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We jointly estimate the natural rate of interest, the natural rate of unemployment, expected inflation, and potential …-variation in (i) the data-generation process for inflation, which we capture via a time-varying parameters specification for the … Phillips curve portion of the model; and (ii) the volatilities of disturbances to inflation and cyclical(log) output, which we …
Persistent link: https://www.econbiz.de/10013316896
.e. standard errors, unbiasedness and conditional inflation forecasts. Real-time estimates from univariate moving average filters … and from bivariate UOC models based on output and inflation are found to be rather uninformative. Extended models, which …
Persistent link: https://www.econbiz.de/10013320195
Deutschland ist auf einem guten Weg, seine Neuverschuldung schrittweise abzubauen. Das DIW erwartet bis 2012 eine Reduktion des Defizits auf ungefähr 23 Milliarden Euro. Dies gelingt vor allem, weil die Steuereinnahmen 2011 und 2012 sprudeln und die Sozialausgaben deutlich geringer ausfallen...
Persistent link: https://www.econbiz.de/10009246664
Estimates of potential output and the neutral short-term interest rate play important roles in policy making. However, such estimates are associated with significant uncertainty and subject to significant revisions. This paper extends the structural multivariate filter methodology by adding a...
Persistent link: https://www.econbiz.de/10012913892
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 inflation forecasts from different model specifications. The version … that forecasts inflation best implies that after the 2011 sovereign debt crisis the output gap in the euro area has been …
Persistent link: https://www.econbiz.de/10012981025
We argue that in an economy with downward nominal wage rigidity, the output gap is negative on average. Because it is more difficult to cut wages than to increase them, firms reduce employment more during downturns than they increase employment during expansions. This is demonstrated in a simple...
Persistent link: https://www.econbiz.de/10012862445
One of the key elements for inflation targeting regime is the right identification of inflationary or disinflationary … unobserved component (MUC) model, relying on an explicit short run relation between the output gap and inflation rate (Phillips … to end of sample problems and exhibits closer dynamics with the inflation process than the standard output gap estimates …
Persistent link: https://www.econbiz.de/10014066132
the correlation for the entire period between each of the estimated gaps and three measures of inflation: headline … inflation, nontradables inflation and underlying inflation. The results show that the relationship between the output gap and … the inflation measures is quite weak, which questions its use as a signal of the situation of the economic activity …
Persistent link: https://www.econbiz.de/10010699053
exploits the information contained in the inflation, unemployment and private investment rates in order to estimate non … algorithm. The results suggest that only the inflation rate contains useful information in order to estimate the output gap …
Persistent link: https://www.econbiz.de/10008468252
Multivariate filters based on the Hodrick-Prescott filter are appealing because they combine the advantages of the Hodrick-Prescott filter with economic relationships. Recently, a new multivariate filter has been put forward by Hirose and Kamada (2003). In this article we apply this new filter...
Persistent link: https://www.econbiz.de/10005091277