2 edition of Stylised facts from output gap measures found in the catalog.
Stylised facts from output gap measures
|Series||Discussion paper series -- DP 2000/07, Discussion paper (Reserve Bank of New Zealand)|
|Contributions||Reserve Bank of New Zealand.|
|The Physical Object|
|Pagination||29 p. :|
|Number of Pages||29|
of this paper aims to shed light on the above developments and stylised facts. Figure 2: Inflation and the Unemployment/Output Gap Notes: (a) Defined as the deviation of unemployment from trend unemployment measured by an HP filter (b) Based on data for nine countries (see Section for further details, including definitiion for the output gap). some stylised facts on output growth differentials across the euro area countries, measures of dispersion and synchronisation are initially computed in unweighted terms. However, as the euro area is a weighted concept and the ECB’s monetary policy is geared to the euro area as a whole, it might also be relevant to consider weighted measures.
The output gap is used more frequently in modern macroeconomic analysis, but it is a fuzzier concept to measure.* Since it would be unusual for the output gap and the unemployment gap to greatly diverge (directionally, at least), I will treat the unemployment gap as a proxy for the output gap. Term premia: models and some stylised facts1 One simple way of estimating the term pr emium is to subtract a survey measure of the average expected short rate from the observed bond yield. There are some series that are used to calculate the output gap, revisions can at times be substantial.
The difference between actual and potential output, the output gap, has a direct influence on both unit labour cost and consumer price inflation. Changes in this gap also have an influence, so that there is upward pressure on consumer prices when output is growing faster than potential, and downward pressure when it is growing slower than. Macroprudential policy and the financial cycle: Some stylised facts and policy suggestions. Linear estimates for the finance-neutral measure; the non-linear ones, which should better capture the forces at work, show an output gap that is considerably larger in the boom and smaller in .
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Additional Physical Format: Online version: Scott, Alasdair. Stylised facts from output gap measures. Wellington, N.Z.: Reserve Bank of New Zealand, . stylised facts from different models of the output gap in New Zealand. The exercise is constructed as a “shooting match”, where different estimates of the output gap over the same data set are compared using a variety of simple statistical criteria and tests.
I am interested in what, if anything, is said in common from different estimates of the. Stylised facts from output gap measures (PDF KB) This paper compares three models of the output gap in New Zealand - the Reserve Bank of New Zealand's incumbent MV filter, estimates from a Structural VAR, and a multivariate unobserved components model - and investigates whether there are features that are consistent across the measures of the gap.
Downloadable. This paper compares three models of the output gap in New Zealand - the Reserve Bank of New Zealand's incumbent MV filter, estimates from a Structural VAR, and a multivariate unobserved components model - and investigates whether there are features that are consistent across the measures of the gap.
Various detrending methods are used for benchmarking the output gap measures. There is considerable evidence from industrial countries that the output gap is an important determinant of inflation. This paper examines whether the gap model also works in developing, newly. Stylised facts from output gap measures book Various detrending methods are used for benchmarking the output gap measures, including a linear trend, a fourth difference filter, a band-pass filter, the Hodrick-Prescott filter, an "optimal" procedure, and a nonparametric estimator of permanent : Alasdair Scott.
The output gap is an important concept in the preparation of inflation forecasts and assessments of the economic outlook. However, the output gap is difficult to measure and subject to great uncertainty in practice. The techniques used by the Central Bank of Iceland and elsewhere to calculate the output gap, which have previously been.
Hence there are corresponding different measures of the output gap. With the focus on inflationary pressure, we concentrate on the short-run definition. An output gap can arise from either demand-side shocks or supply-side changes. In either case the output gap is consistent with disequilibrium in the labour market - sustained by anFile Size: KB.
The concepts of potential output and the output gap are central to the IMF`s analytical work in providing policy recommendations to member governments. This key IMF Estimates of Potential Output: Theory and Practice. IMF Working Paper No. 97/ 14 Pages Posted: Stylised Facts from Output Gap by: 6.
Output growth differentials in the euro area: sources and implications 1 STYLISED FACTS OF OUTPUT GROWTH DIFFERENTIALS ACROSS THE EURO AREA COUNTRIES The current degree of differences in output growth across the euro area countries is not large, either by historical standards or by comparison with other benchmark geographical areas.
The consequences of using real-time data for inflation forecasts, the dynamic interaction of output gaps and inflation, and stylised facts of the business cycle are also addressed.
The results suggest that revisions of data and estimates can seriously distort research and policy implications. Still, the estimated output gap measure should capture a number of stylised facts in line with traditional descriptions of economic activity in the country.
Moreover, for any economy, a useful output gap measure should have good end-point properties (in the case of filter-based methods, such as those due to Hodrick and Prescott File Size: 1MB.
Monetary Rules, Indeterminacy, and the Business-Cycle Stylised Facts stylised facts under indeterminacy appears to be, qualitatively, a sort of mirror image measures and output gap proxies. In particular, some of our Taylor rule estimates imply that the pre-Volcker era, too, was characterised by a determinate equilibrium.
Key business cycle stylised facts. 3 • If the business cycle is below the trend we will refer to a negative output gap, and if it isabovethetrendwe will referto apositiveoutputgap.
4 • The standard deviation is used as a measure of volatility and measures. An output gap measure is suggested based on a multivariate Beveridge-Nelson decomposition of output using a vector-autoregressive model that includes data on actual output and on expected output obtained from surveys.
The gap is estimated using an integrated approach to identifying permanent and different types of transitory shocks to output.
real-time estimates of the output gap matter when assessing the cyclical behaviour of fiscal policy. Section 4 presents the data and identifies a number of stylised facts. Section 5 conducts an empirical analysis on output gap forecast errors and indicates for what values of the output gap the.
PDF | The aim of this paper is to analyse fiscal policy in former Yugoslavian countries over the period The contribution of the paper is | Find, read and cite all the research you. The output gap: measurement, comparisons and assessment / Iris Claus, Paul Conway, Alasdair Scott; Inflation targeting under potential output uncertainty / Victor Gaiduch and Benjamin Hunt; Dynamic general equilibrium modelling of world agricultural trade impacts on New Zealand: an appraisal Stylised facts from output gap measures.
Camba-Mendez, G. and Rodriguez-Palenzuela, D. (), “Assessment criteria for output gap estimates”, Economic Modelling, 20, pp. – CrossRef Google Scholar Colecchia, A. and Schreyer, P. (), “The contribution of information and communication technologies to economic growth in nine OECD countries”, OECD Economic Studies, No Cited by: t, depends on both the unemployment gap ut − u∗ t and the output gap yt − y∗ t.
When the unemployment rate is at the NAIRU and output is at its trend, inﬂation equals its underlying trend plus a transitory AR(1) component. The output equation (2) relates the output gap to the unemployment gap, where γu is the Okun’s coeﬃcient.
Potential Output Estimations for Hungary: A Survey of Different Approaches Another important application of the measures of potential output and output gap is the determination of the cyclically adjusted government budget bal-ance as an indicator of the underlying stance of fiscal policy.
STYLISED FACTS.focus of attention. The historical stylised facts are compelling and point to a high degree of output co-movement between Australia and the US. For example, Andrews and Kohler () showed that over the period QQ4, the correlation coefficients between real GDP growth and real GDP output gap series in Australia and the US were and.Measuring economic slack in Asia and the Pacific James Morley1 quickly without any necessary reversal in the future.
Given this definition, the output gap provides a measure of economic slack that quantifies the deviation between different implications for the “stylised facts” that motivate macroeconomic theories (see, for example Author: James Morley.