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  1. Output gaps and cyclical indicators
    Finnish evidence
    Autor*in: Pönkä, Harri; Sariola, Mikko
    Erschienen: 2021
    Verlag:  Bank of Finland, Helsinki

    The output gap is a commonly used tool to assess the state of the business cycle, and as such, a key input for policy makers. In this article, we employ principal components analysis (PCA) to derive an estimate of the output gap in Finland that... mehr

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    The output gap is a commonly used tool to assess the state of the business cycle, and as such, a key input for policy makers. In this article, we employ principal components analysis (PCA) to derive an estimate of the output gap in Finland that summarizes the information of widely used cyclical indicators. This methodology produces an output gap that is similar to the ones obtained from the main methods used at the Bank of Finland and the European Commission, but requiring considerably less modelling effort. The method is also flexible and can readily be adopted to internalize additional information that captures special circumstances, such as the current pandemic. In this spirit, we extend our information set to include a service turnover indicator, and find that it clearly improves the method's ability to capture the exceptional downturn in 2020.

     
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    hdl: 10419/243288
    Schriftenreihe: BoF economics review ; 2021, 6
    Schlagworte: cyclical indicators; output gap; potential output; principal component analysis; service turnover; COVID-19
    Umfang: 1 Online-Ressource (circa 15 Seiten), Illustrationen
  2. Recuperação econômica e fechamento gradual do hiato: um exercício de consistência de médio e longo prazos
    Autor*in: Souza Júnior, José Ronaldo de Castro; Giambiagi, Fabio
    Erschienen: setembro de 2021
    Verlag:  Instituto de Pesquisa Econômica Aplicada, Rio de Janeiro

    This article discusses which may be the trajectory of the Brazilian economy over the 2020s, particularly in the transition from the current period when there is idle capacity in the economy to a period when the growth of supply capacity may again be... mehr

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    This article discusses which may be the trajectory of the Brazilian economy over the 2020s, particularly in the transition from the current period when there is idle capacity in the economy to a period when the growth of supply capacity may again be crucial for growth. From the context created by the recession of 2020 caused by the coronavirus pandemic - which resulted in the expansion of the output gap - and a discussion of the limitations that will condition the future performance of the economy, we show the scenario outlined, explaining its logic, the determinants and the assumptions. That said, we explain why the pattern of potential GDP recovery expected in the coming years differs from that seen on previous occasions. The fi gures suggest that Brazil will have a modest expansion of potential GDP at the beginning of the projection, however, that the growth of the variable can be accelerated gradually with the gradual increase in the investment rate and productivity growth. Despite the low potential GDP initial growth, the degree of idleness would allow an average GDP growth of around 2.5% pa between the base year of 2021 and the end of the decade - considering the scenario proposed in the article. In this scenario, the country would reach the end of the decade with an investment rate of more than 22% of GDP. Thus, if the country manages to face the challenges of fi scal consolidation and the implementation of reforms that improve productivity and attract private investment, the prospects for the decade would be very promising, after the extremely negative decade of 2010/2020.

     
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    Sprache: Portugiesisch
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    Weitere Identifier:
    hdl: 10419/243043
    Schriftenreihe: Texto para discussão / Ipea ; 2690
    Schlagworte: potential output; output gap; economic growth; productivity; growth scenarios
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  3. Cyclical signals from the labor market
    Autor*in: Berger, Tino; Boll, Paul David; Morley, James C.; Wong, Benjamin
    Erschienen: October 12, 2021
    Verlag:  Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, Canberra

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    Schriftenreihe: CAMA working paper ; 2021, 91 (October 2021)
    Schlagworte: Nowcasting; output gap; Covid-19; U-2 unemployment rate; average hourly earnings
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  4. Globalisation and the slope of the Phillips curve
    Autor*in: Kohlscheen, Emanuel; Moessner, Richhild
    Erschienen: October 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We study the effects of globalisation on the slope of the New Keynesian Phillips curve for CPI inflation, based on a broad panel of 35 countries and controlling for possibly non-linear exchange rate effects. We find that the output gap generally has... mehr

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    We study the effects of globalisation on the slope of the New Keynesian Phillips curve for CPI inflation, based on a broad panel of 35 countries and controlling for possibly non-linear exchange rate effects. We find that the output gap generally has a significant positive effect on inflation, but that this effect decreases as integration in the global economy increases. We conclude that the advance of globalisation has been a key force behind the flattening of price Phillips curves across the world.

