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

Thomas Hasenzagl, Filippo Pellegrino, Lucrezia Reichlin and Giovanni Ricco ()

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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.

Keywords: Real-time forecasting; output gap; Phillips curve; semi-structural models; Bayesian estimation (search for similar items in EconPapers)
Date: 2022-02-14
New Economics Papers: this item is included in nep-cwa and nep-mac
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Related works:
Working Paper: Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices (2023)
Working Paper: Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices (2022)
Working Paper: Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices (2022)
Working Paper: Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices (2022)
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