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Reliable real-time estimates of the euro-area output gap

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  • Burlon, Lorenzo
  • D’Imperio, Paolo

Abstract

The paper provides real-time estimates of the euro-area output gap, based on a standard medium scale DSGE model estimated recursively with Bayesian techniques over the period 1985q1-2019q2. Unlike measures of output gap obtained by means of statistical filtering techniques, real-time DSGE-based estimates are remarkably stable and hence are less prone to ex-post revisions, which implies a higher reliability over time of model-based measures of the output gap.

Suggested Citation

  • Burlon, Lorenzo & D’Imperio, Paolo, 2020. "Reliable real-time estimates of the euro-area output gap," Journal of Macroeconomics, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:jmacro:v:64:y:2020:i:c:s0164070419303362
    DOI: 10.1016/j.jmacro.2020.103191
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    4. Davide Fantino & Sara Formai & Alessandro Mistretta, 2021. "Firm characteristics and potential output: a growth accounting approach," Questioni di Economia e Finanza (Occasional Papers) 616, Bank of Italy, Economic Research and International Relations Area.

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    More about this item

    Keywords

    Output gap; Potential output; Reliability; DSGE modelling; Bayesian estimation; Euro area;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions

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