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  1. Estimating the output gap after COVID
    an application to Colombia
    Autor*in: Granados, Camilo; Parra-Amado, Daniel
    Erschienen: [2023]
    Verlag:  Graduate Institute of International and Development Studies, International Economics Department, Geneva, Switzerland

    This study examines whether and how important it is to adjust output gap frameworks during the COVID-19 pandemic and similar unprecedentedly large-scale episodes. Our proposed modelling framework comprises a Bayesian Structural Vector Autoregresion... mehr

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    This study examines whether and how important it is to adjust output gap frameworks during the COVID-19 pandemic and similar unprecedentedly large-scale episodes. Our proposed modelling framework comprises a Bayesian Structural Vector Autoregresion with an identification setup based on a permanent-transitory decomposition that exploits the long-run relationship of consumption with output whose residuals are scaled up around the COVID-19 period. Our results indicate that (i) a single structural error is sufficient to explain the permanent component of the gross domestic product (GDP); (ii) the adjusted method allows for the incorporation of the COVID-19 period without assuming sudden changes in the modelling setup after the pandemic; and (iii) the proposed adjustment generates approximation improvements relative to standard filters or similar models with no adjustments or alternative ones, but where the specific rare observations are not known. Importantly, abstracting from any adjustment may lead to over- or underestimating the gap, too-quick gap recoveries after downturns, or too-large volatility around the median potential output estimations.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
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    Weitere Identifier:
    hdl: 10419/278388
    Schriftenreihe: Working paper series / Graduate Institute of International and Development Studies, International Economics Department ; no. HEIDWP2023, 04
    Schlagworte: Bayesian methods; business cycles; potential output; output gaps; structural estimation
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  2. Quarterly GDP estimates for the German States
    new data for business cycle analyses and long-run dynamics
    Autor*in: Lehmann, Robert; Wikman, Ida
    Erschienen: February 2023
    Verlag:  CESifo, Munich, Germany

    To date, only annual information on economic activity is published for the 16 German states. In this paper, we calculate quarterly regional GDP estimates for the period between 1995 to 2021, thereby improving the regional database for Germany. The... mehr

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    To date, only annual information on economic activity is published for the 16 German states. In this paper, we calculate quarterly regional GDP estimates for the period between 1995 to 2021, thereby improving the regional database for Germany. The new data set will regularly be updated when quarterly economic growth for Germany becomes available. We use the new data for an in-depth business cycle analysis and to estimate long-run growth dynamics. The business cycle analysis reveals large heterogeneities in the duration and amplitudes of state-specific fluctuations as well as in the degrees of cyclical concordance. Long-run trends are found to vary tremendously, with positive developments in economically strong regions and flat or even negative trends for economically much weaker states.

     
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    Sprache: Englisch
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    Weitere Identifier:
    hdl: 10419/271924
    Schriftenreihe: CESifo working papers ; 10280 (2023)
    Schlagworte: regional economic activity; mixed-frequency Vector Autoregression; regional business cycles; concordance; Bayesian methods
    Umfang: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  3. Estimating the output gap after Covid: how to address unprecedented macroeconomic variations
    Autor*in: Granados, Camilo; Parra-Amado, Daniel
    Erschienen: [2023]
    Verlag:  Banco de la Republica Colombia, Bogotá, Colombia

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    hdl: 20.500.12134/10695
    Schriftenreihe: Borradores de economía ; no.1249 (2023)
    Schlagworte: Bayesian methods; business cycles; potential output; output gaps; structural estimation
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  4. Time-varying fiscal multipliers for South Africa
    a large time-varying parameter vector autoregression approach
    Autor*in: Du Rand, Gideon; Hollander, Hylton; Van Lill, Dawie
    Erschienen: August 2023
    Verlag:  United Nations University World Institute for Development Economics Research, Helsinki, Finland

    A critical requirement for efficient fiscal policy is a reliable understanding of its impact on the aggregate economy for different policy instruments and under different economic conditions. Indeed, there is strong evidence to suggest that fiscal... mehr

