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Displaying results 1 to 11 of 11.

  1. RGAP: output gap estimation in R
    Author: Streicher, Sina
    Published: 2022-06
    Publisher:  KOF, Zurich, Switzerland

    Assessing potential output and the output gap is essential for policy-making and fiscal surveillance. The European Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models. This... more

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    DS 297
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    Assessing potential output and the output gap is essential for policy-making and fiscal surveillance. The European Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models. This paper presents the R package RGAP which features a flexible modeling framework for the appropriate bivariate unobserved component models and offers frequentist as well as Bayesian estimation techniques. Additional functionalities include direct access to the AMECO database and automated model selection procedures. Multiple illustrative examples outline data preparation, model specification, and estimation processes using RGAP.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 20.500.11850/552089
    hdl: 10419/278153
    Series: KOF working papers ; no. 503 (June 2022)
    Subjects: business cycle; output gap; potential output; state space models; Kalman filter and smoother; Gibbs sampling
    Scope: 1 Online-Ressource (circa 66 Seiten)
  2. Tracking the German business cycle
    Author: Berger, Tino; Ochsner, Christian
    Published: [2022]
    Publisher:  Philipps-University Marburg, School of Business and Economics, Marburg

    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 2021 and present a... more

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    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 2021 and present a nowcasting scheme that accurately predicts the Germany 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 is very small (0.25 percentage points) after only one month of observed data. Moreover, we show that international trade and labour market aggregates consistently explain large shares of variation in the German output gap.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/262313
    Series: Joint discussion paper series in economics ; no. 2022, 12
    Subjects: output gap; Germany; nowcast; mixed frequency; vector-autoregression
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  3. Robust real-time estimates of the German output gap based on a multivariate trend-cycle decomposition
    Author: Berger, Tino; Ochsner, Christian
    Published: [2022]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    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... more

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    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.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783957299123
    Other identifier:
    hdl: 10419/265431
    Series: Discussion paper / Deutsche Bundesbank ; no 2022, 35
    Subjects: output gap; Germany; nowcast; mixed frequency; vector-autoregression
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  4. Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic
    Author: Morley, James C.; Rodriguez Palenzuela, Diego; Sun, Yiqiao; Wong, Benjamin
    Published: [2022]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    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... more

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    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.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289953030
    Other identifier:
    hdl: 10419/269123
    Series: Working paper series / European Central Bank ; no 2716 (August 2022)
    Subjects: Beveridge-Nelson decomposition; output gap; Bayesian estimation; multivariate information
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  5. Assessing Australian monetary policy in the twenty-first century
    Author: Gross, Isaac; Leigh, Andrew
    Published: September 2022
    Publisher:  IZA - Institute of Labor Economics, Bonn, Germany

    Using the Reserve Bank of Australia's MARTIN model we compare actual monetary policy decisions to a counterfactual in which the cash rate is set according to an optimal simple rule. We find that monetary policy played a crucial role in avoiding a... more

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    Using the Reserve Bank of Australia's MARTIN model we compare actual monetary policy decisions to a counterfactual in which the cash rate is set according to an optimal simple rule. We find that monetary policy played a crucial role in avoiding a potential recession in 2001 and mitigating the downturn in 2008-2009. By contrast we find that the cash rate was too high during 2016-2019, keeping inflation below the Reserve Bank's target band. Optimal monetary policy in 2016-2019 would have involved a substantially lower cash rate and would have produced significantly better employment outcomes.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/265782
    Series: Discussion paper series / IZA ; no. 15561
    Subjects: optimal monetary policy; unemployment; output gap; inflation
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  6. Assessing Australian monetary policy in the twenty-first century
    Author: Gross, Isaac; Leigh, Andrew
    Published: September 2022
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    Using the Reserve Bank of Australia's MARTIN model we compare actual monetary policy decisions to a counterfactual in which the cash rate is set according to an optimal simple rule. We find that monetary policy played a crucial role in avoiding a... more

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    Using the Reserve Bank of Australia's MARTIN model we compare actual monetary policy decisions to a counterfactual in which the cash rate is set according to an optimal simple rule. We find that monetary policy played a crucial role in avoiding a potential recession in 2001 and mitigating the downturn in 2008-2009. By contrast we find that the cash rate was too high during 2016-2019, keeping inflation below the Reserve Bank's target band. Optimal monetary policy in 2016-2019 would have involved a substantially lower cash rate and would have produced significantly better employment outcomes.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/265994
    Series: CESifo working paper ; no. 9959 (2022)
    Subjects: optimal monetary policy; unemployment; output gap; inflation
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  7. Assessment of the nature of the pandemic shock: implications for monetary policy
    Author: Babeckaja-Kucharcǔk, Oksana A.; Brůha, Jan; Král, Petr; Motl, Martin; Tonner, Jaromír
    Published: 2022
    Publisher:  Czech National Bank, Economic Research Division, Praha

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    Source: Union catalogues
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    Media type: Book
    Format: Online
    Series: Research and policy notes / Czech National Bank ; 2022,1
    Subjects: Coronavirus pandemic; demand and supply shocks; inflation; monetary policy; output gap
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  8. Do output gap estimates improve inflation forecasts in Slovakia?
    Author: Ostapenko, Nataliia
    Published: October 2022
    Publisher:  National Bank of Slovakia, Bratislava

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NSB Working paper / National Bank of Slovakia ; 2022,4
    Subjects: output gap; inflation; stability; forecasting
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  9. Monitoring the economy in real time
    trends and gaps in real activity and prices
    Author: Hasenzagl, Thomas; Pellegrino, Filippo; Reichlin, Lucrezia; Ricco, Giovanni
    Published: [2022]
    Publisher:  OFCE, Paris, France

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Sciences Po OFCE working paper ; no 2022, 04
    Subjects: Real-time forecasting; output gap; Phillips curve; semi-structural models; Bayesian estimation
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  10. Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect
    Author: Caballero, Ricardo J.; Simsek, Alp
    Published: March 2022
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices... more

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    We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their steady-state levels consistent with current potential output). Overshooting leads to a temporary disconnect between the performance of financial markets and the real economy, but it accelerates the recovery. When there is a lower-bound constraint on the discount rate, overshooting becomes a concave and non-monotonic function of the output gap: the asset price boost is low for a deeply negative initial output gap, grows as the output gap improves over a range, and shrinks toward zero as the output gap improves further. This pattern also implies that good macroeconomic news is better news for asset prices when the output gap is more negative. Finally, we document that during the Covid-19 recovery, the policy-induced overshooting was large−sufficient to explain the high levels of stock and house prices in 2021.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/252149
    Series: CESifo working paper ; no. 9632 (2022)
    Subjects: monetary policy; aggregate demand inertia; lags; output gap; recovery; asset prices; overshooting; Wall/Main Street disconnect; Covid-19; interest rate lower bound; macroeconomic news; market bond portfolio; QE/LSAPs
    Scope: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  11. Understanding the food component of inflation
    Author: Kohlscheen, Emanuel
    Published: December 2022
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BIS working papers ; no 1056
    Subjects: crop; expectations; energy; food export; food prices; food import; food production; forecast; inflation; output gap; Phillips curve
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen