Multivariate Filter Estimation Of Potential Output For The United States An Extension With Labor Market Hysteresis
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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 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.
How Informative Are Real Time Output Gap Estimates In Europe
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Author : Mr.Alvar Kangur
language : en
Publisher: International Monetary Fund
Release Date : 2019-09-20
How Informative Are Real Time Output Gap Estimates In Europe written by Mr.Alvar Kangur 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 2019-09-20 with Business & Economics categories.
We study the properties of the IMF-WEO estimates of real-time output gaps for countries in the euro area as well as the determinants of their revisions over 1994-2017. The analysis shows that staff typically saw economies as operating below their potential. In real time, output gaps tend to have large and negative averages that are largely revised away in later vintages. Most of the mis-measurement in real time can be explained by the difficulty in predicting recessions and by overestimation of the economy’s potential capacity. We also find, in line with earlier literature, that real-time output gaps are not useful for predicting inflation. In addition, countries where slack (and potential growth) is overestimated to a larger extent primary fiscal balances tend to be lower and public debt ratios are higher and increase faster than projected. Previous research suggests that national authorities’ real-time output gaps suffer from a similar bias. To the extent these estimates play a role in calibrating fiscal policy, over-optimism about long-term growth could contribute to excessive deficits and debt buildup.
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.
World Economic Outlook October 2013
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Author : International Monetary Fund. Research Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2013-10-08
World Economic Outlook October 2013 written by International Monetary Fund. Research 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 2013-10-08 with Business & Economics categories.
Global growth is in low gear, and the drivers of activity are changing. These dynamics raise new policy challenges. Advanced economies are growing again but must continue financial sector repair, pursue fiscal consolidation, and spur job growth. Emerging market economies face the dual challenges of slowing growth and tighter global financial conditions. This issue of the World Economic Outlook examines the potential spillovers from these transitions and the appropriate policy responses. Chapter 3 explores how output comovements are influenced by policy and financial shocks, growth surprises, and other linkages. Chapter 4 assesses why certain emerging market economies were able to avoid the classical boom-and-bust cycle in the face of volatile capital flows during the global financial crisis.
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.
Global Economic Prospects June 2021
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Author : World Bank
language : en
Publisher: World Bank Publications
Release Date : 2021-07-27
Global Economic Prospects June 2021 written by World Bank and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-07-27 with Business & Economics categories.
The world economy is experiencing a very strong but uneven recovery, with many emerging market and developing economies facing obstacles to vaccination. The global outlook remains uncertain, with major risks around the path of the pandemic and the possibility of financial stress amid large debt loads. Policy makers face a difficult balancing act as they seek to nurture the recovery while safeguarding price stability and fiscal sustainability. A comprehensive set of policies will be required to promote a strong recovery that mitigates inequality and enhances environmental sustainability, ultimately putting economies on a path of green, resilient, and inclusive development. Prominent among the necessary policies are efforts to lower trade costs so that trade can once again become a robust engine of growth.This year marks the 30th anniversary of the Global Economic Prospects. The Global Economic Prospects is a World Bank Group Flagship Report that examines global economic developments and prospects, with a special focus on emerging market and developing economies, on a semiannual basis (in January and June). Each edition includes analytical pieces on topical policy challenges faced by these economies.
Inflation And Activity Two Explorations And Their Monetary Policy Implications
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Author : Mr.Olivier J. Blanchard
language : en
Publisher: International Monetary Fund
Release Date : 2015-11-06
Inflation And Activity Two Explorations And Their Monetary Policy Implications written by Mr.Olivier J. Blanchard 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 2015-11-06 with Business & Economics categories.
We explore two issues triggered by the crisis. First, in most advanced countries, output remains far below the pre-recession trend, suggesting hysteresis. Second, while inflation has decreased, it has decreased less than anticipated, suggesting a breakdown of the relation between inflation and activity. To examine the first, we look at 122 recessions over the past 50 years in 23 countries. We find that a high proportion of them have been followed by lower output or even lower growth. To examine the second, we estimate a Phillips curve relation over the past 50 years for 20 countries. We find that the effect of unemployment on inflation, for given expected inflation, decreased until the early 1990s, but has remained roughly stable since then. We draw implications of our findings for monetary policy.
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.