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Driving Forces of the Swiss Output Gap

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  • Stefan Leist

Abstract

Contrary to standard agnostic statistical approaches an output gap estimate based on a New Keynesian Small Open Economy model provides the possibility to analyze the driving forces of the variation in GDP caused by nominal rigidities. This paper makes use of this and provides an estimate of a model based output gap that corresponds well with conventional measures. The results confirm conventional wisdom that most of the variation is due to foreign shocks. But the risk premium shock in the uncovered interest rate parity equation also plays an important role. It has a procyclical effect on the output gap except for the last recession.

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Bibliographic Info

Paper provided by Universitaet Bern, Departement Volkswirtschaft in its series Diskussionsschriften with number dp1107.

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Date of creation: Sep 2011
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Handle: RePEc:ube:dpvwib:dp1107

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Keywords: DSGE models; output gap; natural level of output; small open economy; business cycle; recessions;

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Cited by:
  1. Gregor Bäurle & Elizabeth Steiner, 2013. "How do individual sectors respond to macroeconomic shocks? A structural dynamic factor approach applied to Swiss data," Working Papers 2013-09, Swiss National Bank.
  2. Kaufmann, Daniel & Bäurle, Gregor, 2013. "Exchange Rate and Price Dynamics at the Zero Lower Bound," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79872, Verein für Socialpolitik / German Economic Association.

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