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Citations for "The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time"

by Orphanides, Athanasios & van Norden, Simon

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  1. Milas, Costas & Naraidoo, Ruthira, 2012. "Financial conditions and nonlinearities in the European Central Bank (ECB) reaction function: In-sample and out-of-sample assessment," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 173-189, January.
  2. Adriana Fernandez & Evan F. Koenig & Alex Nikolsko-Rzhevskyy, 2011. "A real-time historical database for the OECD," Globalization and Monetary Policy Institute Working Paper 96, Federal Reserve Bank of Dallas.
  3. Ippei Fujiwara & Yasuo Hirose, 2012. "Indeterminacy and Forecastability," CAMA Working Papers 2012-48, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  4. Anthony Garratt & Kevin Lee & Emi Mise & Kalvinder Shields, 2008. "Real-Time Representations of the Output Gap," The Review of Economics and Statistics, MIT Press, vol. 90(4), pages 792-804, November.
  5. Pierre Siklos, 2006. "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers eg0049, Wilfrid Laurier University, Department of Economics, revised 2006.
  6. Biswas, Anindya, 2014. "The output gap and expected security returns," Review of Financial Economics, Elsevier, vol. 23(3), pages 131-140.
  7. Jean-Stéphane MESONNIER, 2007. "The predictive content of the real interest rate gap for macroeconomic variables in the euro area," Money Macro and Finance (MMF) Research Group Conference 2006 102, Money Macro and Finance Research Group.
  8. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
  9. Andreas Billmeier, 2004. "Measuring a Roller Coaster: Evidenceon the Finnish Output Gap," IMF Working Papers 04/57, International Monetary Fund.
  10. James H. Stock & Mark W. Watson, 2007. "Why Has U.S. Inflation Become Harder to Forecast?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 3-33, 02.
  11. Todd E. Clark & Michael W. McCracken, 2007. "Tests of equal predictive ability with real-time data," Research Working Paper RWP 07-06, Federal Reserve Bank of Kansas City.
  12. Alberto Musso & Livio Stracca & Dick van Dijk, 2009. "Instability and Nonlinearity in the Euro-Area Phillips Curve," International Journal of Central Banking, International Journal of Central Banking, vol. 5(2), pages 181-212, June.
  13. Alex Nikolsko‐Rzhevskyy, 2011. "Monetary Policy Estimation in Real Time: Forward‐Looking Taylor Rules without Forward‐Looking Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 871-897, 08.
  14. Bernhardsen, Tom & Eitrheim, Øyvind & Jore, Anne Sofie & Røisland, Øistein, 2004. "Real-time Data for Norway: Challenges for Monetary Policy," Discussion Paper Series 1: Economic Studies 2004,26, Deutsche Bundesbank, Research Centre.
  15. Matheson, Troy D., 2008. "Phillips curve forecasting in a small open economy," Economics Letters, Elsevier, vol. 98(2), pages 161-166, February.
  16. Michael Graff, 2004. "Estimates of the output gap in real time: how well have we been doing?," Reserve Bank of New Zealand Discussion Paper Series DP 2004/04, Reserve Bank of New Zealand.
  17. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
  18. Marcellino, Massimiliano & Musso, Alberto, 2010. "Real time estimates of the euro area output gap: reliability and forecasting performance," Working Paper Series 1157, European Central Bank.
  19. Jan-Egbert Sturm & Michael Graff, 2009. "Schätzung der Outputlücke," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 3(2), pages 55-67, June.
  20. Luca Fanelli & Marco M. Sorge, 2015. "Indeterminacy, Misspecification and Forecastability: Good Luck in Bad Policy?," CSEF Working Papers 402, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  21. Todd E. Clark & Michael W. McCracken, 2008. "Combining forecasts from nested models," Working Papers 2008-037, Federal Reserve Bank of St. Louis.
