The production function approach to the Belgian output gap, estimation of a multivariate structural time series model
AbstractA multivariate structural time series model is applied to the factor inputs of a production function to estimate the Belgian output gap. The number of independent cycles and the frequencies are not restricted a priori. Phase shifts are introduced to allow for leads and lags. Over 1983-2004, a 3.5 years periodicity is found in the cycles. The cycles in the participation and unemployment rates are negligible. Two independent cycles hide behind the cycles of the other variables: hours, TFP and capacity utilization. Phase shifts are significant, with hours leading by as much as 3 quarters and capacity utilization lagging.
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Bibliographic InfoArticle provided by ULB -- Universite Libre de Bruxelles in its journal Brussels economic review.
Volume (Year): 49 (2006)
Issue (Month): 1 ()
Business cycle; output gap; phase shifts; structural time series models;
Other versions of this item:
- Philippe Moës, 2006. "The production function approach to the Belgian output gap, Estimation of a Multivariate Structural Time Series Model," Working Paper Research 89, National Bank of Belgium.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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- Philippe Moës, 2012. "Multivariate models with dual cycles: implications for output gap and potential growth measurement," Empirical Economics, Springer, vol. 42(3), pages 791-818, June.
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