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Une approche éclectique d'estimation du PIB potentiel pour le Royaume-Uni

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  • Charles St-Arnaud
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    Abstract

    The author describes results obtained by using a new methodology to estimate potential output for the United Kingdom. The estimation method, which follows Rennison (2003) and Gosselin and Lalonde (2002), shows that combining the use of a Hodrick-Prescott filter and a structural vector autoregression (SVAR) is optimal to estimating potential output. Using this method, the author estimates two components of U.K. potential output: the full-employment labour input and the trend rate of labour-productivity growth. This type of decomposition is similar to the one used by HM Treasury (2002) and is particularly useful for identifying the source of fluctuations in potential output. The author's results show that growth in potential output was primarily driven by growth in labour productivity over the 1971–2003 period, whereas its volatility is accounted for by the labour-input component. In addition, the author attempts to explain movements in inflation using this new methodology.

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    Bibliographic Info

    Paper provided by Bank of Canada in its series Working Papers with number 04-46.

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    Length: 46 pages
    Date of creation: 2004
    Date of revision:
    Handle: RePEc:bca:bocawp:04-46

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    Postal: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada
    Phone: 613 782-8845
    Fax: 613 782-8874
    Web page: http://www.bank-banque-canada.ca/

    Related research

    Keywords: Potential output; Econometric and statistical methods; Business fluctuations and cycles;

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    References

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    1. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September.
    2. Nicholas Oulton, 2001. "ICT and productivity growth in the United Kingdom," Bank of England working papers 140, Bank of England.
    3. Marco Bianchi & Gylfi Zoega, 1998. "Unemployment persistence: does the size of the shock matter?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 283-304.
    4. Apel, Mikael & Jansson, Per, 1999. "A theory-consistent system approach for estimating potential output and the NAIRU," Economics Letters, Elsevier, vol. 64(3), pages 271-275, September.
    5. Laurence Ball & N. Gregory Mankiw, 2002. "The NAIRU in Theory and Practice," Journal of Economic Perspectives, American Economic Association, vol. 16(4), pages 115-136, Fall.
    6. Jean-Philippe Cayen & Simon van Norden, 2002. "La fiabilité des estimations de l'écart de production au Canada," Working Papers 02-10, Bank of Canada.
    7. Sharon Kozicki & P.A. Tinsley, 2001. "Dynamic specifications in optimizing trend-deviation macro models," Research Working Paper RWP 01-03, Federal Reserve Bank of Kansas City.
    8. Richard Disney & Jonathan Haskel & Ylva Heden, 2003. "Restructuring and productivity growth in uk manufacturing," Economic Journal, Royal Economic Society, vol. 113(489), pages 666-694, 07.
    9. Catherine L. Mann, 1997. "Globalization and productivity in the United States and Germany," International Finance Discussion Papers 595, Board of Governors of the Federal Reserve System (U.S.).
    10. Sterne, Gabriel & Bayoumi, Tamim, 1995. "Temporary Cycles or Volatile Trends? Economic Fluctuations in 21 OECD Economies," The Manchester School of Economic & Social Studies, University of Manchester, vol. 63(1), pages 23-51, March.
    11. Andrew Rennison, 2003. "Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach," Working Papers 03-8, Bank of Canada.
    12. 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.
    13. Steve Nickell & Jan van Ours, 2000. "Why has Unemployment in the Netherlands and the United Kingdom Fallen so Much?," Canadian Public Policy, University of Toronto Press, vol. 26(s1), pages 201-220, July.
    14. 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.
    15. Gavin Cameron & James Proudman & Stephen Redding, 1999. "Openness and its association with productivity growth in UK manufacturing industry," Bank of England working papers 104, Bank of England.
    16. Marc-André Gosselin & René Lalonde, 2002. "Une approche éclectique d'estimation du PIB potentiel américain," Working Papers 02-36, Bank of Canada.
    17. Claude Giorno & Pete Richardson & Deborah Roseveare & Paul van den Noord, 1995. "Estimating Potential Output, Output Gaps and Structural Budget Balances," OECD Economics Department Working Papers 152, OECD Publishing.
    18. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    19. P.A. Tinsley, 1993. "Fitting both data and theories: polynomial adjustment costs and error- correction decision rules," Finance and Economics Discussion Series 93-21, Board of Governors of the Federal Reserve System (U.S.).
    20. Nickell, Stephen, 2001. " Fundamental Changes in the UK Labour Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(0), pages 715-36, Special I.
    21. Vincenzo Cassino & Richard Thornton, 2002. "Do changes in structural factors explain movements in the equilibrium rate of unemployment?," Bank of England working papers 153, Bank of England.
    22. Jennifer V Greenslade & Richard G Pierse & Jumana Saleheen, 2003. "A Kalman filter approach to estimating the UK NAIRU," Bank of England working papers 179, Bank of England.
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