  22. Matthieu LEMOINE & Odile CHAGNY, 2005. "Estimating the potential output of the euro area with a semi-structural multivariate Hodrick-Prescott filter," Computing in Economics and Finance 2005 344, Society for Computational Economics.
  23. Athanasios Orphanides & John C. Williams, 2002. "Robust Monetary Policy Rules with Unknown Natural Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 33(2), pages 63-146.
  24. Osman, Mohammad & Jean Louis, Rosmy & Balli, Faruk, 2008. "Output gap and inflation nexus: the case of United Arab Emirates," MPRA Paper 34006, University Library of Munich, Germany, revised 2009.
  25. Kevin Lansing, 2009. "Time Varying U.S. Inflation Dynamics and the New Keynesian Phillips Curve," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 304-326, April.
  26. Tom Bernhardsen & ØYvind Eitrheim, 2005. "Real-time data for Norway: Output gap revisions and challenges for monetary policy," Computing in Economics and Finance 2005 274, Society for Computational Economics.
  27. Qin, Ting & Enders, Walter, 2008. "In-sample and out-of-sample properties of linear and nonlinear Taylor rules," Journal of Macroeconomics, Elsevier, vol. 30(1), pages 428-443, March.
  28. Frédérick Demers, 2003. "The Canadian Phillips Curve and Regime Shifting," Staff Working Papers 03-32, Bank of Canada.
  29. Todd E. Clark & Kenneth D. West, 2005. "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper RWP 05-05, Federal Reserve Bank of Kansas City.
  30. Gerit Vogt, 2007. "Analyse der Prognoseeigenschaften von ifo-Konjunkturindikatoren unter Echtzeitbedingungen," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 227(1), pages 87-101, February.
  31. Paloviita, Maritta & Mayes, David, 2004. "The use of real-time information in Phillips curve relationships for the euro area," Discussion Paper Series 1: Economic Studies 2004,28, Deutsche Bundesbank, Research Centre.
  32. L Christopher Plantier & Ozer Karagedikli, 2005. "Do so-called multivariate filters have better revision properties? An empirical analysis," Computing in Economics and Finance 2005 250, Society for Computational Economics.
  33. Todd E. Clark & Michael W. McCracken, 2004. "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper RWP 04-10, Federal Reserve Bank of Kansas City.
  34. Francis E. Warnock & Veronica Cacdac Warnock, 2006. "International Capital Flows and U.S. Interest Rates," NBER Working Papers 12560, National Bureau of Economic Research, Inc.
  35. Ellen E. Meade & Daniel L. Thornton, 2012. "The Phillips curve and US monetary policy: what the FOMC transcripts tell us," Oxford Economic Papers, Oxford University Press, vol. 64(2), pages 197-216, April.
  36. Gamber, Edward N. & Hakes, David R., 2006. "The Taylor rule and the appointment cycle of the chairperson of the Federal Reserve," Journal of Economics and Business, Elsevier, vol. 58(1), pages 55-66.
  37. Medel, Carlos, 2015. "Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile," MPRA Paper 62609, University Library of Munich, Germany.
  38. Nikolsko-Rzhevskyy, Alex, 2008. "Monetary Policy Evaluation in Real Time: Forward-Looking Taylor Rules Without Forward-Looking Data," MPRA Paper 11352, University Library of Munich, Germany.
  39. Agnieszka Markiewicz & Andreas Pick, 2014. "Adaptive learning and survey data," DNB Working Papers 411, Netherlands Central Bank, Research Department.
  40. Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Paper 1120, Federal Reserve Bank of Cleveland.
  41. João Sousa Andrade & António Portugal Duarte, 2014. "Output-gaps in the PIIGS Economies: An Ingredient of a Greek Tragedy," GEMF Working Papers 2014-06, GEMF - Faculdade de Economia, Universidade de Coimbra.
  42. Orphanides, Athanasios & Williams, John C, 2005. "Inflation Scares and Forecast-Based Monetary Policy," CEPR Discussion Papers 4844, C.E.P.R. Discussion Papers.
