The Hodrick-Prescott (HP) filter is a commonly used method, particularly in potential output studies. However its suitability depends on a number of conditions. Very small open economies do not satisfy these as their macroeconomic series exhibit pronounced trends, large fluctuations and...

Hamilton (2018) argues that one should never use the Hodrick-Prescott (HP) filter to detrend economic time series and proposes an alternative approach. This comment reconsiders Hamilton's case against the HP filter, emphasizing two simple points. First, in the empirical example Hamilton...

Hamilton (2018) argues that one should never use the Hodrick-Prescott (HP) filter to detrend economic time series and proposes an alternative approach. This comment reconsiders Hamilton's case against the HP filter, emphasizing two simple points. First, in the empirical example Hamilton...

The analysis of the output gap dynamics (the difference between the observed and the non-inflationary potential output) is a widely used tool for structural models employed by central banks. In such models, the output gap is a key variable to explain the dynamics of prices and wages. However,...

Output gap revisions can be large even after many years. Real-time reliability tests might therefore be sensitive to the choice of the final output gap vintage that the real-time estimates are compared to. This is the case for the Federal Reserve's output gap. When accounting for revisions in...

Policy makers need to separate between temporary demand-driven shocks and permanent shocks in order to design optimal aggregate demand policies. In this paper we study the case of a central bank that ignores the presence of hysteresis when identifying shocks. By assuming that all low-frequency...

This study examines whether and how important it is to adjust output gap frameworks during the COVID-19 pandemic and similar unprecedentedly large-scale episodes. Our proposed modelling framework comprises a Bayesian Structural Vector Autoregresion with an identification setup based on a...

Der Aufsatz untersucht einige populäre Methoden zur Messung des Output Gaps auf der Basis von aggregierten Daten für die Euro-Zone. Obwohl die Methoden einige wichtige gemeinsame Eigenschaften aufweisen, zeigen sie auch erhebliche Unterschiede; insbesondere ist die Korrelation zwischen...

The output gap is a key variable of business cycle analysis and policy. Obtaining reliable estimates for it, is very difficult, though. Most real-time estimates are frequently revised over time. The idea of this paper is to use various indicators, for example from business surveys, that (i) were...

The output gap is a key variable of business cycle analysis and policy. Obtaining reliable estimates for it, is very difficult, though. Most real-time estimates are frequently revised over time. The idea of this paper is to use various indicators, for example from business surveys, that (i) were...