     
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    hdl: 10419/248928
    Schriftenreihe: CESifo working paper ; no. 9383 (2021)
    Schlagworte: inflation; globalisation; openness; output gap; Phillips curve
    Umfang: 1 Online-Ressource (circa 10 Seiten), Illustrationen
  5. Nowcasting the output gap
    Autor*in: Berger, Tino; Morley, James C.; Wong, Benjamin
    Erschienen: August 20, 2020
    Verlag:  Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, Canberra

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    Schriftenreihe: CAMA working paper ; 2020, 78 (August 2020)
    Schlagworte: Nowcasting; output gap; COVID-19
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  6. Estimating optimal inflation rate in Saudi Arabia
    using dynamic threshold regression model
    Autor*in: Alsabban, Soleman; Alnuwaiser, Sarah N.
    Erschienen: January 2021
    Verlag:  Saudi Central Bank, [Riadh]

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    Fachinformationsverbund Internationale Beziehungen und Länderkunde
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    German Institute for Global and Area Studies, Bibliothek
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    Schriftenreihe: SAMA working paper ; WP 16 (21)
    Schlagworte: Inflation; Produktion; Optimierung; Korrelation; Statistische Analyse; Optimal Inflation rate; output gap; threshold regression model
    Umfang: 1 Online-Ressource (19 Seiten), Tabellen, Diagramme
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  7. Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect
    Autor*in: Caballero, Ricardo J.; Simsek, Alp
    Erschienen: March 2022
    Verlag:  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... mehr

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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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    hdl: 10419/252149
    Schriftenreihe: CESifo working paper ; no. 9632 (2022)
    Schlagworte: 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
    Umfang: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  8. What does machine learning say about the drivers of inflation?
    Autor*in: Kohlscheen, Emanuel
    Erschienen: 2021
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 980 (November 2021)
    Schlagworte: expectations; forecast; inflation; machine learning; oil price; output gap; Phillips curve
    Umfang: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  9. Tracking the German business cycle
    Autor*in: Berger, Tino; Ochsner, Christian
    Erschienen: [2022]
    Verlag:  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... mehr

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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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    hdl: 10419/262313
    Schriftenreihe: Joint discussion paper series in economics ; no. 2022, 12
    Schlagworte: output gap; Germany; nowcast; mixed frequency; vector-autoregression
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  10. Monitoring the economy in real time
    trends and gaps in real activity and prices
    Autor*in: Hasenzagl, Thomas; Pellegrino, Filippo; Reichlin, Lucrezia; Ricco, Giovanni
    Erschienen: [2022]
    Verlag:  OFCE, Paris, France

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    Schriftenreihe: Sciences Po OFCE working paper ; no 2022, 04
    Schlagworte: Real-time forecasting; output gap; Phillips curve; semi-structural models; Bayesian estimation
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  11. RGAP: output gap estimation in R
    Autor*in: Streicher, Sina
    Erschienen: 2022-06
    Verlag:  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... mehr

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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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    hdl: 20.500.11850/552089
    hdl: 10419/278153
    Schriftenreihe: KOF working papers ; no. 503 (June 2022)
    Schlagworte: business cycle; output gap; potential output; state space models; Kalman filter and smoother; Gibbs sampling
    Umfang: 1 Online-Ressource (circa 66 Seiten)
  12. Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic
    Autor*in: Morley, James C.; Rodriguez Palenzuela, Diego; Sun, Yiqiao; Wong, Benjamin
    Erschienen: [2022]
    Verlag:  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... mehr

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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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    ISBN: 9789289953030
    Weitere Identifier:
    hdl: 10419/269123
    Schriftenreihe: Working paper series / European Central Bank ; no 2716 (August 2022)
    Schlagworte: Beveridge-Nelson decomposition; output gap; Bayesian estimation; multivariate information
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  13. Robust real-time estimates of the German output gap based on a multivariate trend-cycle decomposition
    Autor*in: Berger, Tino; Ochsner, Christian
    Erschienen: [2022]
    Verlag:  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... mehr

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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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    ISBN: 9783957299123
    Weitere Identifier:
    hdl: 10419/265431
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2022, 35
    Schlagworte: output gap; Germany; nowcast; mixed frequency; vector-autoregression
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  14. Assessing Australian monetary policy in the twenty-first century
    Autor*in: Gross, Isaac; Leigh, Andrew
    Erschienen: September 2022
    Verlag:  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... mehr

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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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    hdl: 10419/265782
    Schriftenreihe: Discussion paper series / IZA ; no. 15561
    Schlagworte: optimal monetary policy; unemployment; output gap; inflation
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  15. Assessing Australian monetary policy in the twenty-first century
    Autor*in: Gross, Isaac; Leigh, Andrew
    Erschienen: September 2022
    Verlag:  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... mehr

