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Measuring Output Gap: Is It Worth Your Time?

We apply a range of models to the U.K. data to obtain estimates of the output gap. A structural VAR with an appropriate identification strategy provides improved estimates of output gap with better real time properties and lower sensitivity to temporary shocks than the usual filtering techniques. It...

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Bibliographic Details
Main Author: Chen, Jiaqian
Other Authors: Gornicka, Lucyna
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2020
Series:IMF Working Papers
Subjects:
Supply And Demand
Inflation
Economic Theory
Econometric Analysis
Structural Vector Autoregression
Potential Output
Dynamic Treatment Effect Models
Output Gap
Deflation
Production
Supply Shocks
Diffusion Processes
Economic Theory & Philosophy
Production; Economic Theory
Time-series Models
Macroeconomics: Production
Price Level
Macroeconomics
Prices
Agriculture: Aggregate Supply And Demand Analysis
Econometrics
Dynamic Quantile Regressions
Econometrics & Economic Statistics
State Space Models
Production And Operations Management
United Kingdom
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:We apply a range of models to the U.K. data to obtain estimates of the output gap. A structural VAR with an appropriate identification strategy provides improved estimates of output gap with better real time properties and lower sensitivity to temporary shocks than the usual filtering techniques. It also produces smaller out-of-sample forecast errors for inflation. At the same time, however, our results suggest caution in basing policy decisions on output gap estimates
Physical Description:28 pages
ISBN:9781513527864

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