A Simple Multivariate Filter for Estimating Potential Output
April 7, 2015
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Summary
Estimates of potential output are an important ingredient of structured forecasting and policy analysis. Using information on consensus forecasts, this paper extends the multivariate filter developed by Benes and others (2010). Although the estimates in real time are more robust relative to those of naïve statistical filters, there is still significant uncertainty surrounding the estimates. The paper presents estimates for 16 countries and provides an example of how the filtered estimates at the end of the sample period can be improved with additional information.
Subject: Inflation, Labor, Output gap, Potential output, Prices, Production, Production growth, Unemployment
Keywords: estimates of the output gap, Global, Inflation, inflation expectation, Macroeconomic Modeling, Output gap, output gap decomposition, output gap to inflation, output tradeoff sense, output-gap estimate, Potential Output, production function, Production growth, Unemployment, WP
Pages:
30
Volume:
2015
DOI:
Issue:
079
Series:
Working Paper No. 2015/079
Stock No:
WPIEA2015079
ISBN:
9781475565133
ISSN:
1018-5941
