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  1. The rise and fall of the natural interest rate
    Author: Fiorentini, Gabriele; Galesi, Alessandro; Pérez-Quirós, Gabriel; Sentana, Enrique
    Published: July 2018
    Publisher:  CEMFI, Centro de estudios monetarios y financieros, Madrid

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    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / CEMFI ; 1805
    Subjects: Natural rate of interest; Kalman filter; observability; demographics
    Scope: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  2. Türkiye için ithalat talep fonksiyonu
    Author: Çulha, Olcay Yücel; Eren, Okan; Öğünç, Ferya
    Published: [2018]
    Publisher:  Türkiye Cumhuriyet Merkez Bankası, İdare Merkezi, Yapısal Ekonomik Araştırmalar Genel Müdürlüğü, Ankara, Türkiye

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    Language: Turkish
    Media type: Book
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    Series: Çalışma tebliği / Türkiye Cumhuriyet Merkez Bankası ; no: 18, 03 (Şubat 2018)
    Subjects: Import demand; Income elasticity; Relative price elasticity; Kalman filter; Turkish economy
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  3. The structural Theta method and its predictive performance in the M4-Competition
    Author: Sbrana, Giacomo; Silvestrini, Andrea
    Published: [2024]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    Series: Temi di discussione / Banca d'Italia ; number 1457 (June 2024)
    Subjects: Theta method; state-space models; Kalman filter; M4-Competition; predictiveaccuracy
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  4. Dynamic factor models and fractional integration
    with an application to US real economic activity
    Author: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Piqueras Martínez, Pedro José
    Published: November 2024
    Publisher:  CESifo, Munich, Germany

    This paper makes a twofold contribution, First, it develops the dynamic factor model of Barigozzi et al. (2016) by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series.... more

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    This paper makes a twofold contribution, First, it develops the dynamic factor model of Barigozzi et al. (2016) by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable information on the degree of persistence and mean-reverting properties of the series. Second, the proposed framework is used to analyse five annual US Real Economic Activity series (Employees, Energy, Industrial Production, Manufacturing, Personal Income) over the period from 1967 to 2019 in order to shed light on their degree of persistence and cyclical behaviour. The results indicate that economic activity in the US is highly persistent and is also characterised by cycles with a periodicity of 6 years and 8 months.

     
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    Series: CESifo working papers ; 11486 (2024)
    Subjects: fractional integration; dynamic factor models; persistence; business cycle; economic activity; Kalman filter; state-space models
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  5. Can the Philippines attain 6.5-8 percent growth during 2023-28?
    an assessment based on the estimation of the balance-of-payments-constrained growth rate
    Author: Felipe, Jesus; Albis, Manuel Leonard
    Published: February 2024
    Publisher:  DLSU, Angelo King for Economic and Business Studies, Manila, Philippines

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    Series: DLSU-AKI working paper series ; 2024-02-090
    Subjects: Balance-of-Payments-constrained growth rate; Philippines; Kalman filter
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  6. Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
    Published: July 2005

    "A pair of simple modifications to the Kalman filter recursions makes possible the filtering of models in which one or more state variables is truncated normal. Such recursions are broadly applicable to macroeconometric models that have one or more... more

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    "A pair of simple modifications to the Kalman filter recursions makes possible the filtering of models in which one or more state variables is truncated normal. Such recursions are broadly applicable to macroeconometric models that have one or more probit-type equation, such as vector autoregressions and estimated dynamic stochastic general equilibrium models"--Federal Reserve Bank of St. Louis web site

     
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    Series: Working paper series / Federal Reserve Bank of St. Louis ; 2005,057
    Subjects: Bayes-Statistik; Makroökonometrie; Theorie; Zustandsraummodell; Probit-Modell; Kalman filtering; Econometric models; Kalman filter
    Scope: Online-Ressource, 7 p., text
    Notes:

    Includes bibliographical references

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  7. Will the (German) NAIRU please stand up?
    Author: Franz, Wolfgang
    Published: 2003
    Publisher:  ZEW, Mannheim

    This paper deals with a critical assessment and a reestimation of the "non-accelerating in ation rate of unemployment" (NAIRU) for Germany. There are quite a few obstacles to perceiving the NAIRU as an understandable and easy-to-use analytical... more

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    This paper deals with a critical assessment and a reestimation of the "non-accelerating in ation rate of unemployment" (NAIRU) for Germany. There are quite a few obstacles to perceiving the NAIRU as an understandable and easy-to-use analytical instrument, suitable for economic policy: the possibility of a non-vertical Phillips curve (e.g. in times of low in ation), the occurrence of shocks and hysteresis effects, the (mis-)measurement of important variables such as in ation expectations, cointegration issues, and a time variability of the NAIRU and its confidence intervals. Despite many serious caveats a new attempt is made to estimate a NAIRU for Germany based on conventional Phillips curves as well as on new approaches such as using direct measures of in ationary expectations, the Kalman filter method, and the residual-based bootstrap procedure (in order to estimate confidence intervals). However, by any method, simple or complex, the NAIRU is very hard to determine and subject to considerable arbitrariness.

