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Author: Athanasios Orphanides
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 52
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Book Description
"A stable predictive relationship between inflation and the output gap, often referred to as a Phillips curve, provides the basis for countercyclical monetary policy in many models. In this paper, we evaluate the usefulness of alternative univariate and multivariate estimates of the output gap for predicting inflation. Many of the ex post output gap measures we examine appear to be quite useful for predicting inflation. However, forecasts using real-time estimates of the same measures do not perform nearly as well. The relative usefulness of real-time output gap estimates diminishes further when compared to simple bivariate forecasting models which use past inflation and output growth. Forecast performance also appears to be unstable over time, with models often performing differently over periods of high and low inflation. These results call into question the practical usefulness of the output gap concept for forecasting inflation"--Abstract.
Author: Athanasios Orphanides
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 52
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Book Description
"A stable predictive relationship between inflation and the output gap, often referred to as a Phillips curve, provides the basis for countercyclical monetary policy in many models. In this paper, we evaluate the usefulness of alternative univariate and multivariate estimates of the output gap for predicting inflation. Many of the ex post output gap measures we examine appear to be quite useful for predicting inflation. However, forecasts using real-time estimates of the same measures do not perform nearly as well. The relative usefulness of real-time output gap estimates diminishes further when compared to simple bivariate forecasting models which use past inflation and output growth. Forecast performance also appears to be unstable over time, with models often performing differently over periods of high and low inflation. These results call into question the practical usefulness of the output gap concept for forecasting inflation"--Abstract.
Author: Orphanides, Athanasios
Publisher: Montréal : CIRANO
ISBN:
Category :
Languages : en
Pages : 49
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Book Description
Author: Athanasios Orphanides
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Athanasios Orphanides
Publisher:
ISBN:
Category :
Languages : en
Pages : 49
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Mr.Jens R. Clausen
Publisher: International Monetary Fund
ISBN: 1451963386
Category : Business & Economics
Languages : en
Pages : 23
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Book Description
This paper simulates out-of-sample inflation forecasting for Germany, the UK, and the US. In contrast to other studies, we use output gaps estimated with unrevised real-time GDP data. This exercise assumes an information set similar to that available to a policymaker at a given point in time since GDP data is subject to sometimes substantial revisions. In addition to using real-time datasets for the UK and the US, we employ a dataset for real-time German GDP data not used before. We find that Phillips curves based on ex post output gaps generally improve the accuracy of inflation forecasts compared to an AR(1) forecast but that real-time output gaps often do not help forecasting inflation. This raises the question how operationally useful certain output gap estimates are for forecasting inflation.
Author: Josefine Quast
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Pierre Guérin
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Ali Alichi
Publisher: International Monetary Fund
ISBN: 1484366328
Category : Business & Economics
Languages : en
Pages : 31
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Book Description
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 monetary policy block, which allows estimating the neutral rate of interest for the U.S. economy. The addition of the monetary policy block further improves the reliability of the structural multivariate filter.
Author: Michael Graff
Publisher:
ISBN:
Category : Banks and banking, Central
Languages : en
Pages : 64
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Book Description