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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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    hdl: 10419/265994
    Schriftenreihe: CESifo working paper ; no. 9959 (2022)
    Schlagworte: optimal monetary policy; unemployment; output gap; inflation
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  16. Do output gap estimates improve inflation forecasts in Slovakia?
    Autor*in: Ostapenko, Nataliia
    Erschienen: October 2022
    Verlag:  National Bank of Slovakia, Bratislava

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    Schriftenreihe: NSB Working paper / National Bank of Slovakia ; 2022,4
    Schlagworte: output gap; inflation; stability; forecasting
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  17. Why has the U.S. economy stagnated since the Great Recession?
    Autor*in: Eo, Yunjong; Morley, James C.
    Erschienen: [2020]
    Verlag:  Institute of Economic Research, Korea University, Seoul, South Korea

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    Schriftenreihe: Discussion paper series / The Institute of Economic Research, Korea University ; no. 20, 01 (April 6, 2020)
    Schlagworte: Secular stagnation; Great Recession; output gap; trend growth; Markov switching; structural breaks
    Umfang: 1 Online-Ressource (circa 36 Seiten)
  18. Assessment of the nature of the pandemic shock: implications for monetary policy
    Autor*in: Babeckaja-Kucharcǔk, Oksana A.; Brůha, Jan; Král, Petr; Motl, Martin; Tonner, Jaromír
    Erschienen: 2022
    Verlag:  Czech National Bank, Economic Research Division, Praha

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    Schriftenreihe: Research and policy notes / Czech National Bank ; 2022,1
    Schlagworte: Coronavirus pandemic; demand and supply shocks; inflation; monetary policy; output gap
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  19. The inherent uncertainties in output gap estimation
    a South African perspective
    Autor*in: Vermeulen, Cobus
    Erschienen: 23 August 2023
    Verlag:  Economic Research and Statistics Department, South African Reserve Bank, Pretoria

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    Schriftenreihe: South African Reserve Bank working paper series ; WP, 23, 08
    Schlagworte: Potential output; output gap; monetary policy; multivariate filter
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  20. Understanding the food component of inflation
    Autor*in: Kohlscheen, Emanuel
    Erschienen: December 2022
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 1056
    Schlagworte: crop; expectations; energy; food export; food prices; food import; food production; forecast; inflation; output gap; Phillips curve
    Umfang: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  21. Navigating strong currents
    Erschienen: January 2011
    Verlag:  The World Bank, Washington, DC

    Economic activity in most developing countries has, or is close to having, recovered. Supported by resurgence in international and domestic financial flows and higher commodity prices, most of the spare capacity in developing countries that was... mehr

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    Economic activity in most developing countries has, or is close to having, recovered. Supported by resurgence in international and domestic financial flows and higher commodity prices, most of the spare capacity in developing countries that was created by the crisis has been reabsorbed, and developing countries have regained trend growth rates close to those observed in the pre-crisis period. The remainder of this report is organized as follows. The next section discusses recent developments in global production, trade, and financial markets, and presents updates of the World Bank's forecast for the global economy and developing countries. The global economy is transitioning from the bounce-back phase of the recovery toward a period of slower but more sustainable growth. Growth in most developing countries is increasingly running into capacity constraints, while in high-income and developing Europe and Central Asia growth is hampered by the concentrated nature of slack and ongoing restructuring. In this environment, policy needs to be moving away from short-term demand stimulus toward measures that generate additional employment by enhancing the supply potential of economies. The global policy environment has become highly charged and uncertain, and presents multiple risks to prospects for developing countries. As emphasized at the recent G-20 meetings in Seoul (G-20 2010), both developing and high-income countries will need to take care to minimize the negative external consequences of their domestic policy actions. Concretely, this means that while countries must remain mindful of domestic conditions, when opportunities present themselves to pursue domestic policy objectives in a manner that support adjustment elsewhere in the global economy these should be taken up.

