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| Author | : Patrick Blagrave |
| Publisher | : International Monetary Fund |
| Total Pages | : 30 |
| Release | : 2015-04-07 |
| Genre | : Business & Economics |
| ISBN | : 1475565135 |
Download A Simple Multivariate Filter for Estimating Potential Output Book in PDF, ePub and Kindle
Estimates of potential output are an important ingredient of structured forecasting and policy analysis. Using information on consensus forecasts, this paper extends the multivariate filter developed by Benes and others (2010). Although the estimates in real time are more robust relative to those of naïve statistical filters, there is still significant uncertainty surrounding the estimates. The paper presents estimates for 16 countries and provides an example of how the filtered estimates at the end of the sample period can be improved with additional information.
| Author | : International Monetary Fund |
| Publisher | : International Monetary Fund |
| Total Pages | : 39 |
| Release | : 2010-12-01 |
| Genre | : Business & Economics |
| ISBN | : 1455210927 |
Download Estimating Potential Output with a Multivariate Filter Book in PDF, ePub and Kindle
This paper develops a simple model for measuring potential output that uses data on inflation, unemployment, and capacity utilization. We apply the model to 10 countries, in addition to the United States and the euro area. While there is a substantial amount of uncertainty around our estimates, we find that the financial crisis has resulted in a reduction in potential output.
| Author | : Patrick Blagrave |
| Publisher | : |
| Total Pages | : 30 |
| Release | : 2015 |
| Genre | : Economic forecasting |
| ISBN | : 9781484322871 |
Download A Simple Multivariate Filter for Estimating Potential Output Book in PDF, ePub and Kindle
Estimates of potential output are an important ingredient of structured forecasting and policy analysis. Using information on consensus forecasts, this paper extends the multivariate filter developed by Benes and others (2010). Although the estimates in real time are more robust relative to those of naïve statistical filters, there is still significant uncertainty surrounding the estimates. The paper presents estimates for 16 countries and provides an example of how the filtered estimates at the end of the sample period can be improved with additional information. --Abstract.
| Author | : Ali Alichi |
| Publisher | : International Monetary Fund |
| Total Pages | : 25 |
| Release | : 2017-05-04 |
| Genre | : Business & Economics |
| ISBN | : 1475598386 |
Download Multivariate Filter Estimation of Potential Output for the United States Book in PDF, ePub and Kindle
Estimates of potential output are an important component of a structured forecasting and policy analysis system. Using information on capacity utilization, this paper extends the multivariate filter developed by Laxton and Tetlow (1992) and modified by Benes and others (2010), Blagrave and others (2015), and Alichi and others (2015). We show that, although still fairly uncertain, the real-time estimates from this approach are more accurate than estimates constructed from naïve univariate statistical filters. The paper presents illustrative estimates for the United States and discusses how the end-of-sample estimates can be improved with additional information.
| Author | : Ali Alichi |
| Publisher | : International Monetary Fund |
| Total Pages | : 32 |
| Release | : 2015-12-01 |
| Genre | : Business & Economics |
| ISBN | : 1513501836 |
Download Multivariate Filter Estimation of Potential Output for the Euro Area and the United States Book in PDF, ePub and Kindle
The estimates of potential output and the output gap presented in this paper are not official IMF estimates. The programs and potential output estimates in this paper can be downloaded from www.douglaslaxton.org.The views expressed in this paper are those of the authors and do not necessarily represent those of the IMF or IMF policy. The authors would like to thank the European Department of the IMF for helpful comments. All errors and omissions are our own.
| Author | : Douglas Laxton |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 1992 |
| Genre | : Canada |
| ISBN | : |
Download A Simple Multivariate Filter for the Measurement of Potential Output Book in PDF, ePub and Kindle
| Author | : Ali; Bizimana Olivier; Domit Alichi (Silvia) |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : 9781513555607 |
Download Multivariate Filter Estimation of Potential Output for the Euro Area and the United States Book in PDF, ePub and Kindle
| Author | : Mr.Helge Berger |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2015-11-09 |
| Genre | : Business & Economics |
| ISBN | : 1513503278 |
Download Steady as She Goes—Estimating Potential Output During Financial “Booms and Busts” Book in PDF, ePub and Kindle
Potential output—in the sense of the GDP level or path an economy can sustain over the medium term—is a crucial benchmark for policymakers. However, it is difficult to estimate when financial “booms and busts” are driving the real economy. This paper uses a simple multivariate filtering approach to illustrate the role financial variables play in driving potential or sustainable output. The results suggest that it moves more steadily during financial “boom and bust” periods than implied by conventional HP filter estimates, which tend to more closely follow actual GDP. A two-region, multisector New Keynesian DSGE model with financial frictions sheds light on the economic forces that could be behind the results obtained from the filter. This has important implications for policymakers.
| Author | : Ali Alichi |
| Publisher | : International Monetary Fund |
| Total Pages | : 17 |
| Release | : 2015-06-30 |
| Genre | : Business & Economics |
| ISBN | : 1513523465 |
Download A New Methodology for Estimating the Output Gap in the United States Book in PDF, ePub and Kindle
The gap between potential and actual output—the output gap—is a key variable for policymaking. This paper adapts the methodology developed in Blagrave and others (2015) to estimate the path of output gap in the U.S. economy. The results show that the output gap has considerably shrunk since the Great Recession, but still remains negative. While the results are more robust than other existing methodologies, there is still significant uncertainty surrounding the estimates.
| Author | : Mr.Jiaqian Chen |
| Publisher | : International Monetary Fund |
| Total Pages | : 28 |
| Release | : 2020-02-07 |
| Genre | : Business & Economics |
| ISBN | : 151352786X |
Download Measuring Output Gap: Is It Worth Your Time? Book in PDF, ePub and Kindle
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.