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    A critical requirement for efficient fiscal policy is a reliable understanding of its impact on the aggregate economy for different policy instruments and under different economic conditions. Indeed, there is strong evidence to suggest that fiscal multipliers vary with economic conditions, the components of government decision-making that are considered, and the identification strategy and modelling approach used. Previous studies on South Africa have typically used small-scale models or constant coefficient linear settings, which do not fully capture either the disaggregated components of spending and tax revenue or the time-varying nature of fiscal multipliers. In this paper we add to the critical evaluation of these limitations by using a large time-varying parameter vector autoregression approach estimated with Bayesian methods. We argue for an agnostic approach that studies the components of aggregate output in an economy which imposes as few restrictions and assumptions as possible. We model the impact of the government-controlled components of output on all other components and present a new way of reconciling these results to aggregate results in other studies. We find multipliers at the lower end of other findings in the literature on South Africa: our estimate of the average cumulative fiscal multiplier of government consumption on output is 0.155, while that of government investment is -0.118. Our approach also casts a cautionary light on both existing research and novel methods used to measure fiscal multipliers. As a result, convincing evidence that fiscal policy can be used actively for business cycle stabilization remains elusive.

     
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    Sprache: Englisch
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    ISBN: 9789292674144
    Weitere Identifier:
    hdl: 10419/283802
    Schriftenreihe: WIDER working paper ; 2023, 106
    Schlagworte: time-varying parameter vector autoregression; fiscal multipliers; Bayesian methods; stabilization
    Umfang: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  5. Underlying inflation and asymmetric risks
    Autor*in: Le Bihan, Hervé; Leiva-León, Danilo; Pacce, Matías
    Erschienen: 2023
    Verlag:  Banco de España, Madrid

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    Schriftenreihe: Documentos de trabajo / Banco de España, Eurosistema ; no. 2319
    Schlagworte: underlying inflation; asymmetric risks; regime-switching; Bayesian methods
    Umfang: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  6. Underlying inflation and asymmetric risks
    Autor*in: Le Bihan, Hervé; Leiva-Leon, Danilo; Pacce, Matías
    Erschienen: [2023]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We propose a new measure of underlying inflation that informs, in real time, about asymmetric risks on the outlook of inflationary pressures. The asymmetries are generated through nonlinearities induced by economic activity. The new indicator is... mehr

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    We propose a new measure of underlying inflation that informs, in real time, about asymmetric risks on the outlook of inflationary pressures. The asymmetries are generated through nonlinearities induced by economic activity. The new indicator is based on a multivariate regime-switching framework jointly estimated on disaggregated sub-components of the euro area HICP and has several additional advantages. First, it is able to swiftly infer abrupt changes in underlying inflation. Second, it helps to timely track turning points in underlying inflation. Third, the proposed indicator also has a satisfactory performance with respect to various criteria relevant for inflation monitoring.

     
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    ISBN: 9789289962131
    Weitere Identifier:
    hdl: 10419/283406
    Schriftenreihe: Working paper series / European Central Bank ; no 2848
    Schlagworte: underlying inflation; asymmetric risks; regime-switching; Bayesian methods
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  7. Incorporating short data into large mixed- frequency VARs for regional nowcasting
    Autor*in: Koop, Gary; McIntyre, Stuart; Mitchell, James; Poon, Aubrey; Wu, Ping
    Erschienen: [2023]
    Verlag:  Department of Economics, University of Strathclyde, Glasgow

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    Schriftenreihe: Strathclyde discussion papers in economics ; no. 23, 11
    Schlagworte: Regional data; Mixed-frequency data; Missing data; Nowcasting; Factors; Bayesian methods; Real-time data; Vector autoregressions
    Umfang: 1 Online-Ressource
  8. Incorporating short data into large mixed-frequency VARs for regional nowcasting
    Autor*in: Koop, Gary; McIntyre, Stuart; Mitchell, James; Poon, Aubrey; Wu, Ping
    Erschienen: [2023]
    Verlag:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    Schriftenreihe: Federal Reserve Bank of Cleveland working paper series ; no. 23, 09 (May 2023)
    Schlagworte: Regional data; Mixed-frequency data; Missing data; Nowcasting; Factors; Bayesian methods; Real-time data; Vector autoregressions
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen