A Unified Framework to Estimate Macroeconomic Stars

Saeed Zaman

No 21-23R2, Working Papers from Federal Reserve Bank of Cleveland

Abstract: This paper develops a semi-structural model to jointly estimate “stars” — long-run levels of output (its growth rate), the unemployment rate, the real interest rate, productivity growth, price inflation, and wage inflation. It features links between survey expectations and stars, time-variation in macroeconomic relationships, and stochastic volatility. Survey data help discipline stars’ estimates and have been crucial in estimating a high-dimensional model since the pandemic. The model has desirable real-time properties, competitive forecasting performance, and superior fit to the data compared to variants without the empirical features mentioned above. The by-products are estimates of various objects of great interest to the broader profession.

Keywords: state-space models; Bayesian analysis; time-varying parameters; natural rates; survey expectations; COVID-19 pandemic (search for similar items in EconPapers)
JEL-codes: C5 E24 E31 E4 O4 (search for similar items in EconPapers)
Pages: 47
Date: 2021-10-14, Revised 2024-05-31
New Economics Papers: this item is included in nep-ets, nep-isf, nep-mac and nep-ore
Note: Online Appendix: https://www.clevelandfed.org/-/media/project/clevelandfedtenant/clevelandfedsite/publications/working-papers/2024/wp2123r2_appendix.pdf
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Citations: View citations in EconPapers (1)

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DOI: 10.26509/frbc-wp-202123r2

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