EconPapers    
Economics at your fingertips  
 

Norges Bank Output Gap Estimates: Forecasting Properties, Reliability and Cyclical Sensitivity

Francesco Furlanetto (), Kåre Hagelund, Frank Hansen and Ørjan Robstad

No 2020/7, Working Paper from Norges Bank

Abstract: This paper documents the suite of models used by Norges Bank to estimate the output gap. The models are estimated using data on GDP, unemployment, inflation, wages, investment, house prices and credit. We evaluate the estimated output gap series in terms of its forecasting properties, its reliability and its cyclical sensitivity to various measures of demand and supply shocks. A simple un-weighted average of the models features a better forecasting performance than each individual model. In addition, it helps predicting inflation in pseudo real-time and exhibits limited variations when new data become available. The summary measure of potential output responds strongly and rapidly to permanent shocks and to narrative measures of technology shocks but, although to a more limited extent, also to transitory shocks.

Keywords: Output Gap; Forecasting Inflation; Cyclical Sensitivity; Output Gap Revisions (search for similar items in EconPapers)
JEL-codes: C38 E17 E32 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2020-07-03
New Economics Papers: this item is included in nep-eec, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://hdl.handle.net/11250/2677142

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:bno:worpap:2020_07

Access Statistics for this paper

More papers in Working Paper from Norges Bank Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2021-10-13
Handle: RePEc:bno:worpap:2020_07