A new methodology for a quarterly measure of the output gap
AbstractThis paper presents a new mixed frequency methodology to estimate output gaps and potential output on a quarterly basis. The methodology strongly relies on the production function method commonly agreed at the European level (D'Auria et.al.,2010) but it significantly improves it allowing to assess the impact of real time forecast for GDP and other underlying variables. This feature of the model is particularly welcome in the current Italian budgetary framework which has foreseen the introduction of the principle of a budget balance in structural terms in the Constitution. By allowing to measure output gap with a quarterly span on the basis of recent developments indicators, the methodology provides interesting hints on the cyclical position of the economy in real time to be used for deriving cyclically-adjusted fiscal aggregates.
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Bibliographic InfoPaper provided by Department of the Treasury, Ministry of the Economy and of Finance in its series Working Papers with number 6.
Date of creation: Aug 2013
Date of revision:
output gaps; potential output; mixed frequency models;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-16 (All new papers)
- NEP-MAC-2013-08-16 (Macroeconomics)
- NEP-SPO-2013-08-16 (Sports & Economics)
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