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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.

Suggested Citation

  • Stefan Leist, 2011. "Driving Forces of the Swiss Output Gap," Diskussionsschriften dp1107, Universitaet Bern, Departement Volkswirtschaft.
  • Handle: RePEc:ube:dpvwib:dp1107
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Gregor Bäurle & Daniel Kaufmann, 2014. "Exchange rate and price dynamics in a small open economy - the role of the zero lower bound and monetary policy regimes," Working Papers 2014-10, Swiss National Bank.
    2. Stefan Leist, 2013. "Driving Forces of the Swiss Output Gap," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 149(IV), pages 493-531, December.
    3. Georgiadis, Georgios & Jančoková, Martina, 2017. "Financial globalisation, monetary policy spillovers and macro-modelling: tales from 1001 shocks," Working Paper Series 2082, European Central Bank.
    4. Gregor Bäurle & Elizabeth Steiner, 2015. "How do Individual Sectors Respond to Macroeconomic Shocks? A Structural Dynamic Factor Approach Applied to Swiss Data," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 151(III), pages 167-225, September.
    5. 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.

    More about this item

    Keywords

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

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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