  43. Stefan Gerlach & John Lewis, 2014. "Zero lower bound, ECB interest rate policy and the financial crisis," Empirical Economics, Springer, vol. 46(3), pages 865-886, May.
  44. Hilde C. Bjørnland & Leif Brubakk & Anne Sofie Jore, 2006. "Forecasting inflation with an uncertain output gap," Working Paper 2006/02, Norges Bank.
  45. Hubrich, Kirstin & West, Kenneth D., 2009. "Forecast evaluation of small nested model sets," Working Paper Series 1030, European Central Bank.
  46. Kamada, Koichiro, 2004. "Real-Time Estimation of the Output Gap in Japan and its Usefulness for Inflation Forecasting and Policymaking," Discussion Paper Series 1: Economic Studies 2004,14, Deutsche Bundesbank, Research Centre.
  47. Garratt, Anthony & Mitchell, James & Vahey, Shaun P. & Wakerly, Elizabeth C., 2011. "Real-time inflation forecast densities from ensemble Phillips curves," The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 77-87, January.
  48. Galbraith, John W. & van Norden, Simon, 2011. "Kernel-based calibration diagnostics for recession and inflation probability forecasts," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1041-1057, October.
  49. Rossi, Barbara & Sekhposyan, Tatevik, 2010. "Have economic models' forecasting performance for US output growth and inflation changed over time, and when?," International Journal of Forecasting, Elsevier, vol. 26(4), pages 808-835, October.
  50. Lemoine, Matthieu & Mazzi, Gian Luigi & Monperrus-Veroni, Paola & Reynes, Frédéric, 2008. "Real time estimation of potential output and output gap for theeuro-area: comparing production function with unobserved componentsand SVAR approaches," MPRA Paper 13128, University Library of Munich, Germany, revised Nov 2008.
  51. Carlo Altavilla & Matteo Ciccarelli, 2009. "The Effects of Monetary Policy on Unemployment Dynamics under Model Uncertainty - Evidence from the US and the Euro Area," CESifo Working Paper Series 2575, CESifo Group Munich.
  52. Papa M'B. P. N'Diaye & Douglas Laxton, 2002. "Monetary Policy Credibility and the Unemployment-Inflation Tradeoff: Some Evidence From 17 Industrial Countries," IMF Working Papers 02/220, International Monetary Fund.
  53. Medel, Carlos A., 2015. "A Critical Review of Posch, J. and F. Rumler (2015), 'Semi-Structural Forecasting of UK Inflation Based on the Hybrid New Keynesian Phillips Curve,' Journal of Forecasting 34(2): 145-62," MPRA Paper 65665, University Library of Munich, Germany.
  54. Ramos-Francia, Manuel & Torres, Alberto, 2008. "Inflation dynamics in Mexico: A characterization using the New Phillips curve," The North American Journal of Economics and Finance, Elsevier, vol. 19(3), pages 274-289, December.
  55. Orphanides, Athanasios & van Norden, Simon, 2005. "The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 583-601, June.
  56. Jean-Philippe Cayen & Simon van Norden, 2002. "La fiabilité des estimations de l'écart de production au Canada," Staff Working Papers 02-10, Bank of Canada.
  57. Kleczka, Mitja, 2015. "Monetary Policy, Fiscal Policy, and Secular Stagnation at the Zero Lower Bound. A View on the Eurozone," MPRA Paper 67228, University Library of Munich, Germany.
  58. Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009. "Measuring output gap uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2009/15, Reserve Bank of New Zealand.
  59. Michael W. McCracken & Todd E. Clark, 2003. "The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence," Computing in Economics and Finance 2003 183, Society for Computational Economics.
  60. Manuel Ramos Francia & Alberto Torres García, 2006. "Inflation Dynamics in Mexico: A Characterization Using the New Phillips Curve," Working Papers 2006-15, Banco de México.