     
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    Language: English
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    hdl: 10419/23971
    Series: ZEW discussion paper ; no. 03-35
    Subjects: Natürliche Arbeitslosenquote; Schätzung; Deutschland; NAIRU; unemployment; inflation; Phillips curve; natural rate; hysteresis; supply shocks; inflation expectations; Kalman filter; bootstrap
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  8. A spectral EM algorithm for dynamic factor models
    Author: Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique
    Published: 2016
    Publisher:  Banco de España, Madrid

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    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 1619
    Subjects: indirect inference; Kalman filter; sectoral employment; spectral maximum likelihood; Wiener-Kolmogorov filter
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  9. A time-varying fiscal reaction function for Brazil
    Author: Campos, Eduardo Lima; Cysne, Rubens Penha
    Published: dezembro de 2017
    Publisher:  Escola de Pós-Graduação em Economia da Fundação Getulio Vargas, Rio de Janeiro

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    Source: Union catalogues
    Language: English
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    Other identifier:
    hdl: 10438/20153
    Edition: Preliminary version
    Series: Ensaios econômicos ; no 795
    Subjects: public debt; sustainability; fiscal reaction function; time-varying models; Kalman filter; penalized spline smoothing; time-varying cointegration
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  10. Inferring the shadow rate from real activity
    Author: García, Benjamín; Skaperdas, Arsenios
    Published: February 1, 2018
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    Series: Finance and economics discussion series ; 2017, 106
    Subjects: External instrument VAR; Kalman filter; Unconventional monetary policy; Effective lower bound; Shadow rate
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  11. Can Google search data help predict macroeconomic series?
    Author: Niesert, Robin; Oorschot, Jochem; Veldhuisen, Chris; Brons, Kester; Lange, Rutger-Jan
    Published: [2019]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    We use Google search data with the aim of predicting unemployment, CPI and consumer confidence for the US, UK, Canada, Germany and Japan. Google search queries have previously proven valuable in predicting macroeconomic variables in an in-sample... more

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    We use Google search data with the aim of predicting unemployment, CPI and consumer confidence for the US, UK, Canada, Germany and Japan. Google search queries have previously proven valuable in predicting macroeconomic variables in an in-sample context. To our knowledge, the more challenging question of whether such data have out-of-sample predictive value has not yet been satisfactorily answered. We focus on out-of-sample nowcasting, and extend the Bayesian Structural Time Series model using the Hamiltonian sampler for variable selection. We find that the search data retain their value in an out-of-sample predictive context for unemployment, but not for CPI and consumer confidence. It may be that online search behaviour is a relatively reliable gauge of an individual's personal situation (employment status), but less reliable when it comes to variables that are unknown to the individual (CPI) or too general to be linked to specific search terms (consumer confidence).

     
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    Other identifier:
    hdl: 10419/205311
    Series: Array ; TI 2019, 021
    Subjects: Bayesian methods; forecasting practice; Kalman filter; macroeconomic forecasting; state space models; nowcasting; spike-and-slab; Hamiltonian sampler
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  12. Size and persistence matter
    wage and employment insurance at the micro level
    Author: Kerndler, Martin
    Published: May 19, 2019
    Publisher:  Verein für Socialpolitik, [Leipzig]

    Firms provide substantial insurance against wage fluctuations and job loss. This paper studies how the interaction between shock size and persistence affects the firm’s ability to insure workers against idiosyncratic firm-level shocks. Using linked... more

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    Firms provide substantial insurance against wage fluctuations and job loss. This paper studies how the interaction between shock size and persistence affects the firm’s ability to insure workers against idiosyncratic firm-level shocks. Using linked employer-employee data from Germany, I find that wages respond largely symmetrically to positive and negative permanent shocks. Whereas transitory shocks lead to upward wage rigidity. Individual layoff probabilities only increase in response to negative permanent shocks. Interestingly, wage cuts and job loss after negative shocks are limited to blue-collar workers. Whereas white-collar workers are fully insured against negative shocks both in terms of wages and employment.

