Estimating potential output using business survey data in a SVAR framework

Tatiana Cesaroni

MPRA Paper from University Library of Munich, Germany

Abstract: Potential output and the related concept of output gap play a central role in the macroeconomic policy interventions and evaluations. In particular, the output gap, defined as the difference between actual and potential output, conveys useful information on the cyclical position of a given economy. The aim of this paper is to propose estimates of the Italian potential GDP based on structural VAR models. With respect to other techniques, like the univariate filters (i.e. the Hodrick-Prescott filter), the estimates obtained through the SVAR methodology are free from end-of-sample problems, thus resulting particularly useful for short-term analysis. In order to provide information on the economic fluctuations, data coming from business surveys are considered in the model. This kind of data, given their cyclical profile, are particularly useful for detrending purposes, as they allow to include information concerning the business cycle activity. To assess the estimate reliability, an end-of-sample revision evaluation is performed. The ability of the cyclical GDP component to detect business cycle turning points is then performed by comparing the estimated output gaps, extracted with different detrending methods, over the expansion and recession phases of the Italian business cycle chronology.

Keywords: potential output; business survey data; structural VAR models; end-of-sample revisions. (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2008-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/16324/1/MPRA_paper_16324.pdf original version (application/pdf)

Related works:
Journal Article: Estimating potential output using business survey data in a svar framework (2010)
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:pra:mprapa:16324

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().