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Multivariate filter estimation of potential output for the United States : an extension with labor market hysteresis

Alichi, Ali; Avetisyan, Hayk; Laxton, Douglas; … - 2019

This paper extends the multivariate filter approach of estimating potential output developed by Alichi and others (2018) to incorporate labor market hysteresis. This extension captures the idea that long and deep recessions (expansions) cause persistent damage (improvement) to the labor market,...

Persistent link: https://www.econbiz.de/10012009370

A Simple Multivariate Filter for Estimating Potential Output

Blagrave, Patrick - 2015

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...

Persistent link: https://www.econbiz.de/10014412027

Intangible investment and low inflation : a framework and some evidence

Lall, Subir; Zeng, Li - 2020

Intangible investment is growing as a share of economic activity. We present a simple framework incorporating its … distinguishing characteristic of generally greater scalability and lower marginal costs than tangible investment. We show evidence … large constituent of intangible investment, may be leading to wage stagnation and greater market concentration …

Persistent link: https://www.econbiz.de/10012302067

Risks of stagnation in the euro area

Lin, Huidan - 2016

unemployment and debt. The paper illustrates in a downside scenario, how low potential growth and crisis legacies leave the euro …

Persistent link: https://www.econbiz.de/10011436794

Estimating Potential Output and the Output Gap in Slovakia

Konuki, Tetsuya - 2008

This paper estimates potential output and the output gap for Slovakia which enjoyed rapid growth with few signs of economic overheating in recent years. It applies two broad sets of approaches: conventional methods, represented by a statistical method and a production function approach; and a...

Persistent link: https://www.econbiz.de/10014401465

Inflation reports and models : how well do central banks really write?

Bulíř, Aleš; Hurník, Jaromír; Šmídková, Kateřina - 2014

Persistent link: https://www.econbiz.de/10010388763

Estimating the implicit inflation target of the South African reserve bank

Klein, Nir - 2012

This paper applies a state-space approach to estimate the implicit inflation target of the South African Reserve Bank (SARB) since the adoption of the Inflation Targeting (IT) framework. The paper's findings are two. First, although the official inflation target range is 3.6 percent, in...

Persistent link: https://www.econbiz.de/10009621000

Transitory and permanent shocks in the global market for crude oil

Rebei, Nooman; Sbia, Rashid - 2020

This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus...

Persistent link: https://www.econbiz.de/10012251290

A closed form multivariate linear filter

Boadway, Robin W.; Vitek, Francis - 2018

Multivariate Linear Filter to jointly estimate potential output, the natural rate of unemployment and the natural rate of interest …

Persistent link: https://www.econbiz.de/10011978601

Quantitative Properties of Sovereign Default Models : Solution Methods Matter

Martinez, Leonardo - 2010

We study the sovereign default model that has been used to account for the cyclical behavior of interest rates in emerging market economies. This model is often solved using the discrete state space technique with evenly spaced grid points. We show that this method necessitates a large number of...

Persistent link: https://www.econbiz.de/10014402876