  61. Lucian Croitoru, 2014. "Will there be Deflation and Current Account Surpluses?," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-21, October.
  62. W A Razzak, 2002. "Monetary policy and forecasting inflation with and without the output gap," Reserve Bank of New Zealand Discussion Paper Series DP2002/03, Reserve Bank of New Zealand.
  63. Fernandez, Adriana Z. & Koenig, Evan F. & Nikolsko-Rzhevskyy, Alex, 2010. "Can alternative Taylor-rule specifications describe Federal Reserve policy decisions?," Journal of Policy Modeling, Elsevier, vol. 32(6), pages 733-757, November.
  64. Gerberding, Christina & Worms, Andreas & Seitz, Franz, 2004. "How the Bundesbank really conducted monetary policy: An analysis based on real-time data," Discussion Paper Series 1: Economic Studies 2004,25, Deutsche Bundesbank, Research Centre.
  65. Fernández, Adriana Z. & Nikolsko-Rzhevskyy, Alex, 2010. "The changing nature of the U.S. economic influence in the World," Journal of Policy Modeling, Elsevier, vol. 32(2), pages 196-209, March.
  66. Antonio Bassanetti & Michele Caivano & Alberto Locarno, 2010. "Modelling Italian potential output and the output gap," Temi di discussione (Economic working papers) 771, Bank of Italy, Economic Research and International Relations Area.
  67. Hatipoglu, Ozan & Alper, C. Emre, 2007. "Estimating Central Bank Behavior in Emerging Markets: The Case of Turkey," MPRA Paper 7107, University Library of Munich, Germany, revised Jan 2008.
  68. Richard G. Anderson & Charles S. Gascon, 2009. "Estimating U.S. output growth with vintage data in a state-space framework," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 349-370.
  69. Dotsey, Michael & Fujita, Shigeru & Stark, Tom, 2011. "Do Phillips curves conditionally help to forecast inflation?," Working Papers 11-40, Federal Reserve Bank of Philadelphia.
  70. Athanasios Orphanides, 2003. "Historical monetary policy analysis and the Taylor rule," Finance and Economics Discussion Series 2003-36, Board of Governors of the Federal Reserve System (U.S.).
  71. Anthony Garratt & James Mitchell & Shaun P. Vahey, 2011. "Measuring Output Gap Nowcast Uncertainty," CAMA Working Papers 2011-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  72. Nelson, Edward & Nikolov, Kalin, 2003. "UK inflation in the 1970s and 1980s: the role of output gap mismeasurement," Journal of Economics and Business, Elsevier, vol. 55(4), pages 353-370.
  73. John Galbraith & Simon van Norden, 2008. "The Calibration Of Probabilistic Economic Forecasts," Departmental Working Papers 2008-05, McGill University, Department of Economics.
  74. Cayen, Jean-Philippe & van Norden, Simon, 2005. "The reliability of Canadian output-gap estimates," The North American Journal of Economics and Finance, Elsevier, vol. 16(3), pages 373-393, December.
  75. Adriana Fernandez & Alex Nikolsko-Rzhevskyy, 2011. "Forecasting the end of the global recession: did we miss the early signs?," Staff Papers, Federal Reserve Bank of Dallas, issue Apr.
  76. Mazumder, Sandeep, 2011. "Cost-based Phillips Curve forecasts of inflation," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 553-567.
  77. Jeremy M. Piger & Robert H. Rasche, 2008. "Inflation: Do Expectations Trump the Gap?," International Journal of Central Banking, International Journal of Central Banking, vol. 4(4), pages 85-116, December.
  78. Guérin, Pierre & Maurin, Laurent & Mohr, Matthias, 2015. "Trend-Cycle Decomposition Of Output And Euro Area Inflation Forecasts: A Real-Time Approach Based On Model Combination," Macroeconomic Dynamics, Cambridge University Press, vol. 19(02), pages 363-393, March.