     
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    Quelle: Staatsbibliothek zu Berlin
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10986/12102
    Schriftenreihe: Global economic prospects ; volume 2 (January 2011)
    Schlagworte: Wirtschaftslage; Welt; Global Economic Prospects; asset price; auction; Bank Bond; Bank Equity; bank lending; bank loan; banking assets; banking sector; banking sectors; banking system; basis points; Bond; bond flows; bond issuance; Bond Portfolio; bond yield; bonds; capacity constraints; capital control; capital controls; capital flows; capital formation; capital gains; capital inflow; Capital inflows; capital markets; capital outflows; capital shortages; CDS; Central Bank; commodities; commodity; commodity prices; consumer debt; consumer demand; consumer goods; contingent liabilities; Copyright Clearance; Copyright Clearance Center; corporate bonds; credit default; credit default swap; credit default swaps; credit rating; creditors; Current account balance; current account balances; current account deficit; current account deficits; current account surpluses; debt flows; debt relief; deposits; developing countries; Developing country; developing economies; dividends; dollar value; domestic credit; domestic economy; durable; durable goods; economic developments; economic performance; emerging markets; equipment; equities; equity flows; equity issues; equity market; equity markets; exchange rate; exchange rate movements; exchange rates; exporters; exposure; financial crisis; financial flows; financial inflows; financial institutions; financial integration; financial market; financial markets; financial sector; financial sector policies; Financial Stability; financial support; fiscal consolidation; fiscal consolidations; fiscal deficits; fiscal policy; Fixed investment; flows of capital; Food price; food prices; foreign banks; foreign capital; Foreign direct investment; foreign exchange; foreign exchange market; foreign holdings; foreign investors; fund managers; future growth; futures; global economy; global exports; global financial markets; global investors; global pension; global trade; government finances; government spending; growth rate; growth rates; hedge funds; holdings; host country; import costs; income; incomes; indebtedness; inflation; inflationary pressure; inflationary pressures; infrastructure investment; institutional development; Institutional investor; interest income; interest rate; interest rate differentials; interest rates; International Bank; international bond; International capital; International capital flows; international financial markets; International settlements; investment climate; investment flows; investment funds; investment projects; investment rates; investment spending; investment vehicles; labor market; liquidity; local currency; local economy; local market; long-term interest; loss of confidence; Low-income countries; macroeconomic management; macroeconomic policy; market developments; market expectations; market index; market makers; market participants; market price; market prices; market valuations; market volatility; maturity; middle-income countries; monetary policy; money market; money supply; monopoly; Net debt; oil price; oil prices; output; output gap; output gaps; pension; pension funds; pension systems; political stability; Portfolio; portfolio investment; portfolios; power parity; price volatility; private capital; private capital flows; Private creditors; private savings; public finances; purchasing power; rapid expansion; regulatory requirements; remittance; remittances; repayments; reserve; reserve requirements; reserves; savings; savings rates; securities; short-term assets; short-term debt; sovereign debt; sovereign debt markets; speculative bubble; supply shocks; tax; tax rate; tax rates; Technological change; trading; transaction costs; transition countries; transition economies; Treasuries; Unemployment rates; volatility; withdrawal; world economy; world trade; yield spreads
    Umfang: 1 Online-Ressource (circa 129 Seiten), Illustrationen
  22. Improving output gap estimation
    a bottom-up approach
    Autor*in: Rathke, Alexander; Streicher, Sina
    Erschienen: 2023-11
    Verlag:  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... mehr

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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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    Weitere Identifier:
    hdl: 10419/283444
    Schriftenreihe: KOF working papers ; no. 513 (11/2023)
    Schlagworte: Bayesian state space model; business cycle measurement; Gibbs sampling; output gap; potential output; production sectors
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  23. Parameters of Kazakhstan's fiscal policy
    Autor*in: Žakupova, Meruert M.; Hanetova, Ajaköz B.
    Erschienen: [2023]
    Verlag:  National Bank of the Republic of Kazakhstan, [Astana]

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    Schriftenreihe: Array ; no. 2023, 9
    Schlagworte: Kazakhstan; fiscal policy; tax and budget policy; fiscal expansion; government revenues; government expenditure; government spending; fiscal impulse; structural fiscal balance; budget deficit; non-oil deficit; oil revenues; output gap; budget revenue elasticity with respect to output gap; procyclical fiscal policy
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  24. MIDAS regression: a new horse in the race of filtering macroeconomic time series
    Autor*in: Benčík, Michal
    Erschienen: 2023
    Verlag:  National Bank of Slovakia, Bratislava

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    Schriftenreihe: NSB Working paper / National Bank of Slovakia ; 2023,8
    Schlagworte: end point problem; output gap; MIDAS regression
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  25. A deep learning approach to estimation of the Phillips curve in South Africa
    Autor*in: Du Rand, Gideon; Hollander, Hylton; Van Lill, Dawie
    Erschienen: June 2023
    Verlag:  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... mehr

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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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    Sprache: Englisch
    Medientyp: Ebook
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    ISBN: 9789292673871
    Weitere Identifier:
    hdl: 10419/283775
    Schriftenreihe: WIDER working paper ; 2023, 79
    Schlagworte: Phillips curve; inflation; inflation expectations; output gap; monetary policy; neural network
    Umfang: 1 Online-Ressource (circa 14 Seiten), Illustrationen