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Multivariate Filter Estimation Of Potential Output For The United States
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Book Synopsis Multivariate Filter Estimation of Potential Output for the United States by : Ali Alichi
Download or read book Multivariate Filter Estimation of Potential Output for the United States written by Ali Alichi and published by International Monetary Fund. This book was released on 2017-05-04 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Estimating Potential Output with a Multivariate Filter by : International Monetary Fund
Download or read book Estimating Potential Output with a Multivariate Filter written by International Monetary Fund and published by International Monetary Fund. This book was released on 2010-12-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Multivariate Filter Estimation of Potential Output for the Euro Area and the United States by : Ali Alichi
Download or read book Multivariate Filter Estimation of Potential Output for the Euro Area and the United States written by Ali Alichi and published by International Monetary Fund. This book was released on 2015-12-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Multivariate Filter Estimation of Potential Output for the United States: An Extension with Labor Market Hysteresis by : Ali Alichi
Download or read book Multivariate Filter Estimation of Potential Output for the United States: An Extension with Labor Market Hysteresis written by Ali Alichi and published by International Monetary Fund. This book was released on 2019-02-19 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis A Simple Multivariate Filter for Estimating Potential Output by : Patrick Blagrave
Download or read book A Simple Multivariate Filter for Estimating Potential Output written by Patrick Blagrave and published by International Monetary Fund. This book was released on 2015-04-07 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Multivariate Filter Estimation of Potential Output for the Euro Area and the United States by : Ali; Bizimana Olivier; Domit Alichi (Silvia)
Download or read book Multivariate Filter Estimation of Potential Output for the Euro Area and the United States written by Ali; Bizimana Olivier; Domit Alichi (Silvia) and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A New Methodology for Estimating the Output Gap in the United States by : Ali Alichi
Download or read book A New Methodology for Estimating the Output Gap in the United States written by Ali Alichi and published by International Monetary Fund. This book was released on 2015-06-30 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis A Simple Multivariate Filter for Estimating Potential Output by : Patrick Blagrave
Download or read book A Simple Multivariate Filter for Estimating Potential Output written by Patrick Blagrave and published by . This book was released on 2015 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Multivariate Filter Estimation of Potential Output for the Euro Area and the United States by : Ali Alichi
Download or read book Multivariate Filter Estimation of Potential Output for the Euro Area and the United States written by Ali Alichi and published by International Monetary Fund. This book was released on 2015-12-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
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 Estimates of Potential Output and the Neutral Rate for the U.S. Economy by : Ali Alichi
Download or read book Estimates of Potential Output and the Neutral Rate for the U.S. Economy written by Ali Alichi and published by International Monetary Fund. This book was released on 2018-07-06 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis What Is in Your Output Gap? Unified Framework & Decomposition into Observables by : Michal Andrle
Download or read book What Is in Your Output Gap? Unified Framework & Decomposition into Observables written by Michal Andrle and published by International Monetary Fund. This book was released on 2013-05-10 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis A Systems Approach to Estimating the Natural Rate of Unemployment and Potential Output for the United States by : International Monetary Fund
Download or read book A Systems Approach to Estimating the Natural Rate of Unemployment and Potential Output for the United States written by International Monetary Fund and published by International Monetary Fund. This book was released on 1989-10-26 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: The methodology used in this paper has three distinguishing features: the natural rate of unemployment and potential output are jointly estimated; estimation integrates wage and price data with “real” and structural data; and third, the methodology encompasses many of the methods found in the literature. The results indicate that potential output growth has recovered somewhat during the early 1980s, but remains below the rapid rates of increase in the late 1960s. The natural rate, after rising during the late 1960s and the 1970s, is found to have declined in the 1980s. The paper concludes with an assessment of medium-term prospects for potential output and-the natural rate.
Book Synopsis Labor Market Slack and the Output Gap: The Case of Korea by : Mr.Niels-Jakob H Hansen
Download or read book Labor Market Slack and the Output Gap: The Case of Korea written by Mr.Niels-Jakob H Hansen and published by International Monetary Fund. This book was released on 2019-08-02 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Output gap estimates are widely used to inform macroeconomic policy decisions, including in Korea. The main determinant of these estimates is the measure of labor market slack. The traditional measure of unemployment in Korea yields an incomplete estimate of labor market slack, given that many workers prefer involuntary part-time jobs or leaving the labor force rather than registering as unemployed. This paper discusses a way in which the measure of unemployment can be broadened to yield a more accurate measure of labor market slack. This broader measure is then used to estimate the output gap using a multivariate filter, yielding a more meaningful measure of the output gap.
Book Synopsis A New Methodology for Estimating the Output Gap in the United States by : Ali Alichi
Download or read book A New Methodology for Estimating the Output Gap in the United States written by Ali Alichi and published by International Monetary Fund. This book was released on 2015-06-30 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 :International Monetary Fund. Asia and Pacific Dept Publisher :International Monetary Fund ISBN 13 :1498314821 Total Pages :76 pages Book Rating :4.4/5 (983 download)
Book Synopsis Republic of Korea by : International Monetary Fund. Asia and Pacific Dept
Download or read book Republic of Korea written by International Monetary Fund. Asia and Pacific Dept and published by International Monetary Fund. This book was released on 2019-05-13 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Selected Issues paper analyzes monetary policy and financial cycles; the evolution of macroprudential policies in Korea; the efficacy in prudential policies in taming financial excess and building financial resilience and; the interaction between monetary policy and macroprudential policies. Evidence for Korea suggests that financial stability will not necessarily materialize as a natural by-product of a so-called appropriate monetary policy stance. Although the effects of monetary and macroprudential instruments may overlap, they are not perfect substitutes. Macroprudential policies can also impact the banking system by affecting bank funding costs through the net interest margin. In certain circumstances borrower-based prudential measures and monetary policy can complement one another. Macroprudential policies can impact banks profitability. Policymakers should be mindful that macroprudential policy is not free of costs and that there may be trade-offs between the stability and the efficiency of financial systems.
Book Synopsis Assessing the Impact of Structural Reforms on Potential Output: The Case of Morocco by : Hippolyte W. Balima
Download or read book Assessing the Impact of Structural Reforms on Potential Output: The Case of Morocco written by Hippolyte W. Balima and published by International Monetary Fund. This book was released on 2023-10-27 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses Morocco’s potential output and the scope for structural reforms to reverse the downward trend in economic performance observed since the Global Financial Crisis. Using multivariate filtering (MVF) techniques, our analysis finds that the downward secular trend in potential growth was primarily driven by the decline in the contribution of labor inputs. We then combine production function and general equilibrium model approaches to provide estimates of the potential macroeconomic impact of Morocco’s structural reform agenda. The results suggest that the planned structural reforms could deliver sizable output gains in the medium to long term with reforms that would reduce the large gender gap in Morocco’s labor market yielding the greatest payoffs.
