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Unobserved Components Model(s) : Output Gaps and Financial Cycles
Guillochon, Justine; Le Roux, Julien - 2023
The Global Financial Crisis established that policymakers should consider the stage of the financial cycle to better evaluate the cyclical position of the economy when designing monetary policy decisions. If financial variables are omitted from the estimations of the output gap, a common and...
Persistent link: https://www.econbiz.de/10014353253
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An Inflation-Predicting Measure of the Output Gap in the Euro Area
Jarocinski, Marek - 2016
Using a small Bayesian dynamic factor model of the euro area we estimate the deviations of output from its trend that are consistent with the behavior of inflation. We label these deviations the output gap. In order to pin-down the features of the model, we evaluate the accuracy of real-time...
Persistent link: https://www.econbiz.de/10012981025
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Mind the Output Gap : The Disconnect of Growth and Inflation During Recessions and Convex Phillips Curves in the Euro Area
Gross, Marco - 2017
We develop a theoretical model that features a business cycle-dependent relation between output, price inflation and inflation expectations, augmenting the model by Svensson (1997) with a nonlinear Phillips curve that reflects the rationale underlying the capacity constraint theory (Macklem...
Persistent link: https://www.econbiz.de/10012963916
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Price Rigidities and the Granular Origins of Aggregate Fluctuations
Pasten, Ernesto - 2017
We study the aggregate implications of sectoral shocks in a multi-sector New Keynesian model featuring sectoral heterogeneity in price stickiness, sector size, and input-output linkages. We calibrate a 341 sector version of the model to the United States. Both theoretically and empirically,...
Persistent link: https://www.econbiz.de/10012945756
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Output Growth and Fluctuations : The Role of Financial Openness
Popov, Alexander A. - 2021
I analyze output growth, volatility, and skewness as the joint outcomes of financial openness. Using an industry panel of 53 countries over 45 years, I find that financial openness increases simultaneously mean growth and the negative skewness of the growth process. The increase in output...
Persistent link: https://www.econbiz.de/10013315990
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The Effect of Durable Goods and ICT on Euro Area Productivity Growth?
Jalava, Jukka - 2008
and productivity change; when expenditure on consumer durables is recorded as capital investment. The capitalization of … consumer durables impacts both the levels and growth rates of the capital stock, productivity and GDP. Our growth accounting … productivity growth in 1995-2004. ICT's impacts were larger, i.e., one-fifth of GVA growth and one-sixth of labour productivity …
Persistent link: https://www.econbiz.de/10012770430
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Potential Output Growth in Several Industrialised Countries : A Comparison
Cahn, Christophe; Saint Guilhem, Arthur - 2021
Euro area, France, Germany, Italy, Japan, the Netherlands, the United Kingdom, and the United States - for the period 1991 …
Persistent link: https://www.econbiz.de/10013316775
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Rational Inattention and the Business Cycle Effects of Productivity and News Shocks
Maćkowiak, Bartosz; Wiederholt, Mirko - 2023
news about future productivity. By contrast, the baseline RBC model produces neither persistent growth rates nor business …
Persistent link: https://www.econbiz.de/10014353582
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Endogenous TFP, Business Cycle Persistence and the Productivity Slowdown in the Euro Area
Spitzer, Martin - 2020
This paper analyses the endogeneity of euro area total factor productivity and its role in business cycle amplification … by estimating a medium-scale DSGE model with endogenous productivity mechanism on euro area data. In this framework …, total factor productivity evolves endogenously as a consequence of costly investment in R&D and adoption of new technologies …
Persistent link: https://www.econbiz.de/10012834776
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Short-term Forecasting of the Japanese Economy Using Factor Models
Godbout, Claudia - 2012
While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor models over different samples, including the...
Persistent link: https://www.econbiz.de/10013109311