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Improving output gap estimation : a bottom-up approach

Rathke, Alexander; Streicher, Sina - 2023

We propose a multivariate Bayesian state space model to identify potential growth and the output gap consistent with the dynamics of the underlying production sectors of the economy and those of inflation and the labor market. Our approach allows us to decompose economic fluctuations and...

Persistent link: https://www.econbiz.de/10014427292

Estimates of Russia's potential output

Janíčko, Martin; Maleček, Petr; Janíčko, Pavel - In: Mokslo darbai / Vilniaus Universitetas 100 (2021) 2, pp. 84-100

Taking into consideration the specifics of the Russian economy such as dependency on oil and gas drilling & production, and including the current context of the Western sanctions, COVID-19 pandemic, as well as somewhat idiosyncratic potential output development, the main aim of this paper is to...

Persistent link: https://www.econbiz.de/10012887941

RGAP: output gap estimation in R

Streicher, Sina - 2022

Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models … unobserved component models and offers frequentist as well as Bayesian estimation techniques. Additional functionalities include … preparation, model specification, and estimation processes using RGAP. …

Persistent link: https://www.econbiz.de/10013256541

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

Reconciling Output Gaps : Unobserved Components Model and Hodrick-Prescott Filter

Chan, Joshua C. C. - 2016

This paper reconciles two widely used trend-cycle decompositions of GDP that give markedly different estimates: the correlated unobserved components model yields output gaps that are small in amplitude, whereas the Hodrick-Prescott (HP) filter generates large and persistent cycles. By embedding...

Persistent link: https://www.econbiz.de/10012986610

Reconciling output gaps : unobserved components model and Hodrick-Prescott filter

Grant, Angelia L.; Chan, Joshua - In: Journal of economic dynamics & control 75 (2017), pp. 114-121

Persistent link: https://www.econbiz.de/10011817152

Reconciling output gaps : unobserved components model and Hodrick-Prescott filter

Chan, Joshua; Grant, Angelia L. - 2016

Persistent link: https://www.econbiz.de/10011756222

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

A multivariate unobserved components model to estimate potential output in the euro area : a production function based approach

Tóth, Máté - 2021

This paper builds an unobserved components model that combines a multivariate filter approach with a Cobb-Douglas production function. This combination allows potential output estimates to incorporate more economic structure than the traditional production function approach, while retaining the...

Persistent link: https://www.econbiz.de/10012429180

Factor productivity and potential output growth in South Africa

Kumo, Wolassa L. - 2017

Persistent link: https://www.econbiz.de/10011811346

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