Author: Massimiliano Marcellino
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
Book Description
The Reality of Real Time Estimates of the Euro Area Output Gap
Author: Massimiliano Marcellino
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
Book Description
The Reliability of Real Time Estimates of the Euro Area Output Gap
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
Book Description
This paper provides evidence on the reliability of euro area real-time output gap estimates, including those provided by the IMF, OECD and EC and a set of model based measures. A genuine real-time data set is used, including vintages of several sets of euro area output gap estimates available from 1999 to 2006. It turns out that real-time estimates of the output gap are characterised by a high degree of uncertainty, much higher than that resulting from model and estimation uncertainty only. In particular, the evidence indicates that both the magnitude and the sign of the real-time estimates of the euro area output gap are very uncertain. The uncertainty is mostly due to parameter instability, while data revisions seem to play a minor role. To benchmark our results, we repeat the analysis for the US over the same sample. It turns out that US real time estimates are much more correlated with final estimates than for the euro area, data revisions play a larger role, but overall the unreliability in real time of the US output gap measures detected in earlier studies is confirmed in the more recent period.
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
Book Description
This paper provides evidence on the reliability of euro area real-time output gap estimates, including those provided by the IMF, OECD and EC and a set of model based measures. A genuine real-time data set is used, including vintages of several sets of euro area output gap estimates available from 1999 to 2006. It turns out that real-time estimates of the output gap are characterised by a high degree of uncertainty, much higher than that resulting from model and estimation uncertainty only. In particular, the evidence indicates that both the magnitude and the sign of the real-time estimates of the euro area output gap are very uncertain. The uncertainty is mostly due to parameter instability, while data revisions seem to play a minor role. To benchmark our results, we repeat the analysis for the US over the same sample. It turns out that US real time estimates are much more correlated with final estimates than for the euro area, data revisions play a larger role, but overall the unreliability in real time of the US output gap measures detected in earlier studies is confirmed in the more recent period.
The forecasting performance of real time estimates of the euro area output gap
Author: Massimiliano Marcellino
Publisher:
ISBN:
Category : Industrial productivity
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category : Industrial productivity
Languages : en
Pages : 44
Book Description
Real time estimates of the euro area output gap : reliability and forecasting performance
Author: Massimiliano Marcellino
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The Information Content of Real-time Output Gap Estimates
Author: Gerhard Rünstler
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Should We be Surprised by the Unreliability of Real-time Output Gap Estimates? Density Estimates for the Eurozone
Author: James Mitchell
Publisher:
ISBN:
Category :
Languages : en
Pages : 47
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 47
Book Description
Measuring Output Gap: Is It Worth Your Time?
Author: Mr.Jiaqian Chen
Publisher: International Monetary Fund
ISBN: 151352786X
Category : Business & Economics
Languages : en
Pages : 28
Book Description
We apply a range of models to the U.K. data to obtain estimates of the output gap. A structural VAR with an appropriate identification strategy provides improved estimates of output gap with better real time properties and lower sensitivity to temporary shocks than the usual filtering techniques. It also produces smaller out-of-sample forecast errors for inflation. At the same time, however, our results suggest caution in basing policy decisions on output gap estimates.
Publisher: International Monetary Fund
ISBN: 151352786X
Category : Business & Economics
Languages : en
Pages : 28
Book Description
We apply a range of models to the U.K. data to obtain estimates of the output gap. A structural VAR with an appropriate identification strategy provides improved estimates of output gap with better real time properties and lower sensitivity to temporary shocks than the usual filtering techniques. It also produces smaller out-of-sample forecast errors for inflation. At the same time, however, our results suggest caution in basing policy decisions on output gap estimates.
Estimating the Euro Area Output Gap Using Multivariate Information and Addressing the COVID-19 Pandemic
Author: James C. Morley
Publisher:
ISBN: 9789289953030
Category :
Languages : en
Pages : 0
Book Description
We estimate the euro area output gap by applying the Beveridge-Nelson decomposition based on a large Bayesian vector autoregression. Our approach incorporates multivariate information through the inclusion of a wide range of variables in the analysis and addresses data issues associated with the COVID-19 pandemic. The estimated output gap lines up well with the CEPR chronology of the business cycle for the euro area and we find that hours worked, more than the unemployment rate, provides the key source of information about labor utilization in the economy, especially in pinning down the depth of the output gap during the COVID-19 recession when the unemployment rate rose only moderately. Our findings suggest that labor market adjustments to the business cycle in the euro area occur more through the intensive, rather than extensive, margin.
Publisher:
ISBN: 9789289953030
Category :
Languages : en
Pages : 0
Book Description
We estimate the euro area output gap by applying the Beveridge-Nelson decomposition based on a large Bayesian vector autoregression. Our approach incorporates multivariate information through the inclusion of a wide range of variables in the analysis and addresses data issues associated with the COVID-19 pandemic. The estimated output gap lines up well with the CEPR chronology of the business cycle for the euro area and we find that hours worked, more than the unemployment rate, provides the key source of information about labor utilization in the economy, especially in pinning down the depth of the output gap during the COVID-19 recession when the unemployment rate rose only moderately. Our findings suggest that labor market adjustments to the business cycle in the euro area occur more through the intensive, rather than extensive, margin.
Second-Generation Fiscal Rules
Author: Luc Eyraud
Publisher: International Monetary Fund
ISBN: 1484350936
Category : Business & Economics
Languages : en
Pages : 132
Book Description
Fiscal rule frameworks have evolved significantly in response to the global financial crisis. Many countries have reformed their fiscal rules or introduced new ones with a view to enhancing the credibility of fiscal policy and providing a medium-term anchor. Enforcement and monitoring mechanisms have also been upgraded. However, these innovations have made the systems of rules more complicated to operate, while compliance has not improved. The SDN takes stock of past experiences, reviews recent reforms, and presents new research on the effectiveness of rules. It also proposes guiding principles for future reforms to strike a better balance between simplicity, flexibility, and enforceability. Read the blog
Publisher: International Monetary Fund
ISBN: 1484350936
Category : Business & Economics
Languages : en
Pages : 132
Book Description
Fiscal rule frameworks have evolved significantly in response to the global financial crisis. Many countries have reformed their fiscal rules or introduced new ones with a view to enhancing the credibility of fiscal policy and providing a medium-term anchor. Enforcement and monitoring mechanisms have also been upgraded. However, these innovations have made the systems of rules more complicated to operate, while compliance has not improved. The SDN takes stock of past experiences, reviews recent reforms, and presents new research on the effectiveness of rules. It also proposes guiding principles for future reforms to strike a better balance between simplicity, flexibility, and enforceability. Read the blog
An Exploration of Real-time Revisions of Output Gap Estimates Across European Countries
Author: Pablo Hernández de Cos
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description