 2 4 6 8 10 12 14 16 18 20 time periods 0 20 40 60 80 100 rel.contributiontovariance(%) shock_dl_qoil_tnd shock_l_y_gap shock_dl_cpi shock_l_azn_usd shock_ip REST 0 2 4 6 8 10 12 14 16 18 20 time periods 0 1 2 3 4 5 absolutestandarderror 22-Feb-2018 13:16:50 Model dynamic properties report for round test201803 12 Reduced form: columns are variables, rows are shocks and states d4l_cpi l_azn_usd ip l_y_gap d4l_y shock_l_y_gap 0.03 −0.10 0.04 1.07 1.07 shock_dl_cpi 0.30 −0.14 0.15 −0.03 −0.03 shock_l_azn_usd 0.16 1.59 0.11 0.11 0.11 shock_ip −0.14 −0.71 0.82 −0.09 −0.09 shock_prem 0.08 0.51 0.34 0.06 0.06 shock_dl_z_tnd 0.07 0.72 0.33 0.06 0.06 shock_dl_cpi_tar 0.23 0.84 0.33 0.08 0.08 shock_dl_y_tnd 0.00 0.00 −0.00 0.00 0.25 shock_dl_z_ru_us_tnd 0.00 0.06 0.03 0.00 0.00 shock_r 0.00 −0.00 0.00 0.03 0.03 shock_l_qoil_gap −0.00 0.00 −0.00 0.00 0.00 shock_dl_qoil_tnd −0.01 −0.04 −0.02 −0.00 0.01 shock_l_qfood_gap 0.01 −0.03 0.01 −0.00 −0.00 shock_dl_qfood_tnd −0.00 0.00 −0.00 −0.00 −0.00 shock_i_us 0.16 0.76 0.23 0.06 0.06 shock_r_us_tnd −0.03 −0.12 0.19 0.01 0.01 shock_l_y_us_gap 0.00 −0.08 0.01 0.21 0.21 shock_dl_cpi_us 0.01 −0.05 0.01 0.01 0.01 shock_dl_cpi_ez 0.01 −0.04 0.01 0.00 0.00 shock_dl_cpi_ru 0.00 −0.02 0.00 0.00 0.00 shock_dl_cpi_ru_tar −0.00 0.01 −0.00 −0.00 −0.00 shock_dl_usd_eur 0.01 −0.02 0.00 0.00 0.00 shock_dl_usd_rub 0.00 −0.01 0.00 0.00 0.00 shock_l_y_ez_gap 0.00 −0.03 0.01 0.10 0.10 shock_l_y_ru_gap 0.00 −0.01 0.00 0.03 0.03 l_y_gap 0.02 −0.07 0.03 0.75 0.75 l_y −0.00 0.00 0.00 0.00 −0.00 l_y_tnd 0.00 0.00 0.00 0.00 1.00 dl_y −0.00 0.00 0.00 −0.00 0.00 continued on next page 22-Feb-2018 13:16:50 Model dynamic properties report for round test201803 13 d4l_y 0.00 0.00 0.00 −0.00 −0.00 dl_y_tnd 0.00 0.00 −0.00 0.00 0.23 d4l_y_yearly −0.00 −0.00 0.00 0.00 −0.00 l_y_yearly 0.00 0.00 0.00 0.00 −0.00 l_cpi 0.98 0.18 −0.03 −0.06 −0.06 dl_cpi 0.12 −0.05 0.06 −0.01 −0.01 d4l_cpi −0.00 −0.00 −0.00 −0.00 −0.00 dl_cpi_tar 0.23 0.84 0.33 0.08 0.08 l_cpi_imp −0.06 0.03 −0.03 0.01 0.01 ip −0.10 −0.53 0.62 −0.07 −0.07 prem 0.07 0.46 0.31 0.06 0.06 l_azn_usd 0.08 0.80 0.05 0.06 0.06 