     
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    hdl: 10419/203493
    Series: Array ; Array
    Subjects: wage insurance; layoffs; linked employer-employee data; Kalman filter
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  13. Time series modeling of epidemics
    leading indicators, control groups and policy assessment
    Author: Harvey, Andrew C.
    Published: [2021]
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

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    Series: Cambridge working paper in economics ; 2114
    Subjects: Balanced growth; Co-integration; Covid-19; Gompertz curve; Kalman filter; Stochastic trend
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  14. Can alternative data improve the accuracy of dynamic factor model nowcasts?
    evidence from the euro area
    Author: Cristea, Radu Gabriel
    Published: [2020]
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

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    Series: Cambridge working paper in economics ; 20108
    Cambridge-INET working paper series ; 2020, 50
    Subjects: nowcasting; dynamic factor model; Kalman filter; real-time high frequency alternative data; Google econometrics; COVID-19; euro area macroeconomics
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  15. Volatility bursts
    a discrete-time option model with multiple volatility components
    Author: Lilla, Francesca
    Published: [2021]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    Series: Temi di discussione / Banca d'Italia ; number 1336 (June 2021)
    Subjects: volatility bursts; ARG-zero; option pricing; Kalman filter; realized volatility
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  16. A counterfactual analysis of the effects of climate change on the natural interest rate
    Author: Ojeda Joya, Jair Neftali
    Published: May 2022
    Publisher:  Graduate Institute of International and Development Studies, International Economics Department, Geneva, Switzerland

    Climate change will potentially bring about important macroeconomic effects for all countries in the world and especially for emerging economies. I perform a counterfactual analysis to estimate the potential effect of global warming on the natural... more

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    Climate change will potentially bring about important macroeconomic effects for all countries in the world and especially for emerging economies. I perform a counterfactual analysis to estimate the potential effect of global warming on the natural interest rate using a state-space semi-structural model of inflation and output determination. The model is estimated with quarterly data for Colombia for the period 1994-2019. I simulate gradual warming of 1°C during this period and include its potential effect on GDP growth and inflation according to recent cross-country estimations in the literature. The estimation with counterfactual data shows that the counterfactual natural interest rate decreases more rapidly to reach near 0% at the end of the period. This result is induced by the persistently negative effects of higher temperatures on trend output growth.

     
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    hdl: 10419/266125
    Series: Working paper series / Graduate Institute of International and Development Studies, International Economics Department ; no. HEIDWP2022, 10
    Subjects: Natural Interest Rate; Climate Change; Monetary Policy; Kalman filter
    Scope: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  17. An augmented steady-state Kalman filter to evaluate the likelihood of linear and time
    invariant state-space models
    Author: Huber, Johannes
    Published: [2022]
    Publisher:  Universität Augsburg, Institut für Volkswirtschaftslehre, [Augsburg]

    We propose a modified version of the augmented Kalman filter (AKF) to evaluate the likelihood of linear and time-invariant state-space models (SSMs). Unlike the regular AKF, this augmented steady-state Kalman filter (ASKF), as we call it, is based on... more

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    We propose a modified version of the augmented Kalman filter (AKF) to evaluate the likelihood of linear and time-invariant state-space models (SSMs). Unlike the regular AKF, this augmented steady-state Kalman filter (ASKF), as we call it, is based on a steady-state Kalman filter (SKF). We show that to apply the ASKF, it is sufficient that the SSM at hand is stationary. We find that the ASKF can significantly reduce the computational burden to evaluate the likelihood of medium- to large-scale SSMs, making it particularly useful to estimate dynamic stochastic general equilibrium (DSGE) models and dynamic factor models. Tests using a medium-scale DSGE model, namely the 2007 version of the Smets and Wouters model, show that the ASKF is up to five times faster than the regular Kalman filter (KF). Other competing algorithms, such as the Chandrasekhar recursion (CR) or a univariate treatment of multivariate observation vectors (UKF), are also outperformed by the ASKF in terms of computational efficiency.

     
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    hdl: 10419/262020
    Series: Volkswirtschaftliche Diskussionsreihe / Universität Augsburg, Institut für Volkswirtschaftslehre ; Nr. 343 (April 2022)
    Subjects: Kalman filter; DSGE; Bayesian estimation; Maximum-likelihood estimation; Computational techniques
    Scope: 1 Online-Ressource (circa 73 Seiten), Illustrationen
  18. Estimating the natural rate of unemployment for Ukraine
    Author: Vdovychenko, Artem
    Published: [2022]
    Publisher:  Graduate Institute of International and Development Studies, International Economics Department, Geneva, Switzerland

    In this study, we apply the Kalman filter to estimate the set of reduced-form Phillips curves for different types of inflation in Ukraine. Based on the estimated models, we derive a number of series of non-accelerating inflation rate of unemployment... more

