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The Reliability Of Real Time Estimates Of The Euro Area Output Gap
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Book Synopsis The Reliability of Real Time Estimates of the Euro Area Output Gap by :
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.
Book Synopsis Real time estimates of the euro area output gap : reliability and forecasting performance by : Massimiliano Marcellino
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:
Book Synopsis The forecasting performance of real time estimates of the euro area output gap by : Massimiliano Marcellino
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:
Book Synopsis The Reality of Real Time Estimates of the Euro Area Output Gap by : Massimiliano Marcellino
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:
Book Synopsis Trend-cycle decomposition of output and Euro area inflation forecasts : a real-time approach based on model combination by : Pierre Guérin
Download or read book Trend-cycle decomposition of output and Euro area inflation forecasts : a real-time approach based on model combination written by Pierre Guérin and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Information Content of Real-time Output Gap Estimates by : Gerhard Rünstler
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:
Book Synopsis The Reliability of Output Gap Estimates in Real Time by : Athanasios Orphanides
Download or read book The Reliability of Output Gap Estimates in Real Time written by Athanasios Orphanides and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measuring Output Gap: Is It Worth Your Time? by : Mr.Jiaqian Chen
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.
Book Synopsis How Informative Are Real Time Output Gap Estimates in Europe? by : Mr.Alvar Kangur
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.
Book Synopsis An Assessment of the Relative Quality of the Output Gap Estimates Produced by the EU's Production Function Methodology by :
Download or read book An Assessment of the Relative Quality of the Output Gap Estimates Produced by the EU's Production Function Methodology written by and published by . This book was released on 2015 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Should We be Surprised by the Unreliability of Real-time Output Gap Estimates? Density Estimates for the Eurozone by : James Mitchell
Download or read book Should We be Surprised by the Unreliability of Real-time Output Gap Estimates? Density Estimates for the Eurozone written by James Mitchell and published by . This book was released on 2003 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Output Gaps in Real Time by : David W. R. Gruen
Download or read book Output Gaps in Real Time written by David W. R. Gruen and published by . This book was released on 2002 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The output gap - the difference between actual and potential output - is widely regarded as a useful guide to future inflationary pressures, as well as an important indicator of the state of the economy in its own right. Since the output gap is unobservable, however, its estimation is prone to error, particularly in real time. Errors result both from revisions to the underlying data, as well as from end-point problems that are endemic to econometric procedures used to estimate output gaps. These problems reduce the reliability of output gaps estimated in real time, and lead to questions about their usefulness. We examine 121 vintages of Australian GDP data to assess the seriousness of these problems. Our study, which is the first to address these issues using Australian data, is of interest for the method we use to obtain real-time output-gap estimates. Over the past 28 years, our real-time output-gap estimates show no apparent bias, when compared with final output-gap estimates derived with the benefit of hindsight using the latest available data. Furthermore, the root-mean-square difference between the real-time and final output-gap series is less than 2 percentage points, and the correlation between them is over 0.8. Our general conclusion is that quite good estimates of the output gap can be generated in real time, provided a sufficiently flexible and robust approach is used to obtain them.0D0A.
Book Synopsis Robust Real-time Estimates of the German Output Gap Based on a Multivariate Trend-cycle Decomposition by : Tino Berger
Download or read book Robust Real-time Estimates of the German Output Gap Based on a Multivariate Trend-cycle Decomposition written by Tino Berger and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The German economy is an important economic driver in the Euro-area in terms of gross domestic product, labour force and international integration. We provide a state of the art estimate of the German output gap between 1995 and 2022 and present a nowcasting scheme that accurately predicts the German output gap up to three months prior to a gross domestic product data release. To this end, we elicit a mixed-frequency vector-autoregressive model in the spirit of Berger, Morley, and Wong (forthcoming) who propose to use monthly information to form an expectation about the current-quarter output gap. The mean absolute error of our nowcast compared to the final estimate is very small (0.28 percentage points) after only one month of observed data. Moreover, we show that business and consumer expectations, international trade and labour market aggregates consistently explain large shares of variation in the German output gap. Finally, our procedure is very reliable, as it implies an output gap that is hardly revised ex post. This is particularly important for policymakers.
Book Synopsis The Impact of the Macroeconomic Hypothesis on the Estimation of the Output Gap Using a Multivariate Hodrick-Prescott Filter by :
Download or read book The Impact of the Macroeconomic Hypothesis on the Estimation of the Output Gap Using a Multivariate Hodrick-Prescott Filter written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper proposes to apply the multivariate Hodrick-Prescott (HPMV) filter to the estimation of the Euro area output gap. It investigates the impact of using alternative economic relationships on the output gap estimates of the Euro area. The comparison with the univariate HP filter shows that this can significantly modify the appreciation of the output gap level of the Euro area in some specific periods. The paper also proposes to estimate the HPMV models with the methodology adopted for the estimation of state-space models. This strategy provides an alternative to the calibration of the parameters and allows to assess the reliability of the HPMV output gap estimates. Estimated weights associated to the economic relationships in the optimisation program of the HPMV are generally coherent with the calibrated values usually retained. The assessment of the reliability of the alternative output gaps and of the revision properties shows a substantial superiority of some HPMV models over the univariate HP filter. Finally, integrating macro-economic information improves generally the accuracy of the inflation forecasts.
Book Synopsis Estimating the Euro Area Output Gap Using Multivariate Information and Addressing the COVID-19 Pandemic by : James C. Morley
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.
Book Synopsis An Exploration of Real-time Revisions of Output Gap Estimates Across European Countries by : Pablo Hernández de Cos
Download or read book An Exploration of Real-time Revisions of Output Gap Estimates Across European Countries written by Pablo Hernández de Cos and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Euro Area Business Cycle by : Lucrezia Reichlin
Download or read book The Euro Area Business Cycle written by Lucrezia Reichlin and published by Centre for Economic Policy Research. This book was released on 2004 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt:
