A Simple Multivariate Filter For The Measurement Of Potential Output PDF Download
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| 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 | : 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 | : 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 | : 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; 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 | : Ali Alichi |
| Publisher | : International Monetary Fund |
| Total Pages | : 32 |
| Release | : 2015-12-01 |
| Genre | : Business & Economics |
| ISBN | : 1513556223 |
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 | : 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 | : Ali Alichi |
| Publisher | : International Monetary Fund |
| Total Pages | : 35 |
| Release | : 2019-02-19 |
| Genre | : Business & Economics |
| ISBN | : 1498301320 |
Download Multivariate Filter Estimation of Potential Output for the United States: An Extension with Labor Market Hysteresis Book in PDF, ePub and Kindle
This paper extends the multivariate filter approach of estimating potential output developed by Alichi and others (2018) to incorporate labor market hysteresis. This extension captures the idea that long and deep recessions (expansions) cause persistent damage (improvement) to the labor market, thereby reducing (increasing) potential output. Applying the model to U.S. data results in significantly smaller estimates of output gaps, and higher estimates of the NAIRU, after the global financial crisis, compared to estimates without hysteresis. The smaller output gaps partly explain the absence of persistent deflation despite the slow recovery during 2010-2017. Going forward, if strong growth performance continues well beyond 2018, hysteresis is expected to result in a structural improvement in growth and employment.
| Author | : Michal Andrle |
| Publisher | : International Monetary Fund |
| Total Pages | : 45 |
| Release | : 2013-05-10 |
| Genre | : Business & Economics |
| ISBN | : 1484399552 |
Download What Is in Your Output Gap? Unified Framework & Decomposition into Observables Book in PDF, ePub and Kindle
This paper discusses several popular methods to estimate the ‘output gap’. It provides a unified, natural concept for the analysis, and demonstrates how to decompose the output gap into contributions of observed data on output, inflation, unemployment, and other variables. A simple bar-chart of contributing factors, in the case of multi-variable methods, sharpens the intuition behind the estimates and ultimately shows ‘what is in your output gap.’ The paper demonstrates how to interpret effects of data revisions and new data releases for output gap estimates (news effects) and how to obtain more insight into real-time properties of estimators.
| Author | : Pierre St.-Amant |
| Publisher | : |
| Total Pages | : 62 |
| Release | : 1997 |
| Genre | : Banks and banking |
| ISBN | : 9780662260196 |
Download Measurement of the Output Gap Book in PDF, ePub and Kindle
This paper discusses some methodologies for estimating potential output and the output gap that have recently been studied at the Bank of Canada. The assumptions and econometric techniques used by the different methodologies are discussed in turn, and applications to Canadian data are presented. The first group of methods considered are those that simply use some implicit or explicit assumptions about the dynamics of real output to identify the output gap, including the Hodrick and Prescott filter for identifying the cyclical component of output. The second group consists of approaches that combine their assumptions with information from assumed or structural relationships between the output gap and other economic variables. The third class of methods uses multivariate rather than univariate dynamic relationships, often in combination with structural relationships from economic theory, to estimate output gap as a particular transitory component of real output.