l_azn_usd_tar 0.00 0.00 0.00 0.00 0.00 l_z −0.00 0.00 −0.00 −0.00 −0.00 l_z_gap 0.00 0.00 −0.00 0.00 0.00 l_z_tnd −0.08 0.20 −0.05 −0.06 −0.06 dl_z_tnd 0.07 0.65 0.29 0.05 0.05 l_y_ez_gap 0.00 −0.03 0.00 0.08 0.08 l_cpi_ez 0.02 −0.06 0.02 0.02 0.02 dl_cpi_ez 0.00 −0.03 0.00 0.00 0.00 l_usd_eur 0.02 −0.06 0.02 0.02 0.02 l_y_us_gap 0.00 −0.07 0.01 0.18 0.18 dl_cpi_us 0.00 −0.02 0.00 0.00 0.00 l_cpi_us 0.05 −0.12 0.03 0.03 0.03 l_y_ru_gap 0.00 −0.01 0.00 0.03 0.03 l_cpi_ru 0.01 −0.02 0.01 0.01 0.01 dl_cpi_ru 0.00 −0.01 0.00 0.00 0.00 l_usd_rub 0.01 −0.02 0.01 0.01 0.01 l_cpi_foreign 0.00 −0.00 0.00 −0.00 −0.00 i_us 0.14 0.64 0.20 0.05 0.05 r_us_tnd −0.03 −0.11 0.18 0.01 0.01 l_cpi_foreign_tnd 0.00 0.00 0.00 0.00 0.00 dl_z_ru_us_tnd 0.00 0.04 0.02 0.00 0.00 dl_cpi_ru_tar −0.00 0.01 −0.00 −0.00 −0.00 continued on next page 22-Feb-2018 13:16:50 Model dynamic properties report for round test201803 14 l_oil −0.00 −0.00 −0.00 −0.00 −0.00 l_qoil_tnd −0.00 −0.00 −0.00 −0.00 −0.00 l_qoil_gap −0.00 0.00 −0.00 0.00 0.00 dl_qoil_tnd −0.01 −0.04 −0.02 −0.00 0.01 l_food 0.00 −0.00 −0.00 −0.00 −0.00 l_qfood_gap 0.01 −0.02 0.01 −0.00 −0.00 l_qfood_tnd −0.00 0.00 −0.00 −0.00 −0.00 dl_qfood_tnd −0.00 0.00 −0.00 −0.00 −0.00 l_y-1 0.00 −0.00 0.00 −0.00 −0.00 l_y_tnd-1 0.00 −0.00 0.00 −0.00 0.00 l_y_yearly-1 −0.00 0.00 0.00 0.00 −0.00 l_cpi-1 −0.00 0.00 0.00 −0.00 −0.00 l_azn_usd-1 −0.00 −0.00 −0.00 0.00 −0.00 l_cpi_ez-1 0.00 0.00 −0.00 −0.00 −0.00 l_cpi_us-1 −0.00 0.00 −0.00 −0.00 −0.00 l_cpi_ru-1 −0.00 −0.00 −0.00 −0.00 −0.00 l_y-2 0.00 −0.00 0.00 0.00 0.00 l_y_tnd-2 0.00 0.00 0.00 0.00 −0.00 l_y_yearly-2 0.00 0.00 0.00 0.00 −0.00 l_cpi-2 0.00 −0.00 0.00 0.00 0.00 l_azn_usd-2 −0.00 −0.00 0.00 0.00 0.00 l_cpi_ez-2 −0.00 −0.00 −0.00 −0.00 −0.00 l_cpi_us-2 −0.00 −0.00 −0.00 −0.00 −0.00 l_cpi_ru-2 0.00 −0.00 0.00 0.00 0.00 l_y-3 0.00 0.00 0.00 0.00 −1.00 l_y_tnd-3 0.00 −0.00 −0.00 −0.00 0.00 l_y_yearly-3 0.00 0.00 0.00 0.00 −0.00 l_cpi-3 −1.00 0.00 0.00 0.00 0.00 l_azn_usd-3 −0.00 −0.00 −0.00 −0.00 −0.00 l_cpi_ez-3 0.00 −0.00 −0.00 −0.00 −0.00 l_cpi_us-3 0.00 −0.00 −0.00 −0.00 −0.00 l_cpi_ru-3 0.00 0.00 0.00 0.00 0.00