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Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices

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Abstract

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 captures the 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.
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hal-03573080 , version 1 (14-02-2022)

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Attribution - ShareAlike - CC BY 4.0

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  • HAL Id : hal-03573080 , version 1

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Thomas Hasenzagl, Filippo Pellegrino, Lucrezia Reichlin, Giovanni Ricco. Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices. 2022. ⟨hal-03573080⟩
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