Output gap estimates calculated in real-time are known to be often unreliable. Recent work has found that, without the benefit of hindsight, it can prove difficult for policy-makers to pin down accurately the current position of the output gap. However, attention primarily has focussed on output...

We discuss here a method for identifying relationships between high-frequency and lowfrequency data based on a dynamic regression technique. This allows users to estimate a quarterly analogue to an underlying monthly regression equation. The resulting equation which may be non-linear in the...