What Is in Your Output Gap? Unified Framework & Decomposition into Observables
What Is in Your Output Gap? Unified Framework & Decomposition into Observables

Author: Michal Andrle

Publisher: International Monetary Fund

Published: 2013-05-10

Total Pages: 45

ISBN-13: 1484399552

DOWNLOAD EBOOK

This paper discusses several popular methods to estimate the ‘output gap’. It provides a unified, natural concept for the analysis, and demonstrates how to decompose the output gap into contributions of observed data on output, inflation, unemployment, and other variables. A simple bar-chart of contributing factors, in the case of multi-variable methods, sharpens the intuition behind the estimates and ultimately shows ‘what is in your output gap.’ The paper demonstrates how to interpret effects of data revisions and new data releases for output gap estimates (news effects) and how to obtain more insight into real-time properties of estimators.

What Is in Your Output Gap? Unified Framework & Decomposition into Observables
What Is in Your Output Gap? Unified Framework & Decomposition into Observables

Author: Michal Andrle

Publisher: International Monetary Fund

Published: 2013-05-10

Total Pages: 45

ISBN-13: 1484360516

DOWNLOAD EBOOK

This paper discusses several popular methods to estimate the ‘output gap’. It provides a unified, natural concept for the analysis, and demonstrates how to decompose the output gap into contributions of observed data on output, inflation, unemployment, and other variables. A simple bar-chart of contributing factors, in the case of multi-variable methods, sharpens the intuition behind the estimates and ultimately shows ‘what is in your output gap.’ The paper demonstrates how to interpret effects of data revisions and new data releases for output gap estimates (news effects) and how to obtain more insight into real-time properties of estimators.

Recent Econometric Techniques for Macroeconomic and Financial Data
Recent Econometric Techniques for Macroeconomic and Financial Data

Author: Gilles Dufrénot

Publisher: Springer Nature

Published: 2020-11-21

Total Pages: 387

ISBN-13: 3030542521

DOWNLOAD EBOOK

The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.

A Model-Based Analysis of Spillovers
A Model-Based Analysis of Spillovers

Author: Michal Andrle

Publisher: International Monetary Fund

Published: 2014-10-17

Total Pages: 50

ISBN-13: 1498381812

DOWNLOAD EBOOK

This paper studies economic and financial spillovers from the euro area to Poland in a two-country semi-structural model. The model incorporates various channels of macrofinancial linkages and cross-border spillovers. We parameterize the model through an extensive calibration process, and provide a wide range of model properties and evaluation exercises. Simulation results suggest a prominent role of foreign demand shocks (euro area and global) in driving Poland’s output, inflation and interest rate dynamics, particularly in recent years. Our model also has the capability for medium-term conditional forecasting and policy analysis.

IMF Research Bulletin, September 2013
IMF Research Bulletin, September 2013

Author: International Monetary Fund. Research Dept.

Publisher: International Monetary Fund

Published: 2013-09-16

Total Pages: 16

ISBN-13: 1475558538

DOWNLOAD EBOOK

The Research Summaries in the September 2013 IMF Research Bulletin focus on “External Conditions and Debt Sustainability in Latin America” (Gustavo Adler and Sebastian Sosa) and “Monetary Policy Cyclicality in Emerging Markets” (Donal McGettigan, Kenji Moriyama, and Chad Steinberg). In the Q&A, Itai Aigur and Sunil Sharma discuss “Seven Questions on Macroprudential Policy Frameworks.” The Research Bulletin also includes an updated listing of recent IMF Working Papers, Staff Discussion Notes, and Recommended Readings from the IMF Bookstore, as well as information on a forthcoming conference. The IMF Economic Review’s new Impact Factor is also highlighted.

Measuring Output Gap: Is It Worth Your Time?
Measuring Output Gap: Is It Worth Your Time?

Author: Mr.Jiaqian Chen

Publisher: International Monetary Fund

Published: 2020-02-07

Total Pages: 28

ISBN-13: 151352786X

DOWNLOAD EBOOK

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.

When and How to Adjust Beyond the Business Cycle? A Guide to Structural Fiscal Balances
When and How to Adjust Beyond the Business Cycle? A Guide to Structural Fiscal Balances

Author: Fabian Bornhorst

Publisher: International Monetary Fund

Published: 2011-04-11

Total Pages: 39

ISBN-13: 1475510209

DOWNLOAD EBOOK

Technical Notes and Manuals are produced by IMF departments to expand the dissemination of their technical assistance advice. These papers present general advice and guidance, drawn in part from unpublished technical assistance reports, to a broader audience. This new series was launched in August 2009.

Technology Shocks and Aggregate Fluctuations
Technology Shocks and Aggregate Fluctuations

Author: Mr.Pau Rabanal

Publisher: International Monetary Fund

Published: 2004-12-01

Total Pages: 68

ISBN-13: 1451875657

DOWNLOAD EBOOK

Our answer: Not so well. We reached that conclusion after reviewing recent research on the role of technology as a source of economic fluctuations. The bulk of the evidence suggests a limited role for aggregate technology shocks, pointing instead to demand factors as the main force behind the strong positive comovement between output and labor input measures.

Productivity Measurement and Analysis
Productivity Measurement and Analysis

Author: OECD

Publisher: OECD Publishing

Published: 2009-04-28

Total Pages: 556

ISBN-13: 9264044612

DOWNLOAD EBOOK

Presents the proceedings of two workshops on productivity measurement and analysis, which brought together representatives of statistical offices, central banks and other officials involved with the analysis and measurement of productivity at aggregate and industry levels.

Fiscal Policy and Long-Term Growth
Fiscal Policy and Long-Term Growth

Author: International Monetary Fund

Publisher: International Monetary Fund

Published: 2015-04-20

Total Pages: 257

ISBN-13: 1498344658

DOWNLOAD EBOOK

This paper explores how fiscal policy can affect medium- to long-term growth. It identifies the main channels through which fiscal policy can influence growth and distills practical lessons for policymakers. The particular mix of policy measures, however, will depend on country-specific conditions, capacities, and preferences. The paper draws on the Fund’s extensive technical assistance on fiscal reforms as well as several analytical studies, including a novel approach for country studies, a statistical analysis of growth accelerations following fiscal reforms, and simulations of an endogenous growth model.