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Reliable real-time output gap estimates based on a modified Hamilton filter
Quast, Josefine; Wolters, Maik H. - 2020
meaningful real-time output gap estimates. The original filter relies on 8 quarter ahead forecast errors of a simple … potential GDP. A simple modification based on the mean of 4 to 12 quarter ahead forecast errors shares the favorable real … estimated trend. Based on output growth and inflation forecasts and a comparison to revised output gap estimates from policy …
Persistent link: https://www.econbiz.de/10012233667
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GDP Growth, Potential Output, and Output Gaps in Mexico
Faal, Ebrima - 2006
This paper analyzes the sources of Mexico's economic growth since the 1960s and compares various decompositions of historical growth into its trend and cyclical components. The role of the implied output gaps in the inflationary process is then assessed. Looking ahead, the paper presents...
Persistent link: https://www.econbiz.de/10012780663
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Reliable real-time output gap estimates based on a modified Hamilton filter
Quast, Josefine; Wolters, Maik H. - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 152-168
Persistent link: https://www.econbiz.de/10012804095
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A note on uncertainty due to infectious diseases and output growth of the United States : a mixed-frequency forecasting experiment
Salisu, Afees A.; Gupta, Rangan; Demirer, Rıza - In: Annals of financial economics 17 (2022) 2, pp. 1-9
Persistent link: https://www.econbiz.de/10013262971
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The impact of financial factors on the output gap and estimates of potential output growth
Felipe, Jesus; Sotocinal, Noli; Bayudan-Dacuycuy, Connie - 2015
The literature on the finance-growth nexus highlights the importance of the financial cycle for the estimation of potential output of an economy. We estimate potential output growth for the G-5 countries, as well as for 10 high- and middle-income Asian economies, using a multivariate model that...
Persistent link: https://www.econbiz.de/10011346261
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Growth and imbalances in Spain : a reassessment of the output gap
Alberola, Enrique; Estrada, Ángel; Santabárbara, Daniel - In: SERIEs : Journal of the Spanish Economic Association 5 (2014) 2/3, pp. 333-356
"The Great Recession" was preceded by a prolonged period of high growth accompanied by low and stable inflation, the so … other internal and external imbalances. Standard potential growth estimates, which consider inflation as the only indicator …
Persistent link: https://www.econbiz.de/10010422283
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The Impact of Financial Factors on the Output Gap and Estimates of Potential Output Growth
Felipe, Jesus - 2015
The literature on the finance-growth nexus highlights the importance of the financial cycle for the estimation of potential output of an economy. We estimate potential output growth for the G-5 countries, as well as for 10 high- and middle-income Asian economies, using a multivariate model that...
Persistent link: https://www.econbiz.de/10013009417
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A dynamic factor model for nowcasting Canadian GDP growth
Chernis, Tony; Sekkel, Rodrigo - 2017
This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data. The model is then used to generate nowcasts, predictions of the recent past and...
Persistent link: https://www.econbiz.de/10011592353
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Potential Output Growth in Several Industrialised Countries : A Comparison
Cahn, Christophe; Saint Guilhem, Arthur - 2021
In this paper, we present international comparisons of potential output growth among several economies - Canada, the Euro area, France, Germany, Italy, Japan, the Netherlands, the United Kingdom, and the United States - for the period 1991-2004. The main estimates rely on a structural approach...
Persistent link: https://www.econbiz.de/10013316775
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Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model
Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - 2019
We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent expansions, normal recessions and severe recessions. We show...
Persistent link: https://www.econbiz.de/10012098161