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The real-time properties of the Bank of Canada's staff output gap estimates

Champagne, Julien; Poulin-Bellisle, Guillaume; Sekkel, … - 2016

deterioration in forecast performance when inflation projections are conditioned on real time rather than on final estimates of the … same drop in magnitude. We then examine the usefulness of real-time gap estimates for forecasting inflation and find no …

Persistent link: https://www.econbiz.de/10011490884

Monetary aggregates to improve early output gap estimates in the euro area -- an empirical assessment

Boysen-Hogrefe, Jens - 2014

Output gap estimates at the current edge are subject to severe revisions. This study analyzes whether monetary aggregates can be used to improve the reliability of early output gap estimates as proposed by several theoretical models. A real-time experiment shows that real M1 can improve output...

Persistent link: https://www.econbiz.de/10010248220

Decomposing the Output Gap with Inflation Learning

Panovska, Irina; Ramamurthy, Srikanth - 2021

We incorporate adaptive learning-based inflation expectations in an Unobserved Components model in order to study the … link between inflation and the output gap. The forward-looking New Keynesian Phillips curve serves as the backbone for … modeling inflation dynamics. We find that learning based inflation forecasts not only shadow survey expectations in the pre …

Persistent link: https://www.econbiz.de/10013234838

Monetary policy and hysteresis in potential output

Kienzler, Daniel; Schmid, Kai D. - 2013

hinsichtlich der Persistenz von Output und Inflation realitätsnäher abgebildet werden können. Insbesondere jedoch erweist sich im …

Persistent link: https://www.econbiz.de/10009772964

To Respond or Not to Respond : Measures of the Output Gap in Theory and in Practice

Segal, Guy - 2019

This paper analyzes the implications of responding to either the model-based New Keynesian output gap or to its estimates, and in particular, a Hodrick-Prescott filtered output gap or a linearly detrended output gap. Responding to these estimates instead of to the “true” unobserved output...

Persistent link: https://www.econbiz.de/10012859876

Monetary Policy and Hysteresis in Potential Output

Kienzler, Daniel - 2014

We show that actively stabilizing economic activity plays a more prominent role in the conduct of monetary policy when potential output is subject to hysteresis. We augment a basic New Keynesian model by hysteresis in potential output and contrast simulation outcomes of this extended model to...

Persistent link: https://www.econbiz.de/10013057385

Monetary policy and hysteresis in potential output

Kienzler, Daniel; Schmid, Kai D. - 2013

Persistent link: https://www.econbiz.de/10009736122

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/10014343145

Dating NBER Recessions with Philadelphia Fed U.S. Coincident Economic Indices (Harmonized GDP Approach)

van Vuuren, Dwaine - 2011

We extend the work done in our “Redux” paper from Oct 2011 to find a weighted composite U.S coincident economic index (CEI) that includes non-zero weightings from all 50 states and when used in a standard Probit model, produces a perfect correlation (R2 of 1) to NBER recession dating. We...

Persistent link: https://www.econbiz.de/10013118636

Time-varying Uncertainty of the Federal Reserve’s Output Gap Estimate

Berge, Travis J. - 2021

staff of the Federal Reserve, its time-varying volatility, and time-varying, horizon-specific forecast uncertainty. Output …

Persistent link: https://www.econbiz.de/10013232683

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