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Displaying results 1 to 7 of 7.

  1. A deep learning approach to estimation of the Phillips curve in South Africa
    Author: Du Rand, Gideon; Hollander, Hylton; Van Lill, Dawie
    Published: June 2023
    Publisher:  United Nations University World Institute for Development Economics Research, Helsinki, Finland

    In this study, we provide a comprehensive estimation of the contemporary Phillips curve relationship in the South African economy using a novel deep learning technique. Our approach incorporates multiple measures of economic slack/tightness and... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 248
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    In this study, we provide a comprehensive estimation of the contemporary Phillips curve relationship in the South African economy using a novel deep learning technique. Our approach incorporates multiple measures of economic slack/tightness and inflation expectations, contributing to the debate on the relevance of the Phillips curve in South Africa, where previous findings have been inconclusive. Our analysis reveals that long-run inflation expectations are the primary driver of inflation, with these expectations anchored around 5% historically but declining since the financial crisis. This trend suggests that the South African Reserve Bank's (SARB) monetary policy implementation has become increasingly credible in addressing high inflation and price instability. We also find that short-run expectations and real economic activity play a substantial role in explaining deviations from the long-run trend, supporting the existence of a quantifiable Phillips curve relationship in the South African economy. The deep learning methodology employed in this paper offers several advantages for policymakers. It accommodates the complex interplay of various factors influencing inflation, providing a more accurate representation of the Phillips curve relationship. The model's interpretable nature allows policymakers to discern the key drivers of inflation, facilitating more targeted and effective monetary policy interventions. Our findings can help inform strategies to combat persistently high inflation rates in South Africa, supporting the SARB's ongoing efforts to achieve price stability and sustainable economic growth.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789292673871
    Other identifier:
    hdl: 10419/283775
    Series: WIDER working paper ; 2023, 79
    Subjects: Phillips curve; inflation; inflation expectations; output gap; monetary policy; neural network
    Scope: 1 Online-Ressource (circa 14 Seiten), Illustrationen
  2. Estimating natural rate of interest: the case for Azerbaijan
    Author: Ramazanova, Nazrin
    Published: [2023]
    Publisher:  [Central Bank of the Republic of Azerbaijan], [Baku]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers series / Central Bank of the Republic of Azerbaijan ; No. 2023, 02
    Subjects: natural rate of interest; potential output; output gap; monetary policy
    Scope: 1 Online-Ressource (circa 14 Seiten), Illustrationen
  3. The inherent uncertainties in output gap estimation
    a South African perspective
    Author: Vermeulen, Cobus
    Published: 23 August 2023
    Publisher:  Economic Research and Statistics Department, South African Reserve Bank, Pretoria

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: South African Reserve Bank working paper series ; WP, 23, 08
    Subjects: Potential output; output gap; monetary policy; multivariate filter
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  4. MIDAS regression: a new horse in the race of filtering macroeconomic time series
    Author: Benčík, Michal
    Published: 2023
    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 ; 2023,8
    Subjects: end point problem; output gap; MIDAS regression
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  5. Improving output gap estimation
    a bottom-up approach
    Author: Rathke, Alexander; Streicher, Sina
    Published: 2023-11
    Publisher:  KOF, Zurich, Switzerland

    We propose a multivariate Bayesian state space model to identify potential growth and the output gap consistent with the dynamics of the underlying production sectors of the economy and those of inflation and the labor market. Our approach allows us... more

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    We propose a multivariate Bayesian state space model to identify potential growth and the output gap consistent with the dynamics of the underlying production sectors of the economy and those of inflation and the labor market. Our approach allows us to decompose economic fluctuations and long-term trend growth of output and employment into its driving factors. Applying our model to the Swiss economy reveals substantial divergence among the considered production sectors- their contributions to gap and potential vary both in size and direction. Potential growth has been declining over the past two decades and the data points to labor market frictions and a well-identified Phillips curve. In a comprehensive real-time study, we review revision and forecasting properties of our estimate and compare it to established methods. Overall, we document several advantages of our sector gap model: a) It facilitates the interpretability of economic trends and cycles, allowing for more efficient policy actions, b) it has favorable revision properties compared to standard univariate filtering techniques and a baseline model without sectors, c) it is useful in forecasting output growth and inflation, and d) it produces economically meaningful potential growth rates.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/283444
    Series: KOF working papers ; no. 513 (11/2023)
    Subjects: Bayesian state space model; business cycle measurement; Gibbs sampling; output gap; potential output; production sectors
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  6. Parameters of Kazakhstan's fiscal policy
    Author: Žakupova, Meruert M.; Hanetova, Ajaköz B.
    Published: [2023]
    Publisher:  National Bank of the Republic of Kazakhstan, [Astana]

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  7. Monitoring the economy in real time
    trends and gaps in real activity and prices
    Author: Hasenzagl, Thomas; Pellegrino, Filippo; Reichlin, Lucrezia; Ricco, Giovanni
    Published: [2023]
    Publisher:  Center for Research in Economics and Statistics, Palaiseau, France

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Center for Research in Economics and Statistics ; 2023, no. 6 (April 2023)
    Subjects: real-time forecasting; output gap; Phillips curve; semi-structural models; Bayesian estimation
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen