We apply Diebold-Yilmaz spillover index methodology to monthly industrial production indices to study business cycle interdependence among G-6 industrialized countries since 1958. The business cycle spillover index fluctuates substantially over time, increasing especially after the 1973-75,...

The output gap measured as the percentage deviation of actual output from its potential level is an indicator of an economy's achievement. Output gap has been an important concept used for forming of policies. In this study, we estimated the potential output and output gap, established some of...

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...

The German unemployment rate shows strong signs if non-stationarity over the course of the previous decades. This is in line with an insider-outsider model under full hysteresis. We applied a "theory-guided view" to the data using the structural VAR model as developed by Balmaseda, Dolado and...

Output gaps for ten European countries and the USA are estimated based on a CES production function with input augmentation in the technological progress. The substitution parameter is estimated from the coefficients of the labor and capital demand functions. The estimation is done using...

Recent work on policy rules under uncertainty have highlighted the impact of output gap measurement errors on economic outcomes and their importance in the formulation of appropriate policy rules. This paper investigates the reliability of current estimates of the output gap in Canada. We begin...

We present estimates of finance-adjusted output gaps which incorporate the information on the domestic and global credit cycles for a sample of emerging market economies (EMEs). Following recent BIS research, we use a state-space representation of an HP filter augmented with a measure of the...

The Treasury has been testing the assumptions on the potential growth rate of the New Zealand economy. In this paper, we estimate a small macro model using Bayesian techniques, which allows us to assess the level of uncertainty of the estimates of the output gap. The model is based on the work...

The output gap is a crucial concept in the monetary policy framework, indicating demand pressure that generates inflation. However, its definition and estimation raise a number of theoretical and empirical questions. This paper evaluates a series of univariate and multivariate methods for...

This paper presents three measures of the output gap estimated by a dynamic stochastic general equilibrium model of the Czech economy. We argue that the most plausible description of the business cycle provides the output gap defined as a deviation from a flexible price level of output, which is...