Multivariate Filter Estimation Of Potential Output For The Euro Area And The United States

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Multivariate Filter Estimation Of Potential Output For The Euro Area And The United States

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Author : Ali Alichi
language : en
Publisher: International Monetary Fund
Release Date : 2015-12-01

Multivariate Filter Estimation Of Potential Output For The Euro Area And The United States written by Ali Alichi and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-01 with Business & Economics categories.

The estimates of potential output and the output gap presented in this paper are not official IMF estimates. The programs and potential output estimates in this paper can be downloaded from www.douglaslaxton.org.The views expressed in this paper are those of the authors and do not necessarily represent those of the IMF or IMF policy. The authors would like to thank the European Department of the IMF for helpful comments. All errors and omissions are our own.

Multivariate Filter Estimation Of Potential Output For The Euro Area And The United States

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Author : Ali Alichi
language : en
Publisher: International Monetary Fund
Release Date : 2015-12-01

Multivariate Filter Estimation Of Potential Output For The Euro Area And The United States written by Ali Alichi and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-01 with Business & Economics categories.

The estimates of potential output and the output gap presented in this paper are not official IMF estimates. The programs and potential output estimates in this paper can be downloaded from www.douglaslaxton.org.The views expressed in this paper are those of the authors and do not necessarily represent those of the IMF or IMF policy. The authors would like to thank the European Department of the IMF for helpful comments. All errors and omissions are our own.

Multivariate Filter Estimation Of Potential Output For The United States

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Author : Ali Alichi
language : en
Publisher: International Monetary Fund
Release Date : 2017-05-04

Multivariate Filter Estimation Of Potential Output For The United States written by Ali Alichi and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-05-04 with Business & Economics categories.

Estimates of potential output are an important component of a structured forecasting and policy analysis system. Using information on capacity utilization, this paper extends the multivariate filter developed by Laxton and Tetlow (1992) and modified by Benes and others (2010), Blagrave and others (2015), and Alichi and others (2015). We show that, although still fairly uncertain, the real-time estimates from this approach are more accurate than estimates constructed from naïve univariate statistical filters. The paper presents illustrative estimates for the United States and discusses how the end-of-sample estimates can be improved with additional information.

Multivariate Filter Estimation Of Potential Output For The United States An Extension With Labor Market Hysteresis

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Author : Ali Alichi
language : en
Publisher: International Monetary Fund
Release Date : 2019-02-19

Multivariate Filter Estimation Of Potential Output For The United States An Extension With Labor Market Hysteresis written by Ali Alichi and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-19 with Business & Economics categories.

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, thereby reducing (increasing) potential output. Applying the model to U.S. data results in significantly smaller estimates of output gaps, and higher estimates of the NAIRU, after the global financial crisis, compared to estimates without hysteresis. The smaller output gaps partly explain the absence of persistent deflation despite the slow recovery during 2010-2017. Going forward, if strong growth performance continues well beyond 2018, hysteresis is expected to result in a structural improvement in growth and employment.

Estimates Of Potential Output And The Neutral Rate For The U S Economy

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Author : Ali Alichi
language : en
Publisher: International Monetary Fund
Release Date : 2018-07-06

Estimates Of Potential Output And The Neutral Rate For The U S Economy written by Ali Alichi and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-06 with Business & Economics categories.

Estimates of potential output and the neutral short-term interest rate play important roles in policy making. However, such estimates are associated with significant uncertainty and subject to significant revisions. This paper extends the structural multivariate filter methodology by adding a monetary policy block, which allows estimating the neutral rate of interest for the U.S. economy. The addition of the monetary policy block further improves the reliability of the structural multivariate filter.

Assessing The Impact Of Structural Reforms On Potential Output The Case Of Morocco

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Author : Hippolyte W. Balima
language : en
Publisher: International Monetary Fund
Release Date : 2023-10-27

Assessing The Impact Of Structural Reforms On Potential Output The Case Of Morocco written by Hippolyte W. Balima and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-10-27 with Business & Economics categories.

This paper assesses Morocco’s potential output and the scope for structural reforms to reverse the downward trend in economic performance observed since the Global Financial Crisis. Using multivariate filtering (MVF) techniques, our analysis finds that the downward secular trend in potential growth was primarily driven by the decline in the contribution of labor inputs. We then combine production function and general equilibrium model approaches to provide estimates of the potential macroeconomic impact of Morocco’s structural reform agenda. The results suggest that the planned structural reforms could deliver sizable output gains in the medium to long term with reforms that would reduce the large gender gap in Morocco’s labor market yielding the greatest payoffs.

Labor Market Slack And The Output Gap The Case Of Korea

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Author : Mr.Niels-Jakob H Hansen
language : en
Publisher: International Monetary Fund
Release Date : 2019-08-02

Labor Market Slack And The Output Gap The Case Of Korea written by Mr.Niels-Jakob H Hansen and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-08-02 with Business & Economics categories.

Output gap estimates are widely used to inform macroeconomic policy decisions, including in Korea. The main determinant of these estimates is the measure of labor market slack. The traditional measure of unemployment in Korea yields an incomplete estimate of labor market slack, given that many workers prefer involuntary part-time jobs or leaving the labor force rather than registering as unemployed. This paper discusses a way in which the measure of unemployment can be broadened to yield a more accurate measure of labor market slack. This broader measure is then used to estimate the output gap using a multivariate filter, yielding a more meaningful measure of the output gap.

Botswana

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Author : International Monetary Fund. African Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2022-07-27

Botswana written by International Monetary Fund. African Dept. and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-07-27 with Business & Economics categories.

As of end-2021, Botswana had recovered to its pre-crisis output level thanks to a strong rebound in demand for diamonds, a successful vaccination campaign, and policy support. Fiscal and current account deficits both narrowed sharply, and foreign reserves stabilized but buffers are yet to be fully rebuilt. Inflation exceeded the central bank’s medium-term objective range, while unemployment rose close to record highs. Growth in 2022 and beyond is expected to be around potential, while fiscal and external positions are projected to strengthen with more favorable terms of trade and strong fiscal consolidation. Risks to the outlook are associated with the war in Ukraine, the pandemic, and the implementation of fiscal consolidation and economic diversification plans.

The Euro Area Business Cycle

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Author : Lucrezia Reichlin
language : en
Publisher: Centre for Economic Policy Research
Release Date : 2004

The Euro Area Business Cycle written by Lucrezia Reichlin and has been published by Centre for Economic Policy Research this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Business & Economics categories.

Republic Of Korea

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Author : International Monetary Fund. Asia and Pacific Dept
language : en
Publisher: International Monetary Fund
Release Date : 2019-05-13

Republic Of Korea written by International Monetary Fund. Asia and Pacific Dept and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-13 with Business & Economics categories.

This Selected Issues paper analyzes monetary policy and financial cycles; the evolution of macroprudential policies in Korea; the efficacy in prudential policies in taming financial excess and building financial resilience and; the interaction between monetary policy and macroprudential policies. Evidence for Korea suggests that financial stability will not necessarily materialize as a natural by-product of a so-called appropriate monetary policy stance. Although the effects of monetary and macroprudential instruments may overlap, they are not perfect substitutes. Macroprudential policies can also impact the banking system by affecting bank funding costs through the net interest margin. In certain circumstances borrower-based prudential measures and monetary policy can complement one another. Macroprudential policies can impact banks profitability. Policymakers should be mindful that macroprudential policy is not free of costs and that there may be trade-offs between the stability and the efficiency of financial systems.