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Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne

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Author Info

  • Lalonde, René
  • Page, Jennifer
  • St-Amant, Pierre

Abstract

This study introduces a new method for identifying the output gap, based on the estimation of multivariate autoregression (VAR) models. This approach, which involves using restrictions to identify structural shocks that have only a transitory effect on output but that affect the trend inflation rate, is compared with the decomposition method proposed by Blanchard and Quah (1989). We also show some applications based on VAR model estimations for the Canadian, United States, and German economies. We find in particular that shocks having a transitory influence on output can explain most of the variance in inflation in these three countries. This suggests that the long-term neutrality hypothesis about the production of inflation-influencing shocks is a good approximation. We also find that only a small part of the output variance reflects changes in trend inflation. We go on to estimate simple inflation indicator models in order to assess the information that is contained in output gap estimations and used to explain inflationary pressures. The results suggest that the proposed method is a promising one.

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Bibliographic Info

Paper provided by Bank of Canada in its series Working Papers with number 98-21.

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Length: 39 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:bca:bocawp:98-21

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Related research

Keywords: inflation ; inflation indicator ; economies;

References

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  8. Chantal Dupasquier & Alain Guay & Pierre St-Amant, 1997. "A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap," Working Papers 97-5, Bank of Canada.
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  17. Guay, A & St-Amant, P, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Working Papers-Department of Finance Canada 1996-2, Department of Finance Canada.
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  24. Peter C.B. Phillips, 1995. "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Cowles Foundation Discussion Papers 1102, Cowles Foundation for Research in Economics, Yale University.
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  28. Cochrane, John H, 1994. "Permanent and Transitory Components of GNP and Stock Prices," The Quarterly Journal of Economics, MIT Press, vol. 109(1), pages 241-65, February.
  29. Marco Lippi & Lucrezia Reichlin, 1993. "The dynamic effects of aggregate demand and supply disturbances: comment," ULB Institutional Repository 2013/10159, ULB -- Universite Libre de Bruxelles.
  30. Douglas O. Staiger & James H. Stock & Mark W. Watson, 1997. "How Precise Are Estimates of the Natural Rate of Unemployment?," NBER Chapters, in: Reducing Inflation: Motivation and Strategy, pages 195-246 National Bureau of Economic Research, Inc.
  31. Braun, Phillip A. & Mittnik, Stefan, 1993. "Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions," Journal of Econometrics, Elsevier, vol. 59(3), pages 319-341, October.
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Citations

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Cited by:
  1. 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.
  2. Charles St-Arnaud, 2004. "Une approche éclectique d'estimation du PIB potentiel pour le Royaume-Uni," Working Papers 04-46, Bank of Canada.
  3. Martha Misas & Enrique López, . "La Utilización de la Capacidad Instalada de la Industria en Colombia: Un Nuevo Enfoque," Borradores de Economia 153, Banco de la Republica de Colombia.
  4. Cayen, Jean-Philippe & van Norden, Simon, 2005. "The reliability of Canadian output-gap estimates," The North American Journal of Economics and Finance, Elsevier, vol. 16(3), pages 373-393, December.
  5. Yanick Desnoyers, 2001. "L'effet de la richesse sur la consommation aux États-Unis," Working Papers 01-14, Bank of Canada.
  6. ODIA NDONGO, Yves Francis, 2007. "Les sources des fluctuations marcoéconomiques au Cameroun," MPRA Paper 1308, University Library of Munich, Germany.
  7. Odia Ndongo, Yves Francis, 2006. "Datation du Cycle du PIB Camerounais entre 1960 et 2003," MPRA Paper 552, University Library of Munich, Germany.

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