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Estimates of Potential Output and the Neutral Rate for the U.S. Economy

Author

Listed:
  • Ali Alichi
  • Rania A. Al-Mashat
  • Hayk Avetisyan
  • Mr. Jaromir Benes
  • Olivier Bizimana
  • Aram Butavyan
  • Mr. Robert Ford
  • Narek Ghazaryan
  • Vahagn Grigoryan
  • Mane Harutyunyan
  • Anahit Hovhannisyan
  • Edgar Hovhannisyan
  • Hayk Karapetyan
  • Mariam Kharaishvili
  • Mr. Douglas Laxton
  • Akaki Liqokeli
  • Karolina Matikyan
  • Gevorg Minasyan
  • Shalva Mkhatrishvili
  • Armen Nurbekyan
  • Andrei Orlov
  • Babken Pashinyan
  • Garik Petrosyan
  • Yekaterina Rezepina
  • Aleksandr Shirkhanyan
  • Tamta Sopromadze
  • Lusine Torosyan
  • Erik Vardanyan
  • Hou Wang
  • Jiaxiong Yao

Abstract

Estimates of potential output and the neutral short-term interest rate play important roles in policy making. However, such estimates are associated with significant uncertainty and subject to significant revisions. This paper extends the structural multivariate filter methodology by adding a monetary policy block, which allows estimating the neutral rate of interest for the U.S. economy. The addition of the monetary policy block further improves the reliability of the structural multivariate filter.

Suggested Citation

  • Ali Alichi & Rania A. Al-Mashat & Hayk Avetisyan & Mr. Jaromir Benes & Olivier Bizimana & Aram Butavyan & Mr. Robert Ford & Narek Ghazaryan & Vahagn Grigoryan & Mane Harutyunyan & Anahit Hovhannisyan , 2018. "Estimates of Potential Output and the Neutral Rate for the U.S. Economy," IMF Working Papers 2018/152, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2018/152
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    References listed on IDEAS

    as
    1. Kevin Clinton & Charles Freedman & Michel Juillard & Mr. Ondrej Kamenik & Mr. Douglas Laxton & Hou Wang, 2015. "Inflation-Forecast Targeting: Applying the Principle of Transparency," IMF Working Papers 2015/132, International Monetary Fund.
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    3. Patrick Blagrave & Mr. Roberto Garcia-Saltos & Mr. Douglas Laxton & Fan Zhang, 2015. "A Simple Multivariate Filter for Estimating Potential Output," IMF Working Papers 2015/079, International Monetary Fund.
    4. Ali Alichi & Olivier Bizimana & Silvia Domit & Emilio Fernández Corugedo & Mr. Douglas Laxton & Kadir Tanyeri & Hou Wang & Fan Zhang, 2015. "Multivariate Filter Estimation of Potential Output for the Euro Area and the United States," IMF Working Papers 2015/253, International Monetary Fund.
    5. Peter Isard & Douglas Laxton & Ann-Charlotte Eliasson, 1999. "Simple Monetary Policy Rules Under Model Uncertainty," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 6(4), pages 537-577, November.
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    7. International Monetary Fund, 2010. "Estimating Potential Output with a Multivariate Filter," IMF Working Papers 2010/285, International Monetary Fund.
    8. Ali Alichi & Olivier Bizimana & Mr. Douglas Laxton & Kadir Tanyeri & Hou Wang & Jiaxiong Yao & Fan Zhang, 2017. "Multivariate Filter Estimation of Potential Output for the United States," IMF Working Papers 2017/106, International Monetary Fund.
    9. Clark, Peter & Laxton, Douglas & Rose, David, 2001. "An Evaluation of Alternative Monetary Policy Rules in a Model with Capacity Constraints," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(1), pages 42-64, February.
    10. Mr. Peter B. Clark & Mr. Douglas Laxton & David Rose, 1995. "Capacity Constraints, Inflation and the Transmission Mechanism: Forward-Looking Versus Myopic Policy Rules," IMF Working Papers 1995/075, International Monetary Fund.
    11. Ali Alichi, 2015. "A New Methodology for Estimating the Output Gap in the United States," IMF Working Papers 2015/144, International Monetary Fund.
    12. Mr. Douglas Laxton & Mr. Dirk V Muir & Mr. Michael Kumhof & Susanna Mursula & Charles Freedman, 2009. "Fiscal Stimulus to the Rescue? Short-Run Benefits and Potential Long-Run Costs of Fiscal Deficits," IMF Working Papers 2009/255, International Monetary Fund.
    13. Eyal Argov & David Rose & Mr. Philippe D Karam & Mr. Natan P. Epstein & Mr. Douglas Laxton, 2007. "Endogenous Monetary Policy Credibility in a Small Macro Model of Israel," IMF Working Papers 2007/207, International Monetary Fund.
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    Cited by:

    1. Sariola, Mikko, 2019. "An unobserved components model for Finland – Estimates of potential output and NAWRU," BoF Economics Review 2/2019, Bank of Finland.
    2. Sharma, Saurabh & Behera, Harendra, 2022. "A dissection of Indian growth using a DSGE filter," Journal of Asian Economics, Elsevier, vol. 80(C).
    3. Ali Alichi & Hayk Avetisyan & Douglas Laxton & Shalva Mkhatrishvili & Armen Nurbekyan & Lusine Torosyan & Hou Wang & Armen Nurbekyan & Lusine Torosyan, 2019. "Multivariate Filter Estimation of Potential Output for the United States: An Extension with Labor Market Hysteresis," Working Papers 9, Central Bank of the Republic of Armenia, revised Aug 2019.

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