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Driving Forces of the Swiss Output Gap

  • Stefan Leist

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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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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  11. Stefan Leist, 2011. "Driving Forces of the Swiss Output Gap," Diskussionsschriften dp1107, Universitaet Bern, Departement Volkswirtschaft.
  12. An, Sungbae & Schorfheide, Frank, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers.
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  25. Stefan Leist & Klaus Neusser, 2010. "Measuring the Natural Output Level by DSGE Models: An Empirical Investigation for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 275-300, March.
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