Multivariate Filter Estimation of Potential Output for the United States: An Extension with Labor Market Hysteresis

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Publisher : International Monetary Fund
ISBN 13 : 1484398068
Total Pages : 35 pages
Book Rating : 4.4/5 (843 download)

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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.

Multivariate Filter Estimation of Potential Output for the United States

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Author :
Publisher : International Monetary Fund
ISBN 13 : 1475598386
Total Pages : 25 pages
Book Rating : 4.4/5 (755 download)

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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.

Multivariate Filter Estimation of Potential Output for the United States: An Extension with Labor Market Hysteresis

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Author :
Publisher : International Monetary Fund
ISBN 13 : 1498301320
Total Pages : 35 pages
Book Rating : 4.4/5 (983 download)

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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.

Multivariate Filter Estimation of Potential Output for the Euro Area and the United States

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Author :
Publisher : International Monetary Fund
ISBN 13 : 1513556223
Total Pages : 32 pages
Book Rating : 4.5/5 (135 download)

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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.

Estimating Potential Output with a Multivariate Filter

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Publisher : International Monetary Fund
ISBN 13 : 1455210927
Total Pages : 39 pages
Book Rating : 4.4/5 (552 download)

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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.

Estimates of Potential Output and the Neutral Rate for the U.S. Economy

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Author :
Publisher : International Monetary Fund
ISBN 13 : 1484367766
Total Pages : 31 pages
Book Rating : 4.4/5 (843 download)

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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.

A Simple Multivariate Filter for Estimating Potential Output

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Publisher : International Monetary Fund
ISBN 13 : 1475565135
Total Pages : 30 pages
Book Rating : 4.4/5 (755 download)

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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.

How Informative Are Real Time Output Gap Estimates in Europe?

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Author :
Publisher : International Monetary Fund
ISBN 13 : 1513515616
Total Pages : 42 pages
Book Rating : 4.5/5 (135 download)

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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.

Multivariate Filter Estimation of Potential Output for the Euro Area and the United States

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Author :
Publisher :
ISBN 13 : 9781513555607
Total Pages : pages
Book Rating : 4.5/5 (556 download)

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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:

Estimating Potential Output for the U.S. Economy in a Model Framework

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Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (31 download)

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Book Synopsis Estimating Potential Output for the U.S. Economy in a Model Framework by : Albert J. Eckstein

Download or read book Estimating Potential Output for the U.S. Economy in a Model Framework written by Albert J. Eckstein and published by . This book was released on 1976 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Multivariate Filter for Measuring Potential Output and the NAIRU

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Author :
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis A Multivariate Filter for Measuring Potential Output and the NAIRU by : Jaromir Benes

Download or read book A Multivariate Filter for Measuring Potential Output and the NAIRU written by Jaromir Benes and published by . This book was released on 2004 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Multivariate Fileter Estimation of Potencial Outpur for the United States

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Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Multivariate Fileter Estimation of Potencial Outpur for the United States by :

Download or read book Multivariate Fileter Estimation of Potencial Outpur for the United States written by and published by . This book was released on 2017 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.

How Informative Are Real Time Output Gap Estimates in Europe?

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Author :
Publisher : International Monetary Fund
ISBN 13 : 1513512544
Total Pages : 42 pages
Book Rating : 4.5/5 (135 download)

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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.

A Simple Multivariate Filter for the Measurement of Potential Output

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Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis A Simple Multivariate Filter for the Measurement of Potential Output by : Douglas Laxton

Download or read book A Simple Multivariate Filter for the Measurement of Potential Output written by Douglas Laxton and published by . This book was released on 1992 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Projecting Potential Output

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Publisher : Springer Science & Business Media
ISBN 13 : 3790821764
Total Pages : 201 pages
Book Rating : 4.7/5 (98 download)

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Book Synopsis Projecting Potential Output by : Sebastian Hauptmeier

Download or read book Projecting Potential Output written by Sebastian Hauptmeier and published by Springer Science & Business Media. This book was released on 2009-03-20 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt: In spite of the widespread use of the concept of potential output in economic theory and empirical applications as well as in economic policy debates, the historical background and the assumptions inherent to this concept are rarely made transparent, let alone critically questioned. Against this background this book sets out to determine the extent to which the concept of potential output rests on clearly defined theoretical foundations and how far prevailing empirical quantification methods really provide reliable insights into potential output growth of an economy. In addition, the authors examine alternative methods for a forward-looking assessment of potential output growth.

Changes in the Concept and Measurement of Potential Output in the United States of America

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Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.3/5 (9 download)

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Book Synopsis Changes in the Concept and Measurement of Potential Output in the United States of America by : Edward Fulton Denison

Download or read book Changes in the Concept and Measurement of Potential Output in the United States of America written by Edward Fulton Denison and published by . This book was released on 1981 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Labor Market and Potential Output of the Federal Reserve-MIT Econometric Model

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Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 (512 download)

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Book Synopsis The Labor Market and Potential Output of the Federal Reserve-MIT Econometric Model by : Alfred Tella

Download or read book The Labor Market and Potential Output of the Federal Reserve-MIT Econometric Model written by Alfred Tella and published by . This book was released on 1968 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: