Finance and Economics Discussion Series: Improving Real-Time Estimates of the Output Gap

This paper investigates strategies for real-time estimation of the output gap. First, I examine estimates from univariate models with stochastic cycles. This corresponds to the use of model-based band-pass filters in real-time, and I find that the turning points in real-time and final output gap series match more closely for higher order models and that the revisions properties and real-time accuracy are more favorable. Second, I investigate the use of capacity utilization as an auxiliary indicator to improve on output gap estimates in real-time. I find that this bivariate approach leads to significant gains in the accuracy of real-time estimates and in the quality of revisions.

Binding Type: Paperback
Publisher: Bibliogov
Published: 02/05/2013
ISBN: 9781288704866
Pages: 48
Weight: 0.23lbs
Size: 9.69h x 7.44w x 0.10d