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

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

No 17111, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: A mixed-frequency semi-structural model is used for estimating unobservable quantities such as the output gap, the Phillips curve and the NAIRU in real time. We consider two specifications: in one the output gap is observed as the official CBO measure, in the other is unobserved and derived via minimal theory-based restrictions. We find that the CBO model implies a smoother trend output but the second model better captures the business cycle dynamics of nominal and real variables. The methodology offers both a framework for evaluating official estimates of unobserved quantities of economic interest and tracking them in real time.

Keywords: Real-time forecasting; Output gap; Phillips curve; Semi-structural models; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C11 C32 C53 E31 E32 E52 (search for similar items in EconPapers)
Date: 2022-03
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Related works:
Working Paper: Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices (2023)
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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