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La fiabilité des estimations de l'écart de production au Canada

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Jean-Philippe Cayen
Simon van Norden

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Paper provided by Bank of Canada in its series Working Papers with number 02-10.

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Length: 73 pages Abstract: In this paper, we measure, with Canadian data, the scope of the revisions to real-time estimates of the output gap generated with several univariate and multivariate techniques. We also make an empirical evaluation of the usefulness of the output gap estimates for predicting inflation. Our findings suggest that, for all techniques, the standard deviation of the revisions is of the same order of magnitude as the output gap itself. We also find that, with the exception of the Beveridge-Nelson technique, all revisions are persistent, which means that there is a long lag before the scope of the output gap revisions is fully known. Finally, we find that the output gap estimates do not significantly improve the inflation forecasts. We infer from these results that estimates of the output gap are not very reliable.
Date of creation: 2002
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Handle: RePEc:bca:bocawp:02-10

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Keywords: Potential output;

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Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Lalonde, René & Page, Jennifer & St-Amant, Pierre, 1998. "Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne," Working Papers 98-21, Bank of Canada. [Downloadable!]
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  4. Kuttner, Kenneth N, 1994. "Estimating Potential Output as a Latent Variable," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 361-68, July.
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  16. Orphanides, Athanasios & van Norden, Simon, 2005. "The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 583-601, June.
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  17. Glenn D. Rudebusch, 2001. "Is The Fed Too Timid? Monetary Policy In An Uncertain World," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 203-217, May. [Downloadable!] (restricted)
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  22. Kichian, Maral, 1999. "Measuring Potential Output within a State-Space Framework," Working Papers 99-9, Bank of Canada. [Downloadable!]
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  31. Orphanides, Athanasios & Porter, Richard D. & Reifschneider, David & Tetlow, Robert & Finan, Frederico, 2000. "Errors in the measurement of the output gap and the design of monetary policy," Journal of Economics and Business, Elsevier, vol. 52(1-2), pages 117-141. [Downloadable!] (restricted)
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  32. Athanasios Orphanides, 1998. "Monetary policy evaluation with noisy information," Finance and Economics Discussion Series 1998-50, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Frédérick Demers & Annie De Champlain, 2005. "Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?," Working Papers 05-44, Bank of Canada. [Downloadable!]
  2. Marc-André Gosselin & René Lalonde, 2002. "Une approche éclectique d'estimation du PIB potentiel américain," Working Papers 02-36, Bank of Canada. [Downloadable!]
  3. Cayen, Jean-Philippe & van Norden, Simon, 2004. "The reliability of Canadian output gap estimates," Discussion Paper Series 1: Economic Studies 2004,29, Deutsche Bundesbank, Research Centre. [Downloadable!]
    Other versions:
  4. Charles St-Arnaud, 2004. "Une approche éclectique d'estimation du PIB potentiel pour le Royaume-Uni," Working Papers 04-46, Bank of Canada. [Downloadable!]
  5. Athanasios Orphanides & Simon van Norden, 2003. "The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time," CIRANO Working Papers 2003s-01, CIRANO. [Downloadable!]
    Other versions:
  6. Marc-André Gosselin & René Lalonde, 2006. "An Eclectic Approach to Estimating U.S. Potential GDP," Empirical Economics, Springer, vol. 31(4), pages 951-975, November. [Downloadable!] (restricted)
  7. Odile Chagny & Matthieu Lemoine, 2004. "An estimation of the euro area potential output with a semi-structural multivariate Hodrick-Prescott filter," Documents de Travail de l'OFCE 2004-14, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]
  8. Andrew Rennison, 2003. "Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach," Working Papers 03-8, Bank of Canada. [Downloadable!]
  9. Matthieu LEMOINE & Odile CHAGNY, 2005. "Estimating the potential output of the euro area with a semi-structural multivariate Hodrick-Prescott filter," Computing in Economics and Finance 2005 344, Society for Computational Economics. [Downloadable!]
  10. Ali Dib, 2002. "Nominal Rigidities and Monetary Policy in Canada Since 1981," Working Papers 02-25, Bank of Canada. [Downloadable!]
  11. Hashmat Khan & Zhenhua Zhu, 2002. "Estimates of the Sticky-Information Phillips Curve for the United States, Canada, and the United Kingdom," Working Papers 02-19, Bank of Canada. [Downloadable!]
  12. Michael Graff, 2004. "Estimates of the output gap in real time: how well have we been doing?," Reserve Bank of New Zealand Discussion Paper Series DP 2004/04, Reserve Bank of New Zealand. [Downloadable!]
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