Measures of Potential Output from an Estimated DSGE Model of the United States
Michel Juillard (),
Michael Kumhof () and
Douglas Laxton ()
Working Papers from Czech National Bank
This paper develops a DSGE model for the United States that features rational inflation inertia and persistence. The model is estimated with Bayesian-estimation techniques and time-varying inflation objectives to account for movements between regimes. After showing that the model produces forecasts that are quite competitive with other methods we use the forecasts of the model to generate more robust Hodrick-Prescott filter end-of-sample estimates of the output gap.
Keywords: Bayesian estimation; inflation inertia; monetary policy; output gap. (search for similar items in EconPapers)
JEL-codes: E31 E32 E52 C11 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:wpaper:2006/11
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