Multivariate Filter Estimation Of Potential Output For The United States
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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
DOWNLOAD
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.
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.
Estimating Potential Output With A Multivariate Filter
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2010-12-01
Estimating Potential Output With A Multivariate Filter written by International Monetary Fund 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 2010-12-01 with Business & Economics categories.
This paper develops a simple model for measuring potential output that uses data on inflation, unemployment, and capacity utilization. We apply the model to 10 countries, in addition to the United States and the euro area. While there is a substantial amount of uncertainty around our estimates, we find that the financial crisis has resulted in a reduction in potential output.
A Simple Multivariate Filter For Estimating Potential Output
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Author : Patrick Blagrave
language : en
Publisher: International Monetary Fund
Release Date : 2015-04-07
A Simple Multivariate Filter For Estimating Potential Output written by Patrick Blagrave 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 2015-04-07 with Business & Economics categories.
Estimates of potential output are an important ingredient of structured forecasting and policy analysis. Using information on consensus forecasts, this paper extends the multivariate filter developed by Benes and others (2010). Although the estimates in real time are more robust relative to those of naïve statistical filters, there is still significant uncertainty surrounding the estimates. The paper presents estimates for 16 countries and provides an example of how the filtered estimates at the end of the sample period can be improved with additional information.
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.
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.
Estimating Potential Output In
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Author : Guy Morel Kossivi Amouzou Agbe
language : en
Publisher: International Monetary Fund
Release Date : 2025-04-18
Estimating Potential Output In written by Guy Morel Kossivi Amouzou Agbe 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 2025-04-18 with categories.
Potential growth in Niger is estimated at around 6 percent with a structurally significant contribution of labor and peaks of growth associated with higher investment in physical capital. Growth in Niger is, however, constrained by weak productivity, limited structural transformation, and inadequate economic diversification, with downside risks stemming mainly from regional insecurity and adverse climate shocks. Key factors that could boost economic growth in Niger include investment in human capital, the development of the extractive sector and agro-industrial value chains and the diffusion of digital technologies.
A New Methodology For Estimating The Output Gap In The United States
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Author : Ali Alichi
language : en
Publisher: International Monetary Fund
Release Date : 2015-06-30
A New Methodology For Estimating The Output Gap In 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 2015-06-30 with Business & Economics categories.
The gap between potential and actual output—the output gap—is a key variable for policymaking. This paper adapts the methodology developed in Blagrave and others (2015) to estimate the path of output gap in the U.S. economy. The results show that the output gap has considerably shrunk since the Great Recession, but still remains negative. While the results are more robust than other existing methodologies, there is still significant uncertainty surrounding the estimates.