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Reliable real-time output gap estimates based on a modified Hamilton filter
Quast, Josefine; Wolters, Maik H. - 2019 - Preliminary Draft
as potential GDP. A simple modification that is based on the mean of 4- to 12-quarter-ahead forecast errors shares the … and a smooth estimated trend. Based on output growth and inflation forecasts and a comparison to revised output gap …
Persistent link: https://www.econbiz.de/10012268018
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Reliable real-time output gap estimates based on a modified Hamilton filter
Quast, Josefine; Wolters, Maik H. - 2019
and inflation forecasts and a comparison to revised output gap estimates from policy institutions, they find that real …
Persistent link: https://www.econbiz.de/10011992411
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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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Indicator-based estimates of the output gap in the euro area
Weiske, Sebastian - 2019
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...
Persistent link: https://www.econbiz.de/10012309596
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Indicator-based estimates of the output gap in the euro area
Weiske, Sebastian - 2018
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...
Persistent link: https://www.econbiz.de/10011928277
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Nowcasting the Output Gap
Berger, Tino - 2020
We propose a way to directly nowcast the output gap using the Beveridge-Nelson decomposition based on a mixed-frequency Bayesian VAR. The mixed-frequency approach produces similar but more timely estimates of the U.S. output gap compared to those based on a quarterly model, the CBO measure of...
Persistent link: https://www.econbiz.de/10012835725
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Nowcasting the Output Gap
Berger, Tino - 2020
We propose a way to directly nowcast the output gap using the Beveridge-Nelson decomposition based on a mixed-frequency Bayesian VAR. The mixed-frequency approach produces similar but more timely estimates of the U.S. output gap compared to those based on a quarterly model, the CBO measure of...
Persistent link: https://www.econbiz.de/10012824818
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Monitoring the economy in real time : trends and gaps in real activity and prices
Hasenzagl, Thomas; Pellegrino, Filippo; Reichlin, Lucrezia - 2022
Persistent link: https://www.econbiz.de/10012820395
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Monitoring the economy in real time : trends and gaps in real activity and prices
Hasenzagl, Thomas; Pellegrino, Filippo; Reichlin, Lucrezia - 2023
Persistent link: https://www.econbiz.de/10014321020
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Norges bank output gap estimates: Forecasting properties, reliability and cyclical sensitivity
Furlanetto, Francesco; Hagelund, Kåre; Hansen, Frank; … - 2020
data on GDP, unemployment, inflation, wages, investment, house prices and credit. We evaluate the estimated output gap … model. In addition, it helps predicting inflation in pseudo real-time and exhibits limited variations when new data become …
Persistent link: https://www.econbiz.de/10012661561