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Restricted Hodrick-Prescott filtering in a state-space framework

Jönsson, Kristian - In: Empirical economics : a journal of the Institute for … 53 (2017) 3, pp. 1243-1251

Persistent link: https://www.econbiz.de/10011893027

Canova, Fabio - 2020

I study potentials and gaps, permanent and transitory fluctuations in macroeconomic variables using the Smets and Wouter (2007) model. Model-based gaps display low frequency variations; possess more than business cycle fluctuations; have similar frequency representation as potentials, and are...

Persistent link: https://www.econbiz.de/10012161496

Estimating and accounting for the output gap with large Bayesian vector autoregressions

Morley, James C.; Wong, Benjamin - 2017

Persistent link: https://www.econbiz.de/10011747292

Real-time nowcasting the US output gap : Singular spectrum analysis at work

Carvalho, Miguelde; Rua, António - In: International journal of forecasting 33 (2017) 1, pp. 185-198

Persistent link: https://www.econbiz.de/10011754697

Global and local components of output gaps

Eckert, Florian; Mühlebach, Nina - 2021

This paper proposes a multi-level dynamic factor model to identify common components in output gap estimates. We pool multiple output gap estimates for 157 countries and decompose them into one global, eight regional, and 157 country-specific cycles. Our approach easily deals with mixed...

Persistent link: https://www.econbiz.de/10012663182

Robust real-time estimates of the German output gap based on a multivariate trend-cycle decomposition

Berger, Tino; Ochsner, Christian - 2022

The German economy is an important economic driver in the Euro-area in terms of gross domestic product, labour force and international integration. We provide a state of the art estimate of the German output gap between 1995 and 2022 and present a nowcasting scheme that accurately predicts the...

Persistent link: https://www.econbiz.de/10013370512

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

Trend-cycle decomposition after COVID

Kamber, Güneş; Morley, James C.; Wong, Benjamin - 2024

Persistent link: https://www.econbiz.de/10014520421

The estimation of potential output for Italy : an enhanced methodology

Cacciotti, Marco; Conti, Riccardo; Morea, Roberto; … - In: Rivista internazionale di scienze sociali 125 (2017) 4, pp. 351-388

Persistent link: https://www.econbiz.de/10011955534

Multivariate structural time series models with dual cycles: implications for measurement of output gap and potential growth

Moës, Philippe - 2008

enables hysteresis to be taken into account. Hysteresis is likely to show up in unemployment but it can also affect the … capital stock due to the existence of long investment cycles. In the proposed model, hysteresis may affect all the factor … be computed that are hysteresis-free and less prone to volatility. A complementary measure of the output gap that takes …

Persistent link: https://www.econbiz.de/10011506657