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

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

Papers from arXiv.org

Abstract: We propose two specifications of a real-time mixed-frequency semi-structural time series model for evaluating the output potential, output gap, Phillips curve, and Okun's law for the US. The baseline model uses minimal theory-based multivariate identification restrictions to inform trend-cycle decomposition, while the alternative model adds the CBO's output gap measure as an observed variable. The latter model results in a smoother output potential and lower cyclical correlation between inflation and real variables but performs worse in forecasting beyond the short term. This methodology allows for the assessment and real-time monitoring of official trend and gap estimates.

Date: 2022-01, Revised 2023-03
New Economics Papers: this item is included in nep-cwa and nep-mac
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Citations: View citations in EconPapers (1)

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Related works:
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)
Working Paper: Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2201.05556

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