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

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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https://hal-sciencespo.archives-ouvertes.fr/hal-03573080
Contributor : Claudine Houdin Connect in order to contact the contributor
Submitted on : Monday, February 14, 2022 - 3:19:30 PM
Last modification on : Monday, March 21, 2022 - 2:47:50 PM
Long-term archiving on: : Sunday, May 15, 2022 - 7:12:16 PM

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OFCEWP2022-04.pdf
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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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