Assessing uncertainty of output gap estimates: Evidence from Visegrad countries

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F22%3A00124873" target="_blank" >RIV/00216224:14560/22:00124873 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S026499932200236X" target="_blank" >https://www.sciencedirect.com/science/article/pii/S026499932200236X</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.econmod.2022.105994" target="_blank" >10.1016/j.econmod.2022.105994</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Assessing uncertainty of output gap estimates: Evidence from Visegrad countries

Popis výsledku v původním jazyce

The reliability of output gap estimates is a crucial factor for the successful implementation of economic policy. We evaluate the robustness and stability of output gap estimates while comparing structural and non-structural techniques, using recursive estimates and alternative stability indicators. Our results provide evidence that some structural approaches outperform other available methods. Structural approaches exhibit a higher order of stability. Especially the methods based on the Beveridge-Nelson decomposition outperform the other structural and non-structural methods. The stability of structural approaches increases as new data becomes available. Moreover, output gap uncertainty diminishes during the positive business cycle phases, and structural approaches offer better overall stability performance and exhibit more stable concordance of these estimates. Our results are robust to alternative prior density settings and reveal similar output gap uncertainty patterns for the Visegrad countries, the euro area, and the United States.

Název v anglickém jazyce

Assessing uncertainty of output gap estimates: Evidence from Visegrad countries

Popis výsledku anglicky

The reliability of output gap estimates is a crucial factor for the successful implementation of economic policy. We evaluate the robustness and stability of output gap estimates while comparing structural and non-structural techniques, using recursive estimates and alternative stability indicators. Our results provide evidence that some structural approaches outperform other available methods. Structural approaches exhibit a higher order of stability. Especially the methods based on the Beveridge-Nelson decomposition outperform the other structural and non-structural methods. The stability of structural approaches increases as new data becomes available. Moreover, output gap uncertainty diminishes during the positive business cycle phases, and structural approaches offer better overall stability performance and exhibit more stable concordance of these estimates. Our results are robust to alternative prior density settings and reveal similar output gap uncertainty patterns for the Visegrad countries, the euro area, and the United States.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2022

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

ECONOMIC MODELLING

ISSN

0264-9993

e-ISSN

1873-6122

Svazek periodika

116

Číslo periodika v rámci svazku

November

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

25

Strana od-do

1-25

Kód UT WoS článku

000859457400009

EID výsledku v databázi Scopus

2-s2.0-85136630683