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A Unified Framework to Estimate Macroeconomic Stars

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  • Saeed Zaman

Abstract

This paper develops a semi-structural model to jointly estimate “stars” — long-run levels of output (its growth rate), the unemployment rate, the real interest rate, productivity growth, price inflation, and wage inflation. It features links between survey expectations and stars, time-variation in macroeconomic relationships, and stochastic volatility. Survey data help discipline stars’ estimates and have been crucial in estimating a high-dimensional model since the pandemic. The model has desirable real-time properties, competitive forecasting performance, and superior fit to the data compared to variants without the empirical features mentioned above. The by-products are estimates of various objects of great interest to the broader profession.

Suggested Citation

  • Saeed Zaman, 2021. "A Unified Framework to Estimate Macroeconomic Stars," Working Papers 21-23R2, Federal Reserve Bank of Cleveland, revised 31 May 2024.
    • Handle: RePEc:fip:fedcwq:93166
    DOI: 10.26509/frbc-wp-202123r2
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    More about this item

    Keywords

    state-space models; Bayesian analysis; time-varying parameters; natural rates; survey expectations; COVID-19 pandemic;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • O4 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity

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