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The information content of real-time output GAP estimates: an application to the Euro area Author info | Abstract | Publisher info | Download info | Related research | Statistics Gerhard Ruenstler () (European Central Bank, Kaiserstrasse 29, Postfach 16 03 19, 60066 Frankfurt am Main, Germany. )
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The paper investigates real-time output gap estimates for the euro area obtained from various unobserved components (UOC) models. Based on a state space modelling framework, three criteria are used to evaluate real-time estimates, i.e. standard errors, unbiasedness and conditional inflation forecasts. Real-time estimates from univariate moving average filters and from bivariate UOC models based on output and inflation are found to be rather uninformative. Extended models, which employ the information from cyclical indicators and factor inputs, however, improve substantially upon the former models in all criteria. The pessimism on the reliability of real-time output gap estimates expressed in earlier literature may therefore be overstated. JEL Classification: C52; E31; E32.
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Paper provided by European Central Bank in its series Working Paper Series with number
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Length: 45 pages
Date of creation: Sep 2002Date of revision:
Handle: RePEc:ecb:ecbwps:20020182Contact details of provider: Postal: Postfach 16 03 19, Frankfurt am Main, Germany Phone: +49 69 1344 0 Fax: +49 69 1344 6000 Web page: http://www.ecb.europa.eu/home/html/index.en.html More information through EDIRC
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Keywords: Output GAP ; UOC models ; filtering and information ; inflation dynamics. ; 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.:
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