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    In this study, we apply the Kalman filter to estimate the set of reduced-form Phillips curves for different types of inflation in Ukraine. Based on the estimated models, we derive a number of series of non-accelerating inflation rate of unemployment (NAIRU) that provide information about the general trajectory and last tendencies of trend unemployment. To better identify the unemployment trend, we include indicators of long-term unemployment and the Beveridge curve shifts as exogenous variables in the NAIRU equation. Both variables demonstrate a significant impact on NAIRU dynamics. Our estimates show that the Phillips curve slope in Ukraine lies in a standard range of -0.3 to -0.5, with high statistical significance. The median value of estimated NAIRUs was at its lowest at 7.2% at the end of 2008, after which it gradually increased to 9.4% by the end of 2021.

     
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    hdl: 10419/278192
    Series: Working paper series / Graduate Institute of International and Development Studies, International Economics Department ; no. HEIDWP2022, 21
    Subjects: Phillips curve; unemployment; NAIRU; Kalman filter; Beveridge curve
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  19. Construction of a survey-based measure of output gap
    Author: Benčík, Michal
    Published: April2019
    Publisher:  National Bank of Slovakia, Bratislava

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    Series: NSB Working paper / National Bank of Slovakia ; 2019,3
    Subjects: output gap; survey indicators; principal components; Kalman filter
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  20. Indeterminacy and imperfect information
    Author: Lubik, Thomas A.; Matthes, Christian; Mertens, Elmar
    Published: 2019
    Publisher:  The Federal Reserve Bank of Richmond, Richmond

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    Series: Working paper series / The Federal Reserve Bank of Richmond ; WP 19, 17
    Subjects: Limited information; rational expectations; Kalman filter; belief shocks
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  21. Riders on the storm
    Author: Jordà, Òscar; Taylor, Alan M.
    Published: 2019
    Publisher:  Federal Reserve Bank of San Francisco, [San Francisco, CA]

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    Series: Working papers series / Federal Reserve Bank of San Francisco ; 2019, 20 (September 2019)
    Subjects: neutral rate of interest; monetary policy stance; state-space model; Kalman filter
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  22. Anchored inflation expectations and the flatter Phillips curve
    Author: Jørgensen, Peter Lihn; Lansing, Kevin J.
    Published: 2019
    Publisher:  Federal Reserve Bank of San Francisco, [San Francisco, CA]

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    Series: Working papers series / Federal Reserve Bank of San Francisco ; 2019, 27 (November 2019)
    Subjects: In‡flation expectations; Phillips curve; Infla‡tion puzzles; Kalman filter
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
    Notes:

    This paper was previously circulated under the title: “Infl‡ation Puzzles in the New Keynesian Model: The Implications of Anchored Expectations
  23. Measuring the natural rates of Interest in Germany and Italy
    Author: Bystrov, Victor
    Published: [2018]
    Publisher:  Faculty of Economics and Sociology, University of Lodz, [Lodz]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11089/26084
    Series: Lodz economics working papers ; 2018, 7
    Subjects: natural rate of interest; potential output; euro area; state-space model; Kalman filter
    Scope: 1 Online-Ressource (circa 28 Seiten)
  24. Expectations anchoring indexes for Brazil using Kalman Filter: exploring signals of inflation anchoring in the long term
    Author: Oliveira, Fernando Nascimento de; Gaglianone, Wagner Piazza
    Published: August 2019
    Publisher:  Banco Central do Brasil, Brasília, DF, Brazil

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / Banco Central do Brasil ; 497
    Subjects: inflation; expectation; anchoring; Kalman filter; Brazil
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  25. Rotemberg and imperfect common knowledge
    a solution algorithm
    Author: Šauer, Radek
    Published: February 2020
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper develops an algorithm that enables to solve macroeconomic models with Rotemberg pricing and imperfect common knowledge. Under the concept of imperfect common knowledge, Rotemberg pricing requires the solution algorithm to take prices... more

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    This paper develops an algorithm that enables to solve macroeconomic models with Rotemberg pricing and imperfect common knowledge. Under the concept of imperfect common knowledge, Rotemberg pricing requires the solution algorithm to take prices explicitly into account. The state space includes the hierarchy of average higher-order expectations as well as the aggregate price level. In addition to determining the usual policy functions of output, inflation, and the nominal interest rate, the algorithm has to search for the policy function of the aggregate price and for the policy function of the firm-specific price.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/215100
    Series: CESifo working paper ; no. 8098 (2020)
    Subjects: Rotemberg pricing; dispersed information; heterogenous beliefs; Kalman filter; higher-order expectations
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen