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Output Gap Estimation, Estimation Uncertainty And Its Effect On Policy Rules

  • JUAN MANUEL JULIO

    ()

  • JAVIER GÓMEZ

The authors propose a short run model for the monetary transmission mechanism in which the output gap is model as an unobserved variable. By estimating this model using maximum likelihood on a Kalman Filter, the authors find an estimate of the unobserved output gap as well as its estimation uncertainty. The performance of monetary rules is studied both with certainty on the output gap values as well as with estimation uncertainty.

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File URL: http://www.banrep.gov.co/docum/ensayos/pdf/espe_034-3.pdf
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Article provided by BANCO DE LA REPÚBLICA - ESPE in its journal ENSAYOS SOBRE POLÍTICA ECONÓMICA.

Volume (Year): (1998)
Issue (Month): ()
Pages:

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Handle: RePEc:col:000107:005410
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  1. Glenn D. Rudebusch & Lars E. O. Svensson, 1998. "Policy rules for inflation targeting," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  2. Frank Smets, 2002. "Output gap uncertainty: Does it matter for the Taylor rule?," Empirical Economics, Springer, vol. 27(1), pages 113-129.
  3. Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-34, June.
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