A State-Space Model to Estimate Potential Growth in the Industrialized Countries

Thomas Brand, Gilles Dufrénot () and Antoine Mayerowitz

A chapter in Recent Econometric Techniques for Macroeconomic and Financial Data, 2021, pp 61-77 from Springer

Abstract: Abstract This paper proposes new estimates of potential growth for 5 major industrialized countries. We use a state-space approach to obtain joint estimates of potential growth and the natural interest rates. The model is a reduced-form of a partial equilibrium model with a Phillips curve and an IS curve. In addition to the usual determinants of prices and business fluctuations, we consider financial variables as a determinant of the business cycle.

Keywords: Potential growth; State-space models; Long-memory; Industrialized countries (search for similar items in EconPapers)
Date: 2021
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Working Paper: A State-Space Model to Estimate Potential Growth in the Industrialized Countries (2021)
Working Paper: A State-Space Model to Estimate Potential Growth in the Industrialized Countries (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-030-54252-8_3

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DOI: 10.1007/978-3-030-54252-8_3

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