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A State-Space Model to Estimate Potential Growth in the Industrialized Countries

Thomas Brand, Gilles Dufrénot () and Antoine Mayerowitz
Additional contact information
Thomas Brand: CEPREMAP - Centre pour la recherche économique et ses applications - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres
Gilles Dufrénot: AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique - AMU - Aix Marseille Université, CEPII - Centre d'Etudes Prospectives et d'Informations Internationales - Centre d'analyse stratégique

PSE-Ecole d'économie de Paris (Postprint) from HAL

Abstract: This paper proposes new estimates of potential growth for 5 major industrialized countries. We use a state-space approach to obtain joint estimates of potential growth and the natural interest rates. The model is a reduced-form of a partial equilibrium model with a Phillips curve and an IS curve. In addition to the usual determinants of prices and business fluctuations, we consider financial variables as a determinant of the business cycle.

Keywords: Potential growth; state-space models; long-memory; industrialized countries (search for similar items in EconPapers)
Date: 2021-11-22
Note: View the original document on HAL open archive server: https://hal-amu.archives-ouvertes.fr/hal-03186631
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Published in Dufrénot Gilles; Takashi Matsuki. Recent Econometric Techniques for Macroeconomic and Financial Data, 27, Springer, pp.61-77, 2021, Dynamic Modeling and Econometrics in Economics and Finance, 978-3-030-54251-1. ⟨10.1007/978-3-030-54252-8_3⟩

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Related works:
Chapter: A State-Space Model to Estimate Potential Growth in the Industrialized Countries (2021)
Working Paper: A State-Space Model to Estimate Potential Growth in the Industrialized Countries (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:pseptp:hal-03186631

DOI: 10.1007/978-3-030-54252-8_3

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