14 février 2022
http://creativecommons.org/licenses/by-sa/ , info:eu-repo/semantics/OpenAccess
Thomas Hasenzagl et al., « Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices », Archive ouverte de Sciences Po (SPIRE), ID : 10670/1.6iu85d
A mixed-frequency semi-structural model is used for estimating unobservable quantities such as the output gap, the Phillips curve and the NAIRU in real time. We consider two specifications for the US: in one the output gap is observed as the official CBO measure, in the other is unobserved and derived via minimal theory-based restrictions. We find that the CBO model implies a smoother trend output but the second model better capturesthe business cycle dynamics of nominal and real variables. The methodology offers both a framework for evaluating official estimates of unobserved quantities of economic interest and for tracking them in real time.