Do output gap estimates improve inflation forecasts in Slovakia?

Nataliia Ostapenko

No WP 4/2022, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: The paper compares different output gap measures regarding their real-time reliability and usefulness for predicting inflation in Slovakia. The results indicate that estimated cycles from the Modified Hamilton filter, a Mixed-Frequency Bayesian Vector Autoregression and a Dynamic Factor Model are economically reasonable, similar in magnitudes to the official central bank estimate and, more importantly, stable over time. Furthermore, among all compared output gap estimates, the gap from the Mixed-Frequency Vector Autoregression can predict Slovak inflation better than other estimates of the cyclical position until the recent period of high inflation in 2021–2022.

JEL-codes: C11 C32 E31 E32 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2022-10
New Economics Papers: this item is included in nep-mon and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://nbs.sk/dokument/c029fbf5-a1ac-46fd-bdb4-79 ... tiahnut/?force=false (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1088

Access Statistics for this paper

More papers in Working and Discussion Papers from Research Department, National Bank of Slovakia Contact information at EDIRC.
Bibliographic data for series maintained by ().