Measures of Potential Output from an Estimated DSGE Model of the United States

Michel Juillard, Ondra Kamenik, Michael Kumhof and Douglas Laxton

Working Papers from Czech National Bank, Research and Statistics Department

Abstract: 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: C11 E31 E32 E52 (search for similar items in EconPapers)
Date: 2006-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://www.cnb.cz/export/sites/cnb/en/economic-re ... wp/cnbwp_2006_11.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:cnb:wpaper:2006/11

Access Statistics for this paper

More papers in Working Papers from Czech National Bank, Research and Statistics Department Contact information at EDIRC.
Bibliographic data for series maintained by Tomas Karhanek ().