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Estimating potential output using business survey data in a svar framework

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  • Tatiana Cesaroni

    ()
    (Ministry of Economy and Finance)

Abstract

Potential output and the related concept of output gap play a central role in the macroeconomic policy interventions and evaluations. In particular, the output gap, defined as the difference between actual and potential output, conveys useful information on the cyclical position of a given economy. This paper proposes estimates of the Italian potential output based on a structural VAR model using data coming from business surveys. This kind of data, given their cyclical profile, are particularly useful for detrending purposes, as they allow to include information concerning the business cycle activity. The ability of the cyclical GDP component obtained with the SVAR decomposition to forecast inflation and to detect business cycle turning points over the expansion and recession phases is then performed.

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File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I3-P206.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 30 (2010)
Issue (Month): 3 ()
Pages: 2249-2258

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Handle: RePEc:ebl:ecbull:eb-08e30021

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Keywords: output gap; business survey data; structural VAR models; forecast ability;

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  1. A'Hearn, Brian & Woitek, Ulrich, 2001. "More international evidence on the historical properties of business cycles," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 321-346, April.
  2. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
  3. Athanasios Orphanides & Simon van Norden, 2001. "The Unreliability of Output Gap Estimates in Real Time," CIRANO Working Papers 2001s-57, CIRANO.
  4. Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
  5. Tatiana Cesaroni, 2007. "Inspecting the cyclical properties of the Italian Manufacturing Business survey data," ISAE Working Papers 83, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  6. Iris Claus, 2003. "Estimating potential output for New Zealand," Applied Economics, Taylor & Francis Journals, vol. 35(7), pages 751-760.
  7. St-Amant, P. & van Norden, S., 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada.
  8. Clark, Peter K, 1987. "The Cyclical Component of U.S. Economic Activity," The Quarterly Journal of Economics, MIT Press, vol. 102(4), pages 797-814, November.
  9. Simon van Norden, 1995. "Why Is It So Hard to Measure the Current Output Gap?," Macroeconomics 9506001, EconWPA.
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Cited by:
  1. S. Adnan H. A. S., Bukhari & Safdar Ullah, Khan, 2008. "Estimating Output Gap for Pakistan Economy:Structural and Statistical Approaches," MPRA Paper 9736, University Library of Munich, Germany, revised 20 Jun 2008.

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