  79. Döpke, Jörg, 2004. "Real-time data and business cycle analysis in Germany," Discussion Paper Series 1: Economic Studies 2004,11, Deutsche Bundesbank, Research Centre.
  80. Gian Luigi Mazzi & Frédéric Reynès & Matthieu Lemoine & Paola Veroni, 2008. "Real Time Estimation of Potential Output and Output Gap for the Euro-Area : Comparing Production Function with Unobserved Components and SVAR Approaches," Working Papers hal-01027422, HAL.
  81. Robert L. Hetzel, 2005. "What difference would inflation make?," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 45-72.
  82. Thanaset Chevapatrakul & Juan Paez-Farrell, 2014. "Monetary Policy Reaction Functions in Small Open Economies: a Quantile Regression Approach," Manchester School, University of Manchester, vol. 82(2), pages 237-256, 03.
  83. Odile Chagny & Matthieu Lemoine, 2004. "An estimation of the euro area potential output with a semi-structural multivariate Hodrick-Prescott filter," Documents de Travail de l'OFCE 2004-14, Observatoire Francais des Conjonctures Economiques (OFCE).
  84. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
  85. Dotsey, Michael & Fujita, Shigeru & Stark, Tom, 2015. "Do Phillips curves conditionally help to forecast inflation?," Working Papers 15-16, Federal Reserve Bank of Philadelphia.
  86. Virkola, Tuomo, 2014. "Real-Time Measures of the Output Gap and Fiscal Policy Stance," ETLA Reports 37, The Research Institute of the Finnish Economy.
  87. Aastveit, Knut Are & Trovik, Tørres, 2014. "Estimating the output gap in real time: A factor model approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 180-193.
  88. Nelson, Charles R., 2008. "The Beveridge-Nelson decomposition in retrospect and prospect," Journal of Econometrics, Elsevier, vol. 146(2), pages 202-206, October.
  89. Michael P. Clements, 2015. "Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision," ICMA Centre Discussion Papers in Finance icma-dp2015-02, Henley Business School, Reading University.
  90. James M. Nason & Gregor W. Smith, 2008. "The New Keynesian Phillips curve : lessons from single-equation econometric estimation," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 361-395.
  91. Isabell Koske & Nigel Pain, 2008. "The Usefulness of Output Gaps for Policy Analysis," OECD Economics Department Working Papers 621, OECD Publishing.
  92. Stefano Scalone, 2014. "Embedding Liquidity Information in Estimating Potential Output," Working Papers 20/2014, University of Verona, Department of Economics.
  93. Richard G. Anderson, 2006. "Replicability, real-time data, and the science of economic research: FRED, ALFRED, and VDC," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 81-93.
  94. Marcellino, Massimiliano & Musso, Alberto, 2010. "The Forecasting Performance of Real Time Estimates of the Euro Area Output Gap," CEPR Discussion Papers 7763, C.E.P.R. Discussion Papers.
  95. Medel, Carlos A., 2015. "Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach," MPRA Paper 67081, University Library of Munich, Germany.
  96. John Galbraith & Simon van Norden, 2009. "Calibration and Resolution Diagnostics for Bank of England Density Forecasts," CIRANO Working Papers 2009s-36, CIRANO.
  97. Adriana Fernandez & Evan F. Koenig & Alex Nikolsko-Rzhevskyy, 2008. "The relative performance of alternative Taylor rule specifications," Staff Papers, Federal Reserve Bank of Dallas, issue Jun.
  98. Hjelm, Göran & Jönsson, Kristian, 2010. "In Search of a Method for Measuring the Output Gap of the Swedish Economy," Working Paper 115, National Institute of Economic Research.
  99. Alonso Gomez & John M Maheu & Alex Maynard, 2008. "Improving Forecasts of Inflation using the Term Structure of Interest Rates," Working Papers tecipa-319, University of Toronto, Department of Economics.
  100. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
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