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Author : Manuel Gonzalez-Astudillo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (14 download)
Download or read book An Output Gap Measure for the Euro Area written by Manuel Gonzalez-Astudillo and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marek Jarocinski
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (13 download)
Download or read book An Inflation-Predicting Measure of the Output Gap in the Euro Area written by Marek Jarocinski and published by . This book was released on 2016 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a small Bayesian dynamic factor model of the euro area we estimate the deviations of output from its trend that are consistent with the behavior of inflation. We label these deviations the output gap. In order to pin-down the features of the model, we evaluate the accuracy of real-time inflation forecasts from different model specifications. The version that forecasts inflation best implies that after the 2011 sovereign debt crisis the output gap in the euro area has been much larger than the official estimates. Versions featuring a secular-stagnation-like slowdown in trend growth, and hence a small output gap after 2011, do not adequately capture the inflation developments.
Author :
Publisher :
ISBN 13 : 9789289922142
Total Pages : 40 pages
Book Rating : 4.9/5 (221 download)
Download or read book An Inflation-predicting Measure of the Output Gap in the Euro Area written by and published by . This book was released on 2016 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper sheds light on how recent financial tensions in the euro area were ulti- mately re effected in bank interest rate setting. We make two new contributions. First, we develop a theoretical model capturing banks financing and the rate setting choices. Banks in the model can finance themselves through deposits, on the money market and/or by issuing bonds. Second, we assemble a novel database and put our model to test. Our model extends that of Gambacorta (2004), as we formalise banks' decision to issue debt endogenously. Gambacorta's analysis was conducted for Italian banks and did not include the recent financial crisis. Instead, we focus our analysis on the Great Recession period (July 2007 to October 2014) and euro area banks. From a monetary policy perspective, both our theoretical model and the empirical results provide useful information on the impact of some of the measures introduced by the ECB during the financial crisis. First, the ECB introduced specific measures to alleviate tensions in money markets. To the extent that these measures fostered stability in money mar- kets, and reduced the volatility of money market rates, this paper shows that they were also channelled to bank rates. Second, the ECB also introduced measures to address tensions in bond markets. Our results also show that having access to debt financing has important implications for bank rate setting.
Author : Mr.Alvar Kangur
Publisher : International Monetary Fund
ISBN 13 : 1513512544
Total Pages : 42 pages
Book Rating : 4.5/5 (135 download)
Download or read book How Informative Are Real Time Output Gap Estimates in Europe? written by Mr.Alvar Kangur and published by International Monetary Fund. This book was released on 2019-09-20 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the properties of the IMF-WEO estimates of real-time output gaps for countries in the euro area as well as the determinants of their revisions over 1994-2017. The analysis shows that staff typically saw economies as operating below their potential. In real time, output gaps tend to have large and negative averages that are largely revised away in later vintages. Most of the mis-measurement in real time can be explained by the difficulty in predicting recessions and by overestimation of the economy’s potential capacity. We also find, in line with earlier literature, that real-time output gaps are not useful for predicting inflation. In addition, countries where slack (and potential growth) is overestimated to a larger extent primary fiscal balances tend to be lower and public debt ratios are higher and increase faster than projected. Previous research suggests that national authorities’ real-time output gaps suffer from a similar bias. To the extent these estimates play a role in calibrating fiscal policy, over-optimism about long-term growth could contribute to excessive deficits and debt buildup.
Author : James C. Morley
Publisher :
ISBN 13 : 9789289953030
Total Pages : 0 pages
Book Rating : 4.9/5 (53 download)
Download or read book Estimating the Euro Area Output Gap Using Multivariate Information and Addressing the COVID-19 Pandemic written by James C. Morley and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Mr.Kevin Ross
Publisher : International Monetary Fund
ISBN 13 : 1451874456
Total Pages : 38 pages
Book Rating : 4.4/5 (518 download)
Download or read book Mind the Gap written by Mr.Kevin Ross and published by International Monetary Fund. This book was released on 2001-12-01 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assessing the magnitude of the output gap is critical to achieving an optimal policy mix. Unfortunately, the gap is an unobservable variable, which, in practice, has been estimated in a variety of ways, depending on the preferences of the modeler. This model selection problem leads to a substantial degree of uncertainty regarding the magnitude of the output gap, which can reduce its usefulness as a policy tool. To overcome this problem, in this paper we attempt to insert some discipline into this search by providing two metrics-inflation forecasting and business cycle dating-against which different options can be evaluated using aggregated euro-area GDP data. Our results suggest that Gali, Gertler, and Lopez-Salido's (2001) inefficiency wedge performs best in inflation forecasting and production function methodology dominates in the prediction of turning points. If, however, a unique methodology must be selected, the quadratic trend delivers the best overall results.
Author : Mr.Pau Rabanal
Publisher : International Monetary Fund
ISBN 13 : 1513518607
Total Pages : 57 pages
Book Rating : 4.5/5 (135 download)
Download or read book Financial Factors written by Mr.Pau Rabanal and published by International Monetary Fund. This book was released on 2015-07-14 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: We suggest a new approach for analyzing the role of financial variables and shocks in computing the output gap. We estimate a two-region DSGE model for the euro area, with financial frictions at the household level, between 2000-2013. After joining the monetary union, a decline in some countries’ borrowing costs contributed to a credit, housing and real boom and bust cycle. We show that financial frictions amplified economic fluctuations and the measure of the output gap in those countries. On the contrary, in countries such as France and Germany, financial frictions played a minor role in output gap measures. We also present evidence of the trade-offs faced by the European Central Bank when trying to stabilize two regions in a currency union with unsynchronized economic cycles.
Author :
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (534 download)
Download or read book The Reliability of Real Time Estimates of the Euro Area Output Gap written by and published by . This book was released on 2010 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Mr.Yasser Abdih
Publisher : International Monetary Fund
ISBN 13 : 1484374185
Total Pages : 25 pages
Book Rating : 4.4/5 (843 download)
Download or read book Understanding Euro Area Inflation Dynamics: Why So Low for So Long? written by Mr.Yasser Abdih and published by International Monetary Fund. This book was released on 2018-08-22 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite closing output gaps and tightening labor markets, inflation has remained low in the euro area. Based on an augmented Phillips Curve framework, we find that this phenomenon—sometimes attributed to low global inflation—has been primarily caused by a remarkable persistence of inflation, keeping it low despite the reduction in slack. This feature is shown to be specific to the euro area (in comparison with the United States). Monetary policy needs to stay accommodative to help guide inflation back to target.
Author : Michal Andrle
Publisher : International Monetary Fund
ISBN 13 : 1498381812
Total Pages : 50 pages
Book Rating : 4.4/5 (983 download)
Download or read book A Model-Based Analysis of Spillovers written by Michal Andrle and published by International Monetary Fund. This book was released on 2014-10-17 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies economic and financial spillovers from the euro area to Poland in a two-country semi-structural model. The model incorporates various channels of macrofinancial linkages and cross-border spillovers. We parameterize the model through an extensive calibration process, and provide a wide range of model properties and evaluation exercises. Simulation results suggest a prominent role of foreign demand shocks (euro area and global) in driving Poland’s output, inflation and interest rate dynamics, particularly in recent years. Our model also has the capability for medium-term conditional forecasting and policy analysis.
Author : Mr.Jiaqian Chen
Publisher : International Monetary Fund
ISBN 13 : 151352786X
Total Pages : 28 pages
Book Rating : 4.5/5 (135 download)
Download or read book Measuring Output Gap: Is It Worth Your Time? written by Mr.Jiaqian Chen and published by International Monetary Fund. This book was released on 2020-02-07 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Massimiliano Marcellino
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (586 download)
Download or read book The forecasting performance of real time estimates of the euro area output gap written by Massimiliano Marcellino and published by . This book was released on 2010 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Heikki Oksanen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)
Download or read book New Output Gap Estimates for Assessing Fiscal Policy with Lessons for Euro Area Reform written by Heikki Oksanen and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Output gaps (OG) identify economic cycles and the cyclical and structural components in government budget balances. A new simple method for estimating OGs is presented here. The new results are more transparent than those published by the leading economic policy institutions. - The retroactive changes to the OGs as such do not indicate that they would have been incorrect. Instead, they naturally depend on what will happen afterwards, including changes in the fiscal and other policies conducted. - Fiscal policy in the euro area was tight in 2012-13, contributing to an unexpected fall in the GDP. Fiscal policy has generally amplified cycles in the euro area, except in 2009. - Procyclicality is caused by short-sighted fiscal discipline stemming from the mistrust among the member states. Policy reforms should focus on long-term sustainability and diminishing conflicts and mistrust. The numerous reform proposals should be assessed under two key criteria: (1) reducing mistrust across the members and (2) implementation without changes to the EU Treaty. Focussing on long-term sustainability meets them both.
Author : Massimiliano Marcellino
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (728 download)
Download or read book The Reality of Real Time Estimates of the Euro Area Output Gap written by Massimiliano Marcellino and published by . This book was released on 2010 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gerhard Rünstler
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (237 download)
Download or read book The Information Content of Real-time Output Gap Estimates written by Gerhard Rünstler and published by . This book was released on 2002 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Massimiliano Marcellino
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (55 download)
Download or read book Real time estimates of the euro area output gap : reliability and forecasting performance written by Massimiliano Marcellino and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stefano Siviero
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.X/5 (3 download)
Download or read book A Policy-sensible Core-inflation Measure for the Euro Area written by Stefano Siviero and published by . This book was released on 2007 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
