One of the goals of stabilization policy is to reduce the output gap—the difference between potential and actual output—during downturns. Potential output, however, is an unobserved variable whose definition can vary. For example, some view potential output as the level of output...

This paper analyses alternative constraints in Structural VAR models allowing for the decomposition between permanent and transitory components. Alternative SVAR specifications are then compared in a real-time exercise using the HP filter as a benchmark.

This paper assesses the statistical reliability of different measures of the output gap - the multivariate Hodrick-Prescott Filter, the multivariate unobserved components method and the structural vector autoregressive model - in the Euro area. Three criteria are used: the consistency of...

The paper assesses the impact of adding information on financial cycles on the output gap estimates for eight advanced economies using two unobserved components models: a reduced form extended Hodrick-Prescott filter, and a standard semi-structural unobserved